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main.R
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##################################################################################
# Macroeconomic Finance: Final Project #
# April 12, 2019 #
# Abdul Tawab Ajmal Safi #
##################################################################################
##################################################################################
#Main Setup
##################################################################################
# preliminaries (install packages if necessary)
install.packages("xts")
install.packages("pdfetch")
install.packages("pscl")
install.packages("stargazer")
install.packages("lubridate")
install.packages("tidyverse")
install.packages("ggplot2")
install.packages("tidyr")
install.packages("dplyr")
install.packages("car")
install.packages("readxl")
install.packages("sandwich")
install.packages("quantmod")
install.packages("Quandl")
install.packages("PerformanceAnalytics")
install.packages("factoextra")
install.packages("corrplot")
install.packages("dygraphs")
install.packages("igraph")
install.packages("visNetwork")
install.packages("vars")
install.packages("tframePlus")
install.packages("plot3D")
install.packages("plot3Drgl")
install.packages("plotly")
install.packages("rgl")
install.packages("scatterplot3d")
install.packages("lattice")
install.packages("lme4")
##############################
#Loading Libraries
library(xts) # time series
library(pdfetch) # loads data from the internet: https://www.rdocumentation.org/packages/pdfetch/versions/0.2.3
library(pscl) # pseudo R2 for probit
library(stargazer) # nice format for tables
library(lubridate) # handle dates
library(tidyverse)
library(ggplot2) # beautiful graphs
library(tidyr)
library(dplyr)
library(car) #used for scatterplots
library(readxl) #Read EXcel
library(sandwich) # Newey-West standard errors
library(quantmod) #standard errors
library(Quandl) #standard errors
library(PerformanceAnalytics) # to calculate returns
library (factoextra) # to do awesome PCA charts
library(corrplot) # correlation matrix
library(dygraphs)
library(igraph) # Network plots https://igraph.org/r/doc/
library(visNetwork)
library(vars)
library(tframePlus)
library(plot3D)
library(plot3Drgl)
library(plotly)
library(rgl)
library(scatterplot3d)
library(lattice)
library(lme4)
#########################################################
#Set Up
#########################################################
##################################################################################
# Variable Scrubbing
rm(list=ls(all=TRUE))
#####################################
#pdfetch_FRED
us.cpi.FRED = pdfetch_FRED("CPIAUCSL")
us.unemp.FRED = pdfetch_FRED("UNRATE")
#####################################
#Excel Files
username = readline(prompt="Enter name: ")
setwd(paste("C:/Users/",username,"/Desktop/Macro-Finance Final Project/Data", collapse='', sep=''))
#YLDS
us.ylds.e = read_xlsx("ALL_YLDS/ALL_YLDS_US.xlsx")
#EXP
us.exp.e = read_xlsx("ALL_EXP/ALL_EXP_US.xlsx")
#TP
us.tp.e = read_xlsx("ALL_TP/ALL_TP_US.xlsx")
#US TEN Year - 3 months
tenthree.FRED = pdfetch_FRED("T10Y3MM")
###########################################
#Change this
start.date = "1995-01-30"
end.date = "2018-10-31"
l = 120 #This indicates that we will be taking returns from 2 months up until 120 months
############################################
#Percentage change
#CPI
us.cpi.change = diff(log(us.cpi.FRED), lag=1)
us.cpi = window(us.cpi.change, start = start.date, end = end.date)
us.cpi = us.cpi*100
#UNEMP
us.unemp = window(us.unemp.FRED, start = start.date, end = end.date)
#TEN Year minus Three Months
tenthree = window(tenthree.FRED, start = start.date, end = end.date)
############################################
#Start and End Date of the yield
us.ylds.e = us.ylds.e[which(us.ylds.e[,1]>=start.date & us.ylds.e[,1]<=end.date),]
us.exp.e = us.exp.e[which(us.exp.e[,1]>=start.date & us.exp.e[,1]<=end.date),]
us.tp.e = us.tp.e[which(us.tp.e[,1]>=start.date & us.tp.e[,1]<=end.date),]
###########################################
#End of Setup
###########################################
##########################################
##########################################
# US Yield Curve
##########################################
##########################################
#Term Spread Setup
###################################
#10 year - 3 months
#Long term = 24 months - 120 months
#Short term = 2 months - 18 months
longterm = 24:120
shortterm = 2:18
nspread = 1649 #Number of possible term spread combinations
us.termspread = matrix()
for (i in longterm){
