TermPremiaDecomp

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

TermPremiaDecomp function

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

Arguments

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

<dl>

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


<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>


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


<dt>InputsForOutputs</dt>
<dd>list containing the desired horizon of analysis for the model fit, IRFs, GIRFs, FEVDs, GFEVDs,
and risk premia decomposition</dd>


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

</dl>

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

Description

Usage

Arguments