MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk
(2022) , 29 pages
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- Abstract
- The R package MultiATSM provides several estimation routines and additional outputs for eight classes of affine term structure of interest rates models (ATSMs). All the ATSMs from this package build on the single-country unspanned macroeconomic risk framework by Joslin, Priebsch, and Singleton (2014). The MultiATSM package also features alternative multicountry extensions based on the settings of Jotikasthira, Le, and Lundblad (2015), which imposes the existence of a dominant (global) economy, and Candelon and Moura (2021), where the joint dynamics of the risk factors are captured by a GVAR setup. For each ATSM, the MultiATSM package produces a set of model outputs that includes: (i) the graphical representations from the model fit, the orthogonalized and generalized versions of impulse response and forecast error variance decomposition from bond yields and risk factors; (ii) a number of bootstrap procedures for constructing confidence intervals, and (iii) out-of-sample forecasting of bond yields.
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Citations
Guimaraes Togeiro De Moura, R. (2022). MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk (LIDAM Discussion Paper LFIN 2022/01). https://hdl.handle.net/2078.5/273229