ecb {curvir} | R Documentation |
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")
[Package curvir version 0.1.1 Index]