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Overview

MultiATSM is an R package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). The package implements a variety of models, including JPS, GVAR, and JLL frameworks (see complete references below), and provides tools for bias correction, bootstrap analysis, and graphical/numerical outputs.

Features

• Estimation of multi-country ATSMs (JPS, 2014, JLL, 2015, GVAR, 2023-2024, and variants)
• Flexible input structure for macroeconomic and yield data
• Graphical and numerical outputs for model diagnostics and interpretation
• Bias correction for a VAR dynamics (BRW, 2012)
• Bootstrap analysis for confidence intervals
• Out-of-sample forecasting

Installation

You can install the development version of MultiATSM from GitHub with:

# install.packages("devtools")
devtools::install_github("rubensmoura87/MultiATSM")

You can also get the official release version from CRAN

install.packages("MultiATSM")

Usage and documentation

• See the package manual and vignettes for detailed function documentation and examples.
• Main functions: InputsForOpt, Bias_Correc_VAR, Optimization, NumOutputs, Bootstrap, ForecastYields, etc.

More information about {MultiATSM}

You can learn more about the underlying models in the working paper published in the LIDAM-LFIN Series..

References

• Bauer, M. D., Rudebusch, G. D., & Wu, J. C. (2012). Correcting estimation bias in dynamic term structure models. Journal of Business & Economic Statistics, 30(3), 454-467.

• Candelon, B., & Moura, R. (2023). Sovereign yield curves and the COVID-19 in emerging markets. Economic Modelling, 127, 106453.

• Candelon, B., & Moura, R. (2024). A Multicountry Model of the Term Structures of Interest Rates with a GVAR. Journal of Financial Econometrics, 22(5), 1558-1587.

• Joslin, S., Priebsch, M., & Singleton, K. J. (2014). Risk premiums in dynamic term structure models with unspanned macro risks. The Journal of Finance, 69(3), 1197-1233.

• Joslin, S., Singleton, K. J., & Zhu, H. (2011). A new perspective on Gaussian dynamic term structure models. The Review of Financial Studies, 24(3), 926-970.

• Jotikasthira, C., Le, A., & Lundblad, C. (2015). Why do term structures in different currencies co-move?. Journal of Financial Economics, 115(1), 58-83.

• See also the references in the package documentation.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.