R/Data_GlobalMacro.R

In MultiATSM: Multicountry Term Structure of Interest Rates Models

#' @title Data: Risk Factors - Candelon and Moura (2024, JFEC)
#'
#' @description Global risk factors data used in Candelon and Moura (2024, JFEC)
#' @name GlobalMacro
#' @aliases GlobalMacro
#' @docType data
#' @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
#' \describe{
#' \item{Global economic activity}{Lutz Kilian’s index of global real economic activity <https://sites.google.com/site/lkilian2019/research/data-sets?authuser=0>}
#' \item{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)
#' @keywords Global risk factors
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