curvir: curvir:Reserve demand curve modelling toolbox

curvirR Documentation

curvir:Reserve demand curve modelling toolbox

Description

The curvir package provides tools for building reserve demand curves for central bank operations.

Parametric curve modelling

  • curve - fit a parametric curve

  • curveopt - optimise curve parameters (called through curve)

  • curvepred - predict curve values (called through predict)

  • invcurve - produce predictions from the inverse curve

Non-parametric curve modelling

  • npcurve - fit a non-parametric curve

Curve specification

  • cvfit - Joint automatic specification of curve type and regressors

  • varselect - Automatic specification of regressors

  • cvnpcurve - Provide cross-validated errors for non-paramteric curves

  • cvfitplot - Summary plot for cvfit and cvnpcurve

General

  • predict Predict parametric and non-parametric curves

  • plot Plot parametric and non-parametric curves

Data

  • ecb ECB dataset from Chen et al. (2023)

Author(s)

Nikolaos Kourentzes, nikolaos@kourentzes.com, Zhuohui Chen, zchen4@imf.org, Romain R. Veyrune.

References

Chen, Z., Kourentzes, N., & Veyrune, R. (2023). Modeling the Reserve Demand to Facilitate Central Bank Operations. IMF Working Papers, 2023(179).


curvir documentation built on Nov. 24, 2023, 5:09 p.m.