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Short-Term Currency In Circulation Forecasting For Monetary Policy Purposes – The Case Of Poland

Author

Listed:
  • Witold Koziñski

    (National Bank of Poland)

  • Tomasz Œwist

    (National Bank of Poland)

Abstract

One of the most significant factors which influences the level of banking sector liquidity is Currency in Circulation. Although the central bank is in charge of distribution of the currency it can’t assess the demand for the currency, as that demand is generated by the customers of commercial banks. Therefore, the amount of Currency in Circulation has to be modelled and forecasted. This paper introduces ARIMA(2,1) and SARIMA(2,1)(5,0) models with dummy variables and discusses its applicability to the forecasting of Currency in Circulation. The forecasting performance of these models is compared. The results indicate that the performance of SARIMA(2,1)(5,0) is better and that both models might be applied for monetary policy purposes as supportive tools for banking sector liquidity forecasting.