Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
AbstractThe main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. The series of banknotes in circulation displays very marked seasonal patterns. T o the best of our knowledge the empirical performance of tw o 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 eac happroach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0211.
Length: 44 pages
Date of creation: May 2002
Date of revision:
Daily Forecast; Liquidity Management; ARIMA modelling; State Space modelling; Seasonality; Cubic Splines;
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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
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