Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)

Risk factors data used in the GVAR-ATSM from Candelon and Moura (2024, JFEC)

Usage

data("GVARFactors")

Format

List of risk factors organized for GVAR estimation. It includes global unspanned factors (economic activity, inflation) and domestic factors—both unspanned (economic activity, inflation) and spanned (level, slope, curvature) with their starred counterparts. The dataset covers Brazil, China, Mexico, and Uruguay at a monthly frequency from June 2004 to January 2020.

Source

Global unspanned factors

See data("GlobalMacro") for a detailed data description.

Domestic unspanned factors

See data("DomMacro") for a detailed data description.

Domestic spanned factors

First three principal components of each country set of bond yields. See data("Yields") for a detailed data description.

Domestic star factors

Weighted average of foreign factors. See Transition_Matrix for the computation of weights.

References

Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)