DomMacro: Data: domestic risk factors - Candelon and Moura (2024, JFEC)
In MultiATSM: Multicountry Term Structure of Interest Rates Models
DomMacro R Documentation
Data: domestic risk factors - Candelon and Moura (2024, JFEC)
Description
Domestic risk factors data used in Candelon and Moura (2024, JFEC)
Usage
data("DomMacro")
Format
A matrix of country-specific risk factors (inflation and economic activity growth) for Brazil, China, Mexico, and Uruguay.
The data have monthly frequency and span the period from June/2004 to January/2020.
Source
- Inflation
year-over-year variation from Consumer price index published by the International Monetary Fund <https://data.imf.org/en/datasets/IMF.STA:CPI>
- Eonomic activity
GDP leading indicator published by the OECD <https://www.oecd.org/en/data/indicators/composite-leading-indicator-cli.html>
References
Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)
MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.
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| DomMacro | R Documentation |
Data: domestic risk factors - Candelon and Moura (2024, JFEC)
Description
Domestic risk factors data used in Candelon and Moura (2024, JFEC)
Usage
data("DomMacro")
Format
A matrix of country-specific risk factors (inflation and economic activity growth) for Brazil, China, Mexico, and Uruguay. The data have monthly frequency and span the period from June/2004 to January/2020.
Source
- Inflation
year-over-year variation from Consumer price index published by the International Monetary Fund <https://data.imf.org/en/datasets/IMF.STA:CPI>
- Eonomic activity
GDP leading indicator published by the OECD <https://www.oecd.org/en/data/indicators/composite-leading-indicator-cli.html>
References
Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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