Data: Risk Factors for the GVAR - Candelon and Moura (2023)
Source:R/Data_DomMacro_covid.R
DomMacro_covid.RdDomestic risk factors data used in the GVAR models - Candelon and Moura (2023)
Usage
data("DomMacro_covid")Format
A matrix of country-specific risk factors (inflation, output growth, CDS, and COVID-19 reproduction rate) for Brazil, India, Mexico, and Russia. The data have weekly frequency and span the period from March 22, 2020, to September 26, 2021.
Source
- Inflation
Monthly CPI (from OECD) interpolated to daily data (spline), converted to weekly year-over-year changes, and detrended <https://www.oecd.org/en/data/indicators/inflation-cpi.html>
- Output growth
Detrended weekly estimate of GDP year-over-year growth derived from the OECD Weekly Tracker index <https://web-archive.oecd.org/sections/weekly-tracker-of-gdp-growth/index.htm>
- CDS
5-year maturity CDS. Simulated data constructed using Bloomberg bond yield series.
- COVID-19 reproduction rate
detrended R rate from the Our World in Data database <https://ourworldindata.org/coronavirus>