for(j in shortterm){
us.termspread = cbind(us.termspread,us.ylds.e[,i]-us.ylds.e[,j])
}
}
us.termspread = us.termspread[,-1]
# row.names(us.termspread) = data.matrix(us.ylds.e[,1])
#Label the rows of termspread as date
row.names(us.termspread) = format(seq(as.Date("1995-01-30"), by = "month", length.out = 286),"%Y-%m-%d")
###########################################
#Running a regression on all the term spreads and storing all Betas
#Regression with CPI
#Beta coefficient Extraction from Regression
beta.ylds.cpi.us = c()
for(i in 1:nspread){
beta.ylds.cpi.us[i] = coefficients(lm(us.termspread[,i] ~ us.cpi))[2]
}
#P value Extraction from the Regression
p.ylds.cpi.us = c()
for(i in 1:nspread){
p.ylds.cpi.us[i] = summary(lm(us.termspread[,i] ~ us.cpi))$coefficients[8]
}
#R squared Extraction From the Regression
r.ylds.cpi.us = c()
for(i in 1:nspread){
r.ylds.cpi.us[i] = summary(lm(us.termspread[,i] ~ us.cpi))$r.squared
}
#adjusted R Squared Extraction From Regression
adjr.ylds.cpi.us = c()
for(i in 1:nspread){
adjr.ylds.cpi.us[i] = summary(lm(us.termspread[,i] ~ us.cpi))$adj.r.squared
}
#######################################################
# Rough Work for figuring out how to extract p value and R squared
# x = lm(us.termspread[,1] ~ us.cpi)
# View(x)
# x[["R"]]
# stargazer(x, title="Recesssion Forecasting Model [Australian Spread]", aline = TRUE , type = "text", keep.stat = "all")
# pR2(x)
# summary(x)$r.squared
#
# lmp <- function (modelobject) {
# if (class(modelobject) != "lm") stop("Not an object of class 'lm' ")
# f <- summary(modelobject)$fstatistic
# p <- pf(f[1],f[2],f[3],lower.tail=F)
# attributes(p) <- NULL
# return(p)
# }
# y = summary(x)$coefficients[8]
# y = summary(x)[12]
# y = summary(x)
# data.matrix(y)
# y[1]
# pVal <- anova(x)$'Pr(>F)'[1]
########################################################
#Regression with UNEMP
#Beta coefficient Extraction from Regression
beta.ylds.unemp.us = c()
for(i in 1:nspread){
beta.ylds.unemp.us[i] = coefficients(lm(us.termspread[,i] ~ us.unemp))[2]
}
#P value Extraction from the Regression
p.ylds.unemp.us = c()
for(i in 1:nspread){
p.ylds.unemp.us[i] = summary(lm(us.termspread[,i] ~ us.unemp))$coefficients[8]
}
#R squared Extraction From the Regression
r.ylds.unemp.us = c()
for(i in 1:nspread){
r.ylds.unemp.us[i] = summary(lm(us.termspread[,i] ~ us.unemp))$r.squared
}
#adjusted R Squared Extraction From Regression
adjr.ylds.unemp.us = c()
for(i in 1:nspread){
adjr.ylds.unemp.us[i] = summary(lm(us.termspread[,i] ~ us.unemp))$adj.r.squared
}
#################################################
#3D Graphing
####################
# Basic Setup
#long term
long.term = c()
for (i in longterm){
for(j in shortterm){
long.term = rbind(long.term,rep(i,j))
}
}
long.term = long.term[,-1]
#short term
short.term = c()
for (i in longterm){
for(j in shortterm){
short.term = rbind(short.term,rep(j,i))
}
}
short.term = short.term[,1]
########################################
#3D Graphing for Regression with CPI
########################################
#Significance Setup
s.color = c()
for (i in 1:1649)
if (p.ylds.cpi.us[i] <= 0.1){
s.color[i] = 1
} else {
s.color[i] = 0
}
s.color[which(s.color == 0)] <- 'Not Significant'
s.color[which(s.color == 1)] <- 'Signifcant'
s.color <- as.factor(s.color)
#Beta
##################################
data.3d = cbind(beta.ylds.cpi.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- beta.ylds.cpi.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 120
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and CPI Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
################################
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'Beta')))
#P value
##################################
data.3d = cbind(p.ylds.cpi.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- p.ylds.cpi.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 240
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of p-value coefficient of Term Spread and CPI Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and CPI Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and CPI Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and CPI Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and CPI Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and CPI Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
################################
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'P Value')))
#R value
##################################
data.3d = cbind(r.ylds.cpi.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- r.ylds.cpi.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 120
