ComputeFEVDs: Compute FEVDs for all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute FEVDs for all models

Description

Compute FEVDs for all models

Usage

ComputeFEVDs(
  SIGMA,
  K1Z,
  G0,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  FEVDhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  CholFac_JLL = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

SIGMA	Variance-covariance matrix
K1Z	Loading As
G0	contemporaneous terms
BLoad	Loading Bs
FactorLabels	List containing the label of factors
FacDim	Dimension of the P-dynamics
MatLength	Length of the maturity vector
FEVDhoriz	Horizon of the analysis
YieldsLabel	Label of bond yields
ModelType	Desired model type
Economy	specific economy under study
CholFac_JLL	Cholesky factorization term from JLL models
PI	matrix PI for JLL-based models
Mode	allows for the orthogonalized version in the case of JLL-based models

References

• This function is a modified and extended version of the "fevd" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.

• Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.