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Article

Прогноз спроса на аукционе РЕПО с Банком России

Деньги и кредит. 2012. № 5. С. 1-5.
Исаков А. В.

Combination of the offered volume on the REPO auction with the Bank of Russia and the demand for it produce powerful signaling mechanism for the interbank money market. In order to have a possibility to emit an unintended signal there is a need for a robust estimator of the demand. This paper proposes an approach to produce such an estimator through an ensemble of logistic and linear regression models. This estimator successfully emulates many of the key features of the process.