Global risk factors data used in Candelon and Moura (2024, JFEC)
Usage
data("GlobalMacro")Format
A matrix containing the time series of global risk factors, namely global economic activity and global inflation. The data have monthly frequency and span the period from June/2004 to January/2020.
Source
- Global economic activity
Lutz Kilian’s index of global real economic activity <https://sites.google.com/site/lkilian2019/research/data-sets?authuser=0>
- Global inflation
year-over-year variation of the OECD aggregated CPI containing all its state members <https://www.oecd.org/en/data/indicators/inflation-cpi.html>