Bills and Coins Daily Demand Forecast

Diego Elías () and Matías Vicens ()
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Diego Elías: Central Bank of Argentina, UADE
Matías Vicens: Central Bank of Argentina

Ensayos Económicos, 2012, vol. 1, issue 65-66, 23-39

Abstract: 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.

Keywords: bills and coins demand; daily projections; forecasting; monetary policy (search for similar items in EconPapers)
JEL-codes: C22 E41 E47 (search for similar items in EconPapers)
Date: 2012
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