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

โœ Scribed by Alberto Cabrero; Gonzalo Camba-Mendez; Astrid Hirsch; Fernando Nieto

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
249 KB
Volume
28
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

Abstract

The main focus of this paper is to model the daily series of banknotes in circulation. 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 ARIMAโ€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.โ€‰โ€‰Copyright ยฉ 2008 John Wiley & Sons, Ltd.

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