curvir {curvir}

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, [e-mail], Zhuohui Chen, [e-mail], 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).