DomMacro_covid: Data: Risk Factors for the GVAR - Candelon and Moura (2023)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Data: Risk Factors for the GVAR - Candelon and Moura (2023)

Description

Domestic risk factors data used in the GVAR models - Candelon and Moura (2023)

Usage

data("DomMacro_covid")

Format

A matrix of country-specific risk factors (inflation, output growth, CDS, and COVID-19 reproduction rate) for Brazil, India, Mexico, and Russia. The data have weekly frequency and span the period from March 22, 2020, to September 26, 2021.

Source

Inflation

Monthly CPI (from OECD) interpolated to daily data (spline), converted to weekly year-over-year changes, and detrended <https://www.oecd.org/en/data/indicators/inflation-cpi.html>

Output growth

Detrended weekly estimate of GDP year-over-year growth derived from the OECD Weekly Tracker index <https://web-archive.oecd.org/sections/weekly-tracker-of-gdp-growth/index.htm>

CDS

5-year maturity CDS. Simulated data constructed using Bloomberg bond yield series.

COVID-19 reproduction rate

detrended R rate from the Our World in Data database <https://ourworldindata.org/coronavirus>

References

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

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.