Euro Short-Term Rate: Share of Volume of the 5 Largest Active Banks
Why Use This Data Source In Your Models?
The ESTR Share of Volume metric is useful for regulators, economists, and financial analysts monitoring systemic risks and liquidity in the Eurozone banking system. A high concentration of activity among a few banks could indicate limited competition or potential vulnerabilities if one of these institutions faces financial strain. Additionally, this metric helps market participants understand the dynamics of the ESTR market, evaluate the influence of large banks on short-term interest rates, and assess how changes in this concentration may affect market liquidity and the effectiveness of monetary policy within the Eurozone.
Euro Short-Term Rate: Share of Volume of the 5 Largest Active Banks
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Automated Data Profiling
Suggested Treatment:
Grain Transformation:
Source:
Republic of Korea
Release:
Trade
Units:
Percent, Not Seasonally Adjusted
Frequency:
Daily
Available Through:
04/23/2025
Suggested Treatment:
The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Square Root variable will also perform well.
Grain Transformation:
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Auto Correlation Analysis:
Data shows auto correlation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.40
Trend Analysis:
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.90 p-value = 0.01 indicates that the data is not stationary.
Distribution Analysis:
The Shapiro-Wilk test returned W = 0.98 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 0.36 indicates the data are fairly symmetrical.
Hartigan's dip test score of 0.05 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Auto Correlation Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal Impact
Seasonal and Trend Decompostion
Citation:
European Central Bank, Euro Short-Term Rate: Share of Volume of the 5 Largest Active Banks [ECBESTRSHRVOL5LRGACTBNK], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/ECBESTRSHRVOL5LRGACTBNK, October 30, 2024.
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