Forecasting Growth Of Third Party Funds

Ina N. Kurniati ()
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Ina N. Kurniati: Bank Indonesia

No WP/10/2015, Working Papers from Bank Indonesia

Abstract: This research discusses the alternatives for forecasting method of third party funds (TPF) growth as a complement of forecast produced by BAMBI–Banking Model of Bank Indonesia using several methods: holt winter additive exponential smoothing, ARIMA, multivariate regression, and forecast on expectations of the banking sector contained in qualitative survey. The estimation is followed by three types of combined forecasts to increase accuracy and predictive power of the model. The result analysis shows the model offered can describe the behavior of TPF growth. Market players’ expectations in qualitative survey in the Indonesian Banking Survey are also proven to have forecast potential of TPF growth. Based on the combined forecast conducted, the weighted average of combined forecast using regression approach produces the best result. Not only compared to individual forecast, but also to other combined forecast methods. TPF growth in Q4-2015 is expected at 11.19% with probability of 95% would be within confidence interval (8.19%, 14.18%), while for Q4-2016 is predicted at 14.97% with probability of 95% would be within interval (11.98%, 17.7%).

Keywords: forecasting and prediction methods; banking; forecasting and simulation (search for similar items in EconPapers)
JEL-codes: C53 E47 G21 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2015-12
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