LoadData function

Loads data sets from several papers

LoadData(DataPaper)

Arguments

• DataPaper: Available options are BR_2017 (Bauer and Rudebusch, 2017) , CM_2023 (Candelon and Moura, 2023), CM_2024 (Candelon and Moura, 2024)

Returns

Complete set of data from several papers.

Examples

#Example 1:
LoadData("BR_2017")

#Example 2:
LoadData("CM_2023")

#Example 3:
LoadData("CM_2024")

References

1. Bauer and Rudebusch (2017). "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models" (Review of Finance)
2. Candelon and Moura (2023). "Sovereign yield curves and the COVID-19 in emerging markets" (Economic Modelling)
3. Candelon and Moura (2024). "A Multicountry Model of the Term Structures of Interest Rates with a GVAR" (Journal of Financial Econometrics)