Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152576
Authors: 
Cabrero, Alberto
Camba-Méndez, Gonzalo
Hirsch, Astrid
Nieto, Fernando
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 142
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. 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.
Subjects: 
Daily Forecast
liquidity management
seasonality
time series models
JEL: 
C22
C51
C53
C59
Document Type: 
Working Paper

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