Multicountry Term Structure of Interest Rates Models

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Documentation for package ‘MultiATSM’ version 1.5.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

MultiATSM-package	ATSM Package
autoplot	Autoplot generic function
autoplot.ATSMModelBoot	Autoplot method for ATSMModelBoot objects
autoplot.ATSMNumOutputs	Autoplot method for ATSMNumOutputs objects
Bias_Correc_VAR	Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)
Bootstrap	Generates the bootstrap-related outputs
BR_jps_out	Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
DatabasePrep	Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")
DataForEstimation	Retrieves data from Excel and builds the database used in the model estimation
DomMacro	Data: domestic risk factors - Candelon and Moura (2024, JFEC)
DomMacro_covid	Data: Risk Factors for the GVAR - Candelon and Moura (2023)
FEVDandGFEVDgraphs	FEVD and GFEVD graphs for all models
Fitgraphs	Model fit graphs for all models
ForecastYields	Generates forecasts of bond yields for all model types
GlobalMacro	Data: Risk Factors - Candelon and Moura (2024, JFEC)
GlobalMacro_covid	Data: Risk Factors - Candelon and Moura (2023, EM)
GVAR	Estimates a GVAR(1) and VARX(1,1,1) models
GVARFactors	Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)
InpForOutEx	Example of list inputs used in the construction of several model outputs
InputsForOpt	Generates inputs necessary to build the likelihood function for the ATSM model
InputsForOutputs	Collects the inputs that are used to construct the numerical and graphical outputs
IRFandGIRFgraphs	IRF and GIRF graphs for all models
JLL	Estimates the P-dynamics from JLL-based models
LabFac	Generates the labels for risk factors used in the model
LoadData	Loads data sets from several papers
Load_Excel_Data	Read data from Excel files and return a named list of data frames
MultiATSM	ATSM Package
MultiATSM_datasets	Overview of Datasets Included in the MultiATSM Package
NumOutEx	Example of computed numerical outputs
NumOutputs	Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia)
Optimization	Perform the optimization of the log-likelihood function of the chosen ATSM
Out_Example	Complete list of several outputs from an ATSM
ParaSetEx	Example of parameter set after optimization
pca_weights_one_country	Computes the PCA weights for a single country
plot.ATSMModelForecast	Plot method for ATSMModelForecast objects
print.ATSMModelInputs	Print method for ATSMModelInputs objects
RiskFacFull	Data: Full set of risk factors - Candelon and Moura (2024, JFEC)
RiskFactorsGraphs	Spanned and unspanned factors plot
Spanned_Factors	Computes the country-specific spanned factors
summary.ATSMModelInputs	Summary method for ATSMModelInputs objects
summary.ATSMModelOutputs	Summary method for ATSMModelOutputs objects
TPDecompGraph	Term Premia decomposition graphs for all models
TradeFlows	Data: Trade Flows - Candelon and Moura (2024, JFEC)
TradeFlows_covid	Data: Trade Flows - Candelon and Moura (2023, EM)
Transition_Matrix	Computes the transition matrix required in the estimation of the GVAR model
VAR	Estimates a standard VAR(1)
Yields	Data: bond yield data - Candelon and Moura (2024, JFEC)
Yields_covid	Data: Yields - Candelon and Moura (2023)