Boot_DataGraphYield_perShock

Generates the desired bootstrap graphs

internal

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.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Boot_DataGraphYield_perShock function

<dl><dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>
<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>
<dt>IdxShock</dt>
<dd>index associated with the shock variable</dd>
<dt>nmResponse</dt>
<dd>Label of the response variable</dd>
<dt>Lab_Int</dt>
<dd>Output types "IRF" or "FEVD"</dd>
<dt>ModelType</dt>
<dd>desired model type</dd>
<dt>FacDim</dt>
<dd>dimension from bond yield set</dd>
<dt>YieldDim</dt>
<dd>dimension from the P-dynamics</dd>
<dt>Horiz</dt>
<dd>horizon of analysis</dd>
<dt>Economies</dt>
<dd>name of economies forming the economic system</dd>
<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd></dl>

Arguments

Generates the desired bootstrap graphs — Boot_DataGraphYield_perShock

<dl>

<dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>


<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>


<dt>IdxShock</dt>
<dd>index associated with the shock variable</dd>


<dt>nmResponse</dt>
<dd>Label of the response variable</dd>


<dt>Lab_Int</dt>
<dd>Output types "IRF" or "FEVD"</dd>


<dt>ModelType</dt>
<dd>desired model type</dd>


<dt>FacDim</dt>
<dd>dimension from bond yield set</dd>


<dt>YieldDim</dt>
<dd>dimension from the P-dynamics</dd>


<dt>Horiz</dt>
<dd>horizon of analysis</dd>


<dt>Economies</dt>
<dd>name of economies forming the economic system</dd>


<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd>

</dl>

Boot_DataGraphYield_perShock: Generates the desired bootstrap graphs

Description

Usage

Arguments