Modelling the Daily Currency in Circulation in Turkey
AbstractThe 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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Bibliographic InfoArticle 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 ()
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More information through EDIRC
Currency in circulation; Liquidity management; Time series models; Seasonality;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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- Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas, 2004.
"The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study,"
156, Institute for Advanced Studies.
- 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," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.
- 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.
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