Bills and Coins Daily Demand Forecast
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.
Volume (Year): 1 (2012)
Issue (Month): 65-66 (September)
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References listed on IDEAS
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- Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2009.
"Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 28(3), pages 194-217.
- 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," Working Papers 0211, Banco de España;Working Papers Homepage.
- 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.
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- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, August.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, August.
- 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 354-368, July. Full references (including those not matched with items on IDEAS)
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