Yields: Data: bond yield data - Candelon and Moura (2024, JFEC)
In MultiATSM: Multicountry Term Structure of Interest Rates Models
Yields R Documentation
Data: bond yield data - Candelon and Moura (2024, JFEC)
Description
Yields data used in Candelon and Moura (2024, JFEC)
Usage
data("Yields")
Format
A matrix containing bond yields with maturities of 3, 6, 12, 36, 60, and 120 months for Brazil, China, Mexico, and Uruguay.
The data are at monthly frequency and cover the period from June 2004, to January 2020.
Source
- Brazil
Swap fixed-DI contracts (derivative securities indexed to the interbank loan rates). <https://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/consultas/mercado-de-derivativos/precos-referenciais/taxas-referenciais-bm-fbovespa/>
- China
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Mexico
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Uruguay
Government bond yield data in US dollars <https://web.bevsa.com.uy/CurvasVectorPrecios/CurvasIndices/CUD.aspx>.
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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| Yields | R Documentation |
Data: bond yield data - Candelon and Moura (2024, JFEC)
Description
Yields data used in Candelon and Moura (2024, JFEC)
Usage
data("Yields")
Format
A matrix containing bond yields with maturities of 3, 6, 12, 36, 60, and 120 months for Brazil, China, Mexico, and Uruguay. The data are at monthly frequency and cover the period from June 2004, to January 2020.
Source
- Brazil
Swap fixed-DI contracts (derivative securities indexed to the interbank loan rates). <https://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/consultas/mercado-de-derivativos/precos-referenciais/taxas-referenciais-bm-fbovespa/>
- China
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Mexico
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Uruguay
Government bond yield data in US dollars <https://web.bevsa.com.uy/CurvasVectorPrecios/CurvasIndices/CUD.aspx>.
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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