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 ()
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Astrid Hirsch: European Central Bank
Fernando Nieto: Banco de España

No 211, Working Papers from Banco de España

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. T o the best of our knowledge the empirical performance of tw o 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 eac happroach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem.

Keywords: Daily Forecast; Liquidity Management; ARIMA modelling; State Space modelling; Seasonality; Cubic Splines (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 C59 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2002-05
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Citations: View citations in EconPapers (17)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/02/Fic/dt0211e.pdf First version, May 2002 (application/pdf)

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:bde:wpaper:0211

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