MultiATSM

MaRDI QIDQ63794CRANFDO

Authors Rubens Moura

Last update 18 June 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.3.2, 0.0.1, 0.1.1, 0.2.1, 0.2.2, 0.2.3, 0.2.4, 0.3.1, 0.3.3, 0.3.4, 0.3.5, 0.3.6, 1.0.0, 1.1.0, 1.2.0, 1.3.0, 1.3.1, 1.4.0, 1.5.0, 1.5.1-1, 1.5.1, PACKAGES.rds, 1.5.1-2

Description

Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.

Cites work

• A Multicountry Model of the Term Structures of Interest Rates with a GVAR
• Correcting Estimation Bias in Dynamic Term Structure Models
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
• Sovereign yield curves and the COVID-19 in emerging markets
• Why do term structures in different currencies co-move?

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