Modelling the Daily Banknotes in Circulation in the Context of the Liquidity Management of the European Central Bank
Bank of Spain
European Central Bank (ECB); National Institute of Economic and Social Research (NIESR)
European Central Bank (ECB)
Bank of Spain
ECB Working Paper No. 142
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.
Number of Pages in PDF File: 55
Keywords: Daily forecast, Liquidity Management, Time Series models, Seasonality, Cubic Splines
JEL Classification: C22, C51, C53, C59working papers series
Date posted: January 20, 2003
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