Data: Risk Factors - Candelon and Moura (2023, EM)
Source:R/Data_GlobalMacro_covid.R
GlobalMacro_covid.RdGlobal risk factors data used in Candelon and Moura (2023)
Usage
data("GlobalMacro_covid")Format
A matrix containing the time series of global risk factors, namely the year-over-year growth rates of U.S. and Chinese output, and the S&P 500 index. The data have weekly frequency and span the period from March 22, 2020, to September 26, 2021.
Source
- U.S. output growth:
OECD Weekly Tracker index <https://web-archive.oecd.org/sections/weekly-tracker-of-gdp-growth/index.htm>
- China output growth:
weekly year-over-year change in the interpolated OECD leading indicator <https://www.oecd.org/en/data/indicators/composite-leading-indicator-cli.html>
- S&P-500:
year-over-year variation from the Standard and Poor’s 500 stock market index. Simulated data constructed using FRED series.