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Modelling the Daily Currency in Circulation in Turkey

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  • Halil Guler
  • Anil Talasli

Abstract

The main focus of this paper is to model the daily series of currency in circulation in Turkey. The currency in circulation is one of the most significant factors influencing the liquidity of the Turkish banking system. Therefore, the amount of currency in circulation has to be forecasted as accurately as possible. The currency in circulation displays an increasing long-term trend and strong seasonal factors which can be forecasted. This paper introduces the ARIMA-based approach to model seasonality in daily time series and evaluates the forecasting performance of the model. The results indicate that the forecasting performance of the model is better than the expert judgments both in the short-term and the long-term.

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File URL: http://www.tcmb.gov.tr/research/cbreview/jan10-2.pdf
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Bibliographic Info

Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

Volume (Year): 10 (2010)
Issue (Month): 1 ()
Pages: 29-46

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Handle: RePEc:tcb:cebare:v:10:y:2010:i:1:p:29-46

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Related research

Keywords: Currency in circulation; Liquidity management; Time series models; Seasonality;

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  1. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Economics and Finance Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.
  2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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