R/Data_Yields_covid.R

In MultiATSM: Multicountry Term Structure of Interest Rates Models

#' @title Data: Yields - Candelon and Moura (2023)
#'
#' @description Bond yield data used in Candelon and Moura (2023)
#' @name Yields_covid
#' @aliases Yields_covid
#' @docType data
#' @usage data("Yields_covid")
#' @format A matrix containing Government bond yields with maturities of 12, 24, 36, 60, and 120 months for Brazil, India, Mexico, and Russia.
#' The data are at weekly frequency and cover the period from March 22, 2020, to September 26, 2021.
#' @source Simulated data constructed using Bloomberg bond yield series.
#' @references Candelon, B. and Moura, R. (2023) "Sovereign yield curves and the COVID-19 in emerging markets". (Economic Modelling)
#' @keywords Yields
NULL