Package: MultiATSM 1.5.1-1

MultiATSM: Multicountry Term Structure of Interest Rates Models

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.

Authors:Rubens Moura [aut, cre]

MultiATSM_1.5.1-1.tar.gz
MultiATSM_1.5.1-1.zip(r-4.7)MultiATSM_1.5.1-1.zip(r-4.6)MultiATSM_1.5.1-1.zip(r-4.5)
MultiATSM_1.5.1-1.tgz(r-4.6-any)MultiATSM_1.5.1-1.tgz(r-4.5-any)
MultiATSM_1.5.1-1.tar.gz(r-4.7-any)MultiATSM_1.5.1-1.tar.gz(r-4.6-any)
MultiATSM_1.5.1-1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
MultiATSM/json (API)

# Install 'MultiATSM' in R:
install.packages('MultiATSM', repos = c('https://rubensmoura87.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/rubensmoura87/multiatsm/issues

Pkgdown/docs site:https://rubensmoura87.github.io

Datasets:
  • BR_jps_out - Replications of the JPS
  • DomMacro - Data: domestic risk factors - Candelon and Moura
  • DomMacro_covid - Data: Risk Factors for the GVAR - Candelon and Moura
  • GlobalMacro - Data: Risk Factors - Candelon and Moura
  • GlobalMacro_covid - Data: Risk Factors - Candelon and Moura
  • GVARFactors - Data: Risk Factors for the GVAR - Candelon and Moura
  • InpForOutEx - Example of list inputs used in the construction of several model outputs
  • NumOutEx - Example of computed numerical outputs
  • Out_Example - Complete list of several outputs from an ATSM
  • ParaSetEx - Example of parameter set after optimization
  • RiskFacFull - Data: Full set of risk factors - Candelon and Moura
  • TradeFlows - Data: Trade Flows - Candelon and Moura
  • TradeFlows_covid - Data: Trade Flows - Candelon and Moura
  • Yields - Data: bond yield data - Candelon and Moura
  • Yields_covid - Data: Yields - Candelon and Moura

On CRAN:

Conda:

6.28 score 4 stars 60 scripts 223 downloads 24 exports 33 dependencies

Last updated from:27a6bb50d9. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK367
source / vignettesOK231
linux-release-x86_64OK363
macos-release-arm64OK250
macos-oldrel-arm64OK279
windows-develOK344
windows-releaseOK354
windows-oldrelOK388
wasm-releaseOK121

Exports:autoplotBias_Correc_VARBootstrapDatabasePrepDataForEstimationFEVDandGFEVDgraphsFitgraphsForecastYieldsGVARInputsForOptInputsForOutputsIRFandGIRFgraphsJLLLabFacLoad_Excel_DataLoadDataNumOutputsOptimizationpca_weights_one_countryRiskFactorsGraphsSpanned_FactorsTPDecompGraphTransition_MatrixVAR

Dependencies:abindclicowplotcpp11dplyrfarvergenericsggplot2gluegtablehablarisobandlabelinglifecyclelubridatemagicmagrittrpillarpkgconfigpracmapurrrR6RColorBrewerrlangS7scalestibbletidyselecttimechangeutf8vctrsviridisLitewithr

MultiATSM package - General Guidelines

Rubens Moura

Rendered fromMultiATSM.Rmdusingknitr::rmarkdownon May 28 2026.

Last update: 2026-02-25
Started: 2025-09-25

Paper Replications

Rubens Moura

Rendered fromPaper-Replications.Rmdusingknitr::rmarkdownon May 28 2026.

Last update: 2026-02-25
Started: 2025-01-29

Readme and manuals

Help Manual

Help pageTopics
Autoplot generic functionautoplot
Autoplot method for ATSMModelBoot objectsautoplot.ATSMModelBoot
Autoplot method for ATSMNumOutputs objectsautoplot.ATSMNumOutputs
Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)Bias_Correc_VAR
Generates the bootstrap-related outputsBootstrap
Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)BR_jps_out
Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")DatabasePrep
Retrieves data from Excel and builds the database used in the model estimationDataForEstimation
Data: domestic risk factors - Candelon and Moura (2024, JFEC)DomMacro
Data: Risk Factors for the GVAR - Candelon and Moura (2023)DomMacro_covid
FEVD and GFEVD graphs for all modelsFEVDandGFEVDgraphs
Model fit graphs for all modelsFitgraphs
Generates forecasts of bond yields for all model typesForecastYields
Data: Risk Factors - Candelon and Moura (2024, JFEC)GlobalMacro
Data: Risk Factors - Candelon and Moura (2023, EM)GlobalMacro_covid
Estimates a GVAR(1) and VARX(1,1,1) modelsGVAR
Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)GVARFactors
Example of list inputs used in the construction of several model outputsInpForOutEx
Generates inputs necessary to build the likelihood function for the ATSM modelInputsForOpt
Collects the inputs that are used to construct the numerical and graphical outputsInputsForOutputs
IRF and GIRF graphs for all modelsIRFandGIRFgraphs
Estimates the P-dynamics from JLL-based modelsJLL
Generates the labels for risk factors used in the modelLabFac
Read data from Excel files and return a named list of data framesLoad_Excel_Data
Loads data sets from several papersLoadData
ATSM PackageMultiATSM-package MultiATSM
Overview of Datasets Included in the MultiATSM PackageMultiATSM_datasets
Example of computed numerical outputsNumOutEx
Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia)NumOutputs
Perform the optimization of the log-likelihood function of the chosen ATSMOptimization
Complete list of several outputs from an ATSMOut_Example
Example of parameter set after optimizationParaSetEx
Computes the PCA weights for a single countrypca_weights_one_country
Plot method for ATSMModelForecast objectsplot.ATSMModelForecast
Print method for ATSMModelInputs objectsprint.ATSMModelInputs
Data: Full set of risk factors - Candelon and Moura (2024, JFEC)RiskFacFull
Spanned and unspanned factors plotRiskFactorsGraphs
Computes the country-specific spanned factorsSpanned_Factors
Summary method for ATSMModelInputs objectssummary.ATSMModelInputs
Summary method for ATSMModelOutputs objectssummary.ATSMModelOutputs
Term Premia decomposition graphs for all modelsTPDecompGraph
Data: Trade Flows - Candelon and Moura (2024, JFEC)TradeFlows
Data: Trade Flows - Candelon and Moura (2023, EM)TradeFlows_covid
Computes the transition matrix required in the estimation of the GVAR modelTransition_Matrix
Estimates a standard VAR(1)VAR
Data: bond yield data - Candelon and Moura (2024, JFEC)Yields
Data: Yields - Candelon and Moura (2023)Yields_covid