data_state_variables: State variables

In SystemicR: Monitoring Systemic Risk

Description

This dataset includes state variables data extracted from the FRED. Specifically, it includes data on credit spread, liquidity spread, yield spread, 3M Treasury bill and VIX.

Usage

data("data_state_variables")

Format

A data frame with 5030 observations on the following 7 variables.

Date

a date vector

CRESPR

a numeric vector

LIQSPR

a numeric vector

YIESPR

a numeric vector

TBR3M

a numeric vector

RESI

a numeric vector

VIX

a numeric vector

Source

Federal Reserve Economic Data (FRED) St. Louis Fed

References

Hasse, Jean-Baptiste. "Systemic Risk: a Network Approach". AMSE Working Paper (2020) Hasse, Jean-Baptiste, and Quentin Lajaunie. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis." AMSE Working Paper (2020).

Examples

data("data_state_variables")
head(data_state_variables)

Example output

        Date        RESI  VIX  TBR3M CRESPR LIQSPR YIESPR
1 04/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483
2 05/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483
3 06/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483
4 07/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483
5 10/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483
6 11/01/2000 -0.04150374 0.01 3.5423 5.4308 3.5073 1.9483

SystemicR documentation built on July 1, 2020, 10:30 p.m.