Outright Monetary Transactions and R squared: Difference between pages

Revision as of 12:10, 2 April 2019

Regression analysis and hedge effectiveness.

R squared is a measure of the goodness of fit between two variables.

In hedge effectiveness testing, it measures how closely the value of the hedging instrument tracks the value of the underlying exposure being hedged.

An R squared parameter equal to or greater than 0.80 is generally considered effective.

Other metrics for hedge effectiveness include Slope.

R squared is also sometimes written R-squared, with a hyphen.

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-(OMT).
+''Regression analysis and hedge effectiveness''.
-Part of the [[open market operations]] of a central bank in which the central bank buys or sells securities outright - i.e. without the re-sale or re-purchase legs of [[reverse repurchase agreement]]s or [[repurchase agreement]]s.
+''R squared'' is a measure of the goodness of fit between two variables.
-This was a new tool for the European Central Bank in 2012 - and controversial, especially in Germany - though its use by other banks has not been so dogged by controversy.
+In hedge effectiveness testing, it measures how closely the value of the hedging instrument tracks the value of the underlying exposure being hedged.
-[[Category:Risk_frameworks]]
+An ''R squared'' parameter equal to or greater than 0.80 is generally considered effective.
+Other metrics for hedge effectiveness include Slope.
+R squared is also sometimes written ''R-squared'', with a hyphen.
+== See also ==
+* [[Basis risk]]
+* [[Efficiency]]
+* [[Hedge]]
+* [[Hedge accounting]]
+* [[Hedge effectiveness]]
+* [[Regression analysis]]
+* [[Slope]]