Multicountry Term Structure of Interest Rates Models
Compute the cross-section loadings of yields of a canonical A0_N model
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...
Transformation of the block diagonal parameters (auxiliary form)
Transformation of the bounded parameters (auxiliary form)
Transformation of the JLL-related parameters (auxiliary form)
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)
Transform a number bounded between a lower bound and upper bound to x ...
Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Obtain the auxiliary values corresponding to each parameter, its size ...
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 whether mean/median of OLS is close to actual OLS estimates
Check consistency of labels (economies, domestic and global variables)
Check consistence of inputs
Check consistency of the inputs provided in GVARinputs
Check consistency of the inputs provided in JLL-based models
Preliminary checks for inputs provided for the performing out-of-sampl...
Impose the zero-restrictions on the Cholesky-factorization from JLL-ba...
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
Convert a generic matrix to its Jordan form
Gather data of several countries in a list. Particularly useful for GV...
Retrieves data from Excel and build the database used in the model est...
Prepare the factor set for GVAR models (Bootstrap version)
Computes numerical first order derivative of f(x)
Data: Risk Factors - Candelon and Moura (2024, JFEC)
Data: Risk Factors for the GVAR - Candelon and Moura (2023)
Estimate numerically the variance-covariance matrix from the GVAR-base...
Estimate numerically the Cholesky-factorization from the JLL-based mod...
Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodolo...
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
Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)
Compute the Feedback matrix of each bootstrap draw
Set the zero-restrictions on the feedback matrix of JLL's P-dynamics
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
mean of the llk function used in the estimation of the selected ATSM
Mean of the llk function used in the estimation of the selected ATSM
Build subplot for fitted yields
Model fit graphs for all models
Performs state rotations
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 f to generate the outputs from a ATSM
Set up the vector-valued objective function (Point estimate)
Gather several forecast dates
computes the density function of a gaussian process
Generate artificial time-series in the bootstrap setup
Compute the bond yield forecast for any model type
Gathers the general inputs for model estimation
Generate M data sets from VAR(1) model
Obtain the country-specific a0
Compute the A loadings
Compute the B matrix of loadings
Build the B loadings
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 r0 for the various models
Compute Sigmas/Cholesky factorizations
Compute the variance-covariance matrix of the bond yields
Collect both the domestic and global unspanned factors of all countrie...
Compute the variance-covariance matrix after the bias correction proce...
Map constrained parameters b to unconstrained 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 ...
Data: Risk Factors - Candelon and Moura (2023)
Data: Risk Factors - Candelon and Moura (2024, JFEC)
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 a 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 the g...
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")
Estimates the P-dynamics from JLL-based models
Check for JLL models for Jordan restrictions (auxiliary form)
Impose stationarity under the Q-measure
Generate the labels of the spanned factors
Generate the labels of the star variables
Generates the labels factors
Build the log-likelihood function of the P-dynamics from the JLL-based...
Loads data sets from several papers
Find mean or median of OLS when DGP is VAR(1)
Estimate the marginal model for the global factors
Adjust vector of maturities
Create a vector of numerical maturities in years
Compute the maximum likelihood function of all models
Replications of the JPS (2014) outputs by the MultiATSM package
Efficient computation of matrix product for arrays
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
Peform the minimization of mean(f)
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)
Complete list of several outputs from an ATSM
Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, ...
Prepares inputs to export
Update the list of parameters
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
Transform a positive number y to back to x by:
Print method for ATSMModelInputs objects
Restricted OLS regression
Estimate the risk-neutral feedbak matrix K1Q using linear regressions
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
Data: Risk Factors - Candelon and Moura (2024, JFEC)
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
Killan's VAR stationarity adjustment
Computes the country-specific spanned factors
Concatenate the model-specific inputs in a list
Compute the square root of a matrix
Generates the star variables necessary for the GVAR estimation
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
Data: Trade Flows - Candelon and Moura (2023)
Data: Trade Flows - Candelon and Moura (2024, JFEC)
Computes the transition matrix required in the estimation of the GVAR ...
Transformation of the block diagonal parameters (true form)
Transformation of the bounded parameters (True form)
Transformation of the JLL-related parameters (true form)
Transformation of the Jordan-related parameters (True form)
Transformation of a PSD matrix (true form)
converts the vectorized auxiliary parameter vector x to the parameters...
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)
Transform x to a number bounded btw lb and ub by:
Transform x to a positive number by: y = log(e^x + 1)
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
Data: Yields - Candelon and Moura (2024, JFEC)
Computes two measures of model fit for bond yields (all models)
Fit yields for all maturities of interest
Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of 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 (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.
Useful links