Multicountry Term Structure of Interest Rates Models
Adjust the constant label
Adjust delta for numerical differentiation
Gathers the estimate of the bootstrap draws
Generate paths to save IRFs/GIRFs graphs
Generate paths to save IRFs/GIRFs graphs
Makes sure that the time series of yields and risk factors have coinci...
Autoplot method for ATSMModelBoot objects
Autoplot method for ATSMNumOutputs objects
Autoplot generic function
Transformation of the block diagonal parameters (auxiliary form)
Transformation of the JLL-related parameters (auxiliary form)
Auxiliary function for a single-country specification
Transformation of the Jordan-related parameters (auxiliary form)
Transformation of a PSD matrix (auxiliary form)
Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Ru...
Generates the desired bootstrap graphs
Generates the desired bootstrap graphs
Build P-dynamic graphs after the bootstrap implementation
Builds template from bootstrap-related graphs
Build P-dynamic graphs after the bootstrap implementation
Generates the bootstrap-related outputs
Builds the confidence bounds and graphs (Bootstrap set)
Builds the time series of the risk factors that are used in the estima...
Build Confidence intervals for yield-related outputs
Build the list of IRF and GIRF for both factors and bond yields
Build the GVAR(1) from the country-specific VARX(1,1,1)
Build the list of IRF and GIRF for both factors and bond yields
Build country-specific link matrices
Build the time-series of the risk factors in each bootstrap draw
Build the time-series of bond yields for each bootstrap draw
Transform B_spanned into B_unspanned for jointQ models
Obtain the full form of B unspanned for "sep Q" models within the boot...
Transform B_spanned into B_unspanned for sepQ models
check how close the mean or median of the bias-corrected aproach is fr...
Check consistency of labels (economies, domestic and global variables)
Check for presence of NAs and infinite in numeric variables
Input validation for the 'FeedMat_Q' function
Check consistence of inputs
Check consistency of the inputs provided in GVARinputs
Check consistency of the inputs provided in JLL-based models
Check Numerical Precision Issues of K1_root matrix
Preliminary checks for inputs provided for the performing out-of-sampl...
Impose the zero-restrictions on the Cholesky-factorization from JLL-ba...
Modify variable labels to make legends more readable
Clean unnecessary outputs of JLL models in the bootstrap setup
Compute the latent loading AnX and BnX
Compute the expected component for all models
Compute the confidence bounds around the P-dynamics and bond yields fo...
Compute the confidence bounds from the model's numerical outputs
Compute FEVDs for all models
Compute GFEVDs for all models
Compute GIRFs for all models
Compute IRFs of all models
Gather data of several countries in a list. Particularly useful for GV...
Retrieves data from Excel and builds the database used in the model es...
Prepare the factor set for GVAR models (Bootstrap version)
Estimate K1h
Estimate a restricted OLS model
Estimate numerically the variance-covariance matrix from the GVAR-base...
Estimate numerically the Cholesky-factorization from the JLL-based mod...
Get the expected component of all models
Compute quantiles for model P-dynamics
Compute the confidence bounds for the model bond P-dynamics-related ou...
Compute the confidence bounds for the model P-dynamics
Makes the pre-allocation of the factors set for JLL-based models
Compute the Feedback matrix of each bootstrap draw
Set the zero-restrictions on the feedback matrix of JLL's P-dynamics
Computes an average or median feedback matrix across several bootstrap...
Get an estimate for the risk-neutral (Q) feedback matrix
FEVDs and GFEVDs after bootstrap for all models
FEVDs and GFEVDs for all models
Creates the confidence bounds and the graphs of FEVDs and GFEVDs after...
FEVD and GFEVD graphs for all models
Generates graphs for FEVDs and GFEVDs
Build subplot for fitted yields
Model fit graphs for all models
Creates folder to store graphs generated from the bootstrap analysis
Creates the folders and the path in which the graphical outputs are st...
Creates the folders and the path in which the graphical outputs are st...
Create folders for storing IRFs and GIRFs
Create folders for storing IRFs and GIRFs
Generates forecasts of bond yields for all model types
Compute the forward premia for all models
Use function ML to generate the outputs from a ATSM
Gather several forecast dates
computes the density function of a gaussian process
Simulate N_Boot dataset from the P-dynamics
Generate artificial time-series in the bootstrap setup
Compute the bond yield forecast for any model type
Gathers the general inputs for model estimation
Compute the cross-section loadings of yields of a canonical A0_N model
Obtain the country-specific a0
Compute the A loadings
Compute the B matrix of loadings
Build the B loadings
Estimate feedback matrix from several models (No bias-corrected versio...
Get the intercept, feedback matrix and the variance-covariance matrix ...
Compute the feedback matrix from a GVAR model with global factors
Compute the log-likelihood function
Compute long-run risk neutral mean (r0) for the various models
Compute Sigmas/Cholesky factorizations
Compute the variance-covariance matrix of the bond yields
Compute the variance-covariance matrix after the bias correction proce...
Collect both the domestic and global unspanned factors of all countrie...
Compute the auxiliary parameters a.
