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I've been conducting seasonal adjustment using both X-13 ARIMA-SEATs as well as TRAMO-SEATS for different kind of variables (stock and flows) such as monetary aggregates and balance of payments....
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I'm modelling "deviations of interbank rate from policy rate (Yt)" in function of a liquidity variable (Xt). The idea is that interbank will deviate more depending on the level (threshold) of Xt....
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Does anybody know any paper about the effects of the amount of Central Bank lending on interbank rate? I´m trying to study for an optimal amount that a Central Bank can lend to banks (Repos,...
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