Modelling the Daily Currency in Circulation in Turkey

Halil Guler and Ismail Talasli ()

Central Bank Review, 2010, vol. 10, issue 1, 29-46

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.

Keywords: Currency in circulation; Liquidity management; Time series models; Seasonality (search for similar items in EconPapers)
JEL-codes: C22 C53 E41 E47 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:10:y:2010:i:1:p:29-46

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