GlobalMacro_covid: Data: Risk Factors - Candelon and Moura (2023, EM)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Data: Risk Factors - Candelon and Moura (2023, EM)

Description

Global risk factors data used in Candelon and Moura (2023)

Usage

data("GlobalMacro_covid")

Format

A matrix containing the time series of global risk factors, namely the year-over-year growth rates of U.S. and Chinese output, and the S&P 500 index. The data have weekly frequency and span the period from March 22, 2020, to September 26, 2021.

Source

U.S. output growth:

OECD Weekly Tracker index <https://web-archive.oecd.org/sections/weekly-tracker-of-gdp-growth/index.htm>

China output growth:

weekly year-over-year change in the interpolated OECD leading indicator <https://www.oecd.org/en/data/indicators/composite-leading-indicator-cli.html>

S&P-500:

year-over-year variation from the Standard and Poor’s 500 stock market index. Simulated data constructed using FRED series.

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.