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Modelling the Daily Currency in Circulation in Turkey

Author

Listed:
  • 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.

Suggested Citation

  • Halil Guler & Anil Talasli, 2010. "Modelling the Daily Currency in Circulation in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(1), pages 29-46.
    • Handle: RePEc:tcb:cebare:v:10:y:2010:i:1:p:29-46
    as

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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2010/Volume+10-1/
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    References listed on IDEAS

    as
    1. Guglielmo Maria Caporale, 2005. "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 282-309.
    2. William J. Baumol, 1952. "The Transactions Demand for Cash: An Inventory Theoretic Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 66(4), pages 545-556.
    3. 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.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Currency in circulation; Liquidity management; Time series models; Seasonality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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