TermPremiaDecomp function

Decomposition of yields into the average of expected future short-term interest rate and risk premia for all models

TermPremiaDecomp(
  ModelPara,
  FactorLabels,
  ModelType,
  InputsForOutputs,
  Economies
)

Arguments

• ModelPara: list of model parameter estimates (see the "Optimization" function)
• FactorLabels: string-list based which contains all the labels of all the variables present in the model
• ModelType: string-vector containing the label of the model to be estimated
• InputsForOutputs: list containing the desired horizon of analysis for the model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition
• Economies: string-vector containing the names of the economies which are part of the economic system