Get delta t
Generate the variable labels of the JLL models
Generate the factor labels for models estimated on a country-by-countr...
Compute P-dynamics parameters using the bias correction method from BR...
Compute P-dynamics parameters without using the bias correction method...
Compute the parameters used in the P-dynamics of the model
Map auxiliary (unconstrained) parameters a to constrained parameters b
Gather all country-specific yields in a single matrix of dimension CJ ...
Generate the graphical outputs for the selected models (Point estimate...
Prepare risk factors for the estimation of the GVAR model
Estimates a GVAR(1) and VARX(1,1,1) models
Obtain the indexes of both the domestic and global unspanned factors
Find the indexes of the spanned factors
Extract the indexes related to the spanned factors in the variance-cov...
Find the indexes of zero-restrictions from the orthogonalized variance...
Impose stationary constraint under the risk-neutral measure
Makes sure that the stationary constraint under the risk-neutral measu...
Generates inputs necessary to build the likelihood function for the AT...
Collects the inputs that are used to construct the numerical and graph...
Fit the cross-section of yields using spline
Robust method for matrix inversion
IRFs and GIRFs after bootstrap for all models
IRFs and GIRFs for all models
Creates the confidence bounds and the graphs of IRFs and GIRFs after b...
IRF and GIRF graphs for all models
Gather data for IRFs and GIRFs grahs (version "Factors")
Gather data for IRFs and GIRFs grahs (version "Yields")
Main Jacobian approximation
Estimates the P-dynamics from JLL-based models
Check for JLL models for Jordan restrictions (auxiliary form)
Convert a Matrix to Jordan-Like Form for Term Structure Models
Impose stationarity under the Q-measure
Generate the labels of the spanned factors
Generate the labels of the star variables
Generates the labels for risk factors used in the model
Build the log-likelihood function of the P-dynamics from the JLL-based...
Read data from Excel files and return a named list of data frames
Loads data sets from several papers
Estimate the marginal model for the global factors
Adjust vector of maturities
Create a vector of numerical maturities in years
Limit the number of categories in FEVDs and GFEVDs graphs by merging s...
Prevents algorithm to end up in ill-defined likelihood
Compute the maximum likelihood function of all models
Set up the vector-valued objective function (Point estimate)
Mean of the llk function used in the estimation of the selected ATSM
Overview of Datasets Included in the MultiATSM Package
ATSM Package
Obtain the non-orthogonalized model parameters
Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for bootstrap
Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs,...
Perform out-of-sample forecast of bond yields
Perform the minimization of ML function
Compute the time elapsed in the numerical optimization
Perform the optimization of the log-likelihood function of the chosen ...
Optimization routine for the entire selected ATSM
Prepare outputs to export after the model optimization
Get coefficients from the orthogonalized regressions
VAR(1) with orthogonalized factors (JLL models)
Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, ...
Prepares inputs to export
Create the variable labels used in the estimation
Computes the PCA weights for a single country
Compute some key parameters from the P-dynamics (Bootstrap set)
Plot method for ATSMModelForecast objects
Exponential transformation
Print method for ATSMModelInputs objects
Perform a linear regression using demeaned variables
Exclude series that contain NAs
Compute the residuals from the original model
Compute the residuals from the observational equation
Compute risk-neutral intercept and slope
Richardson extrapolation
Spanned and unspanned factors plot
Builds the complete set of time series of the risk factors (spanned an...
Compute the root mean square error for all models
Compute the root of the eigenvalue of K1h
Rotate latent states to observed ones
Stochastic approximation algorithm
Safe matrix inversion with conditioning check
Scaling vector computation
Shrinking the largest eigenvalue
Computes the country-specific spanned factors
Concatenate the model-specific inputs in a list
Summary method for ATSMModelInputs objects
Summary method for ATSMModelOutputs objects
Compute the term premia
Decomposition of yields into the average of expected future short-term...
Compute the star variables with time-varying weights
Term Premia decomposition graphs for all models
Computes the transition matrix required in the estimation of the GVAR ...
Transformation of the block diagonal parameters (true form)
Transformation of the JLL-related parameters (true form)
True function for a single-country specification
Transformation of the Jordan-related parameters (True form)
Transformation of a PSD matrix (true form)
Update parameters in the optimization process
Update the variance-covariance matrix from the "JLL joint Sigma" model...
Estimates a standard VAR(1)
Percentage explained by the spanned factors of the variations in the s...
Estimate a VARX(1,1,1)
Extract list of desired graph features (IRFs anc GIRFs)
Extract list of desired graph features (IRFs anc GIRFs)
Extract graphs of interest (bootstrap version)
Extract graphs of interest (bootstrap version)
Check default value
Model-implied yields (cross-section)
Model-implied yields (P-dynamics)
Compute the confidence bounds for the model bond yield-related outputs
Compute the confidence bounds for the model bond yield-related outputs
Compile the bond yield forecast for any model type
Compute quantiles for model bond yield-related outputs
Computes two measures of model fit for bond yields (all models)
Fit yields for all maturities of interest
Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.
Useful links