GlobalMacro: Data: Risk Factors - Candelon and Moura (2024, JFEC)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Data: Risk Factors - Candelon and Moura (2024, JFEC)

Description

Global risk factors data used in Candelon and Moura (2024, JFEC)

Usage

data("GlobalMacro")

Format

A matrix containing the time series of global risk factors, namely global economic activity and global inflation. The data have monthly frequency and span the period from June/2004 to January/2020.

Source

Global economic activity

Lutz Kilian’s index of global real economic activity <https://sites.google.com/site/lkilian2019/research/data-sets?authuser=0>

Global inflation

year-over-year variation of the OECD aggregated CPI containing all its state members <https://www.oecd.org/en/data/indicators/inflation-cpi.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.