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.

datasets

Automatic specification and estimation of reserve demand curves for central bank operations. The package can help to choose the best demand curve and identify additional explanatory variables. Various plot and predict options are included. For more details, see Chen et al. (2023) <https://www.imf.org/en/Publications/WP/Issues/2023/09/01/Modeling-the-Reserve-Demand-to-Facilitate-Central-Bank-Operations-538754>.

Nikolaos Kourentzes

curvir

Specify Reserve Demand Curves

Zhuohui Chen

Romain Veyrune

ecb function

<code>ecb</code> a list containing<ul>
<li><code>rate</code> the normalised EONIA rate.</li>
<li><code>x</code> a matrix including the ECB excess reserves and various regressors.</li>
</ul>

ecb: ECB excess reserve data

Description

Usage

Arguments

Format

References

Examples