TermPremiaDecomp: Decomposition of yields into the average of expected future...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Decomposition of yields into the average of expected future short-term interest rate and risk premia for all models

Description

Decomposition of yields into the average of expected future short-term interest rate and risk premia for all models

Usage

TermPremiaDecomp(
  ModelPara,
  FactorLabels,
  ModelType,
  InputsForOutputs,
  Economies
)

Arguments

ModelPara	list of model parameter estimates (see the "Optimization" function)
FactorLabels	string-list based which contains all the labels of all the variables present in the model
ModelType	string-vector containing the label of the model to be estimated
InputsForOutputs	list containing the desired horizon of analysis for the model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition
Economies	string-vector containing the names of the economies which are part of the economic system

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