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Data: Yields - Candelon and Moura (2023)

Source: R/Data_Yields_covid.R
Yields_covid.Rd

Bond yield data used in Candelon and Moura (2023)

Usage

data("Yields_covid")

Format

A matrix containing Government bond yields with maturities of 12, 24, 36, 60, and 120 months for Brazil, India, Mexico, and Russia. The data are at weekly frequency and cover the period from March 22, 2020, to September 26, 2021.

Source

Simulated data constructed using Bloomberg bond yield series.

References

Candelon, B. and Moura, R. (2023) "Sovereign yield curves and the COVID-19 in emerging markets". (Economic Modelling)