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Bills and Coins Daily Demand Forecast

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Author Info

  • Diego Elías

    ()
    (Central Bank of Argentina, UADE)

  • Matías Vicens

    ()
    (Central Bank of Argentina)

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    Abstract

    An accurate liquidity forecast is necessary for an effective implementation of monetary policy. Its quality is determined by the quality of its components: the projected demand for bank reserves and of the, so called, autonomous monetary factors, such as the demand for bills and coins of the public, the monetary effect of public sector and external sector operations, and some operations with the financial sector. The objective of the paper is to improve one component of this process, the daily forecast of the short term demand for bills and coins. Therefore, two models, that treat calendar effects, business day effects, and annual and monthly seasonal effects, were estimated. Both showed a good short-term forecasting performance.

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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/65-66_Elias.pdf
    File Function: Spanish version (versión en Español)
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    Bibliographic Info

    Article provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.

    Volume (Year): 1 (2012)
    Issue (Month): 65-66 (September)
    Pages: 23-39

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    Handle: RePEc:bcr:ensayo:v:1:y:2012:i:65-66:p:23-39

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    Related research

    Keywords: bills and coins demand; daily projections; forecasting; monetary policy;

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    1. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.
    2. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, October.
    3. Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Banco de Espa�a Working Papers 0211, Banco de Espa�a.
    4. Cabrero, Alberto & Camba-Méndez, Gonzalo & Hirsch, Astrid & Nieto, Fernando, 2002. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Paper Series 0142, European Central Bank.
    5. Pierce, David A & Grupe, Michael R & Cleveland, William P, 1984. "Seasonal Adjustment of the Weekly Monetary Aggregates: A Model-based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 260-70, July.
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