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and CPI Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'R Squared')))
#Adjusted R value
##################################
data.3d = cbind(adjr.ylds.cpi.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- adjr.ylds.cpi.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 240
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and CPI Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'Adjusted R Squared')))
########################################
#3D Graphing for Regression with UNEMP
########################################
#Significance Setup
s.color = c()
for (i in 1:1649)
if (p.ylds.unemp.us[i] <= 0.1){
s.color[i] = 1
} else {
s.color[i] = 0
}
s.color[which(s.color == 0)] <- 'Not Significant'
s.color[which(s.color == 1)] <- 'Signifcant'
s.color <- as.factor(s.color)
#Beta
##################################
data.3d = cbind(beta.ylds.unemp.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- beta.ylds.unemp.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 120
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Beta",
main = "Change of beta coefficient of Term Spread and unemp Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'Beta')))
#P value
##################################
data.3d = cbind(p.ylds.unemp.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- p.ylds.unemp.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 120
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of p-value coefficient of Term Spread and unemp Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and unemp Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and unemp Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and unemp Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and unemp Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "P-Value",
main = "Change of P-Value coefficient of Term Spread and unemp Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'P Value')))
#R value
##################################
data.3d = cbind(r.ylds.unemp.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- r.ylds.unemp.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 120
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "R Squared",
main = "Change of R Squared coefficient of Term Spread and unemp Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'R Squared')))
#Adjusted R value
##################################
data.3d = cbind(adjr.ylds.unemp.us, long.term, short.term)
# x, y and z coordinates
x <- short.term
y <- long.term
z <- adjr.ylds.unemp.us
#3d Scatterplot
scatterplot3d(x,y,z, pch = 16, highlight.3d = T, angle = 240
,type = "h",
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression")
#rgl
plot3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression")
plot3d(x,y,z,
col = "red",
type = "s",
radius = 0.2,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression")
#scatter3d
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression",
surface = T)
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression",
surface = T,
fit = "smooth")
scatter3d(x,y,z,
type = "p",
col = "red",
size = 4,
xlab = "Short Run",
ylab = "Long Run",
zlab = "Adjusted R Squared",
main = "Change of Adjusted R Squared coefficient of Term Spread and unemp Regression",
surface = F,
grid = F,
ellipsoid = T,
axis.col = c("black","black","black"))
#Plotly
plot_ly(x = x, y = y, z = z,color = s.color, size = 0.3, colors = c('#BF382A', '#0C4B8E') )%>%
add_markers() %>%
layout(scene = list(xaxis = list(title = 'Short Run'),
yaxis = list(title = 'Long Run'),
zaxis = list(title = 'Adjusted R Squared')))
##########################################
##########################################
# End of US Yield Curve
##########################################
##########################################
##########################################
##########################################
# US Expectation Component
##########################################
##########################################
#Term Spread Setup
###################################
#10 year - 3 months
#Long term = 24 months - 120 months
#Short term = 2 months - 18 months
longterm = 24:120
shortterm = 2:18
nspread = 1649 #Number of possible term spread combinations
us.termspread.exp = matrix()
for (i in longterm){
for(j in shortterm){
us.termspread.exp = cbind(us.termspread.exp,us.exp.e[,i]-us.exp.e[,j])
}
}
us.termspread.exp = us.termspread.exp[,-1]
#Label the rows of termspread as date
row.names(us.termspread.exp) = format(seq(as.Date("1995-01-30"), by = "month", length.out = 286),"%Y-%m-%d")
###########################################