TPDecompGraph

Term Premia decomposition graphs for all models

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

TPDecompGraph function

<dl><dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>
<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Risk premia</dd>
<dt>ModelPara</dt>
<dd>list of model parameter estimates (See the "Optimization" function)</dd>
<dt>WishRPgraphs</dt>
<dd>binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise</dd>
<dt>UnitYields</dt>
<dd>(i) "Month": if maturity of yields are expressed in months or
(ii) "Year": if maturity of yields are expressed in years</dd>
<dt>Economies</dt>
<dd>a string-vector containing the names of the economies which are part of the economic system</dd>
<dt>PathsGraphs</dt>
<dd>Path of the folder in which the graphs will be saved</dd></dl>

Arguments

Term Premia decomposition graphs for all models — TPDecompGraph

<dl>

<dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>


<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Risk premia</dd>


<dt>ModelPara</dt>
<dd>list of model parameter estimates (See the "Optimization" function)</dd>


<dt>WishRPgraphs</dt>
<dd>binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise</dd>


<dt>UnitYields</dt>
<dd>(i) "Month": if maturity of yields are expressed in months or
(ii) "Year": if maturity of yields are expressed in years</dd>


<dt>Economies</dt>
<dd>a string-vector containing the names of the economies which are part of the economic system</dd>


<dt>PathsGraphs</dt>
<dd>Path of the folder in which the graphs will be saved</dd>

</dl>

TPDecompGraph: Term Premia decomposition graphs for all models

Description

Usage

Arguments