Below are my Bayesian VAR curve estimation for Peruvian yield curve modelling modules, uploaded for replication:
Main code:
The function support codes:
- ap_two_step_bvar.m
- ap_two_step_bvar_p8.m
- ap_two_step_var.m
- ap_two_step_var_p8.m
- bvar1_minnesota.m
- bvarp_minnesota_p8.m
- get_ATSM_loadings_bvar1.m
- make_loading_table_bvar1.m
- plot_contrib_cross_section_bvar1.m
- plot_contrib_timeseries_bvar1.m
- plot_loading_curves_bvar1.m
- plot_variance_decomp_bvar1.m
- robust_z.m
- smooth_latent.m
- summarize.m
- var_irf_chol.m
- variance_decomp_bvar1.m
- yield_contrib_at_t_bvar1.m
The input files:
- Des_Macro_Vars.xlsx
- Fuente_Input_Empleo_Mensuales-20250820-192845.xlsx
- Fuente_Input_IPC_Alimentos_En_Mensuales-20250820-221429.xlsx
- Fuente_Input_IPC_Importado_Mensuales-20250820-221503.xlsx
- Fuente_Input_IPC_Mensuales-20250820-215828.xlsx
- Fuente_Input_PBI_Ind_No_Primario_Mensuales-20250820-210626.xlsx
- Fuente_Input_PBI_Ind_Primario_Mensuales-20250820-211754.xlsx
- Fuente_Input_curva_historica.xlsx
- Fuente_Input_curva_historica2.xlsx
- Fuente_USA_GS10.csv
- GS_Consol_Int.xlsx
- Macro_Data_Consolidated.xlsx
- Vector_Precios.xlsm
Working paper draft
A preliminary write-up of these results is available here: