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Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

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Author Info
Alberto Cabrero (Banco de España, Madrid, Spain)
Gonzalo Camba-Mendez (European Central Bank, Frankfurt am Main, Germany)
Astrid Hirsch (European Central Bank, Frankfurt am Main, Germany)
Fernando Nieto (Banco de España, Madrid, Spain)
Abstract

The main focus of this paper is to model the daily series of banknotes in circulation. The series of banknotes in circulation displays very marked seasonal patterns. To the best of our knowledge the empirical performance of two competing approaches to model seasonality in daily time series, namely the ARIMA-based approach and the Structural Time Series approach, has never been put to the test. The application presented in this paper provides valid intuition on the merits of each approach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1118
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 28 (2009)
Issue (Month): 3 ()
Pages: 194-217
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:194-217

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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This page was last updated on 2009-12-10.

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