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

  • 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)

Registered author(s):

    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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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 28 (2009)
    Issue (Month): 3 ()
    Pages: 194-217

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    Handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:194-217
    DOI: 10.1002/for.1118
    Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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    1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
    2. Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 0044, European Central Bank.
    3. Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469.
    4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
    5. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    6. 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 354-68, July.
    7. Pierce, David A & Grupe, Michael R & Cleveland, William P, 1984. "Seasonal Adjustment of the Weekly Monetary Aggregates: A Model-based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 260-70, July.
    8. Bindseil, Ulrich, 2001. "Central bank forecasts of liquidity factors: Quality, publication and the control of the overnight rate," Working Paper Series 0070, European Central Bank.
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