R/Data_DomMacro.R

In MultiATSM: Multicountry Term Structure of Interest Rates Models

#' @title Data: domestic risk factors - Candelon and Moura (2024, JFEC)
#'
#' @description Domestic risk factors data used in Candelon and Moura (2024, JFEC)
#' @name DomMacro
#' @aliases DomMacro
#' @docType data
#' @usage data("DomMacro")
#' @format A matrix of country-specific risk factors (inflation and economic activity growth) for Brazil, China, Mexico, and Uruguay.
#' The data have monthly frequency and span the period from June/2004 to January/2020.
#' @source
#' \describe{
#' \item{Inflation}{year-over-year variation from Consumer price index published by the International Monetary Fund <https://data.imf.org/en/datasets/IMF.STA:CPI>}
#' \item{Eonomic activity}{GDP leading indicator published by the OECD <https://www.oecd.org/en/data/indicators/composite-leading-indicator-cli.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)
#' @keywords Domestic unspanned risk factors
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