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

Alberto Cabrero Bravo, Gonzalo Camba-Mendez, Astrid Hirsch and Fernando Nieto

No 142, Working Paper Series from European Central Bank

Abstract: The main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. 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. JEL Classification: C22, C51, C53, C59

Keywords: Daily Forecast; liquidity management; seasonality; time series models (search for similar items in EconPapers)
Date: 2002-05
Note: 337420
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Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank (2009)
Working Paper: Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2002142

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