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Claeys & Vasicek(2014)
Posted: Mon Jun 27, 2016 8:05 pm
by mightydell37
I'm looking for the RATS code to implement Claeys & Vasicek (2014), "Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe," ECB Working Paper Series No. 1666, April 2014. The paper is available at
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c. The paper uses a factor-augmented version of the VAR model in Diebold and Yilmaz (2009) and applies a multivariate structural break test of Qu and Peron (2007) to detect significant sudden changes in shock transmission.
The paper is available at:
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c
Thank you.
Re: Claeys & Vasicek(2014)
Posted: Fri Jul 01, 2016 1:13 am
by mightydell37
I'm interested with the codes for estimating the Diebold-Yilmaz spillover index using the Factor Augmented VAR (FAVAR) approach because I want to see how it differs from a VAR model that includes the CBOE volatility index (VIX), which is used to control for common shocks.
mightydell37 wrote:I'm looking for the RATS code to implement Claeys & Vasicek (2014), "Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe," ECB Working Paper Series No. 1666, April 2014. The paper is available at
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c. The paper uses a factor-augmented version of the VAR model in Diebold and Yilmaz (2009) and applies a multivariate structural break test of Qu and Peron (2007) to detect significant sudden changes in shock transmission.
The paper is available at:
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c
Thank you.
Re: Claeys & Vasicek(2014)
Posted: Fri Jul 01, 2016 1:37 pm
by TomDoan
Have you requested the data (and programs if possible) from the authors?
Re: Claeys & Vasicek(2014)
Posted: Sun Jul 03, 2016 10:39 pm
by mightydell37
Hi Tom,
I'm still waiting for their reply.
TomDoan wrote:Have you requested the data (and programs if possible) from the authors?
Re: Claeys & Vasicek(2014)
Posted: Sun Jul 24, 2016 10:36 pm
by mightydell37
Dear Tom, I was told by one of the authors that because of proprietary issues, they cannot share the data. As for the Estima RATS implementation, he told me that they modified the BBE FAVAR RATS code to extract common factors from the 16 EU sovereign bond yield spreads. My confusion stems from my lack of understanding how slow and fast moving variables are used to identify the loadings. Grateful if you can provide me with directions on the next steps to take. Thank you.
mightydell37 wrote:Hi Tom,
I'm still waiting for their reply.
TomDoan wrote:Have you requested the data (and programs if possible) from the authors?