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Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data

29 Pages Posted: 13 Jun 2017  

Monique Timmermans

De Nederlandsche Bank

Ronald Heijmans

De Nederlandsche Bank

Hennie Daniels

Erasmus Research Institute of Management (ERIM); Tilburg University, CentER for Economic Research

Date Written: June 9, 2017

Abstract

This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two different ARIMA dummy models to the TBATS state space model. The results show that the forecasts of the ARIMA dummy models perform better than the TBATS model. We also find that there is no clear difference between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.

Keywords: ARIMA, TBATS, Time Series, TARGET2, Cyclical Patterns

JEL Classification: E42, E50, E58, E59

Suggested Citation

Timmermans, Monique and Heijmans, Ronald and Daniels, Hennie, Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data (June 9, 2017). De Nederlandsche Bank Working Paper No. 558. Available at SSRN: https://ssrn.com/abstract=2985414

Monique Timmermans (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Ronald Heijmans

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Hennie Daniels

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Tilburg University, CentER for Economic Research ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 466 2026 (Phone)

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