Jordan: Technical Assistance Report-Forecasting Framework for Currency in Circulation

International Monetary Fund

No 2022/101, IMF Staff Country Reports from International Monetary Fund

Abstract: The currency in circulation forecasting model presently used by the Central Bank of Jordan is aligned with international practices and provides a solid basis for liquidity management. The central bank uses an Auto Regressive Integrated Moving Average (ARIMA) model with many indicator variables to model binary seasonality and to capture special events. The ARIMA model is fitted on daily currency in circulation data using a standard maximum likelihood estimator. This ARIMA approach is aligned with the models traditionally used by central banks in emerging and middle-income countries.

Keywords: moving average; staff level agreement; IMF team; hierarchy forecasting; ARIMA model; Monetary base; Currency issuance; Open market operations; Global (search for similar items in EconPapers)
Pages: 38
Date: 2022-04-07
New Economics Papers: this item is included in nep-ara, nep-for and nep-mac
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