ComputeGIRFs

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

ComputeGIRFs function

<dl><dt>Sigma.y</dt>
<dd>Variance-covariance matrix</dd>
<dt>F1</dt>
<dd>Feedback matrix</dd>
<dt>BLoad</dt>
<dd>Loading Bs</dd>
<dt>G0.y</dt>
<dd>matrix of contemporaneous terms</dd>
<dt>FactorLabels</dt>
<dd>List containing the labels of the factors</dd>
<dt>FacDim</dt>
<dd>Dimension of the P-dynamics</dd>
<dt>MatLength</dt>
<dd>Length of the maturity vector</dd>
<dt>GIRFhoriz</dt>
<dd>Horizon of the analysis</dd>
<dt>YieldsLabel</dt>
<dd>Label o yields</dd>
<dt>ModelType</dt>
<dd>desired Model type</dd>
<dt>Economy</dt>
<dd>Economy under study</dd>
<dt>PI</dt>
<dd>matrix PI for JLL-based models</dd>
<dt>Mode</dt>
<dd>allows for the orthogonalized version in the case of JLL-based models
#' @references<ul>
<li>This function is a partially based on the version of the "irf" function from
Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.</li>
<li>Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)</li>
</ul></dd></dl>

Arguments

Compute GIRFs for all models — ComputeGIRFs

<dl>

<dt>Sigma.y</dt>
<dd>Variance-covariance matrix</dd>


<dt>F1</dt>
<dd>Feedback matrix</dd>


<dt>BLoad</dt>
<dd>Loading Bs</dd>


<dt>G0.y</dt>
<dd>matrix of contemporaneous terms</dd>


<dt>FactorLabels</dt>
<dd>List containing the labels of the factors</dd>


<dt>FacDim</dt>
<dd>Dimension of the P-dynamics</dd>


<dt>MatLength</dt>
<dd>Length of the maturity vector</dd>


<dt>GIRFhoriz</dt>
<dd>Horizon of the analysis</dd>


<dt>YieldsLabel</dt>
<dd>Label o yields</dd>


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


<dt>Economy</dt>
<dd>Economy under study</dd>


<dt>PI</dt>
<dd>matrix PI for JLL-based models</dd>


<dt>Mode</dt>
<dd>allows for the orthogonalized version in the case of JLL-based models
#' @references<ul>
<li>This function is a partially based on the version of the "irf" function from
Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.</li>
<li>Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)</li>
</ul></dd>

</dl>

ComputeGIRFs: Compute GIRFs for all models

Description

Usage

Arguments