ecb: ECB excess reserve data

In curvir: Specify Reserve Demand Curves

ECB excess reserve data

Description

The short-term interest rate used for the European Central Bank (ECB) is the volume-weighted Euro Overnight Index Average (EONIA) rate. Various explanatory variables are provided, as listed in the Chen et al. (2023). Data are collected from 1999 to 2019, resulting in 239 maintenance periods where all data is available.

Usage

ecb

Format

ecb a list containing

• rate the normalised EONIA rate.

• x a matrix including the ECB excess reserves and various regressors.

References

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

Examples

plot(ecb$x[,1],ecb$rate,xlab="Excess Reserves",ylab="Rate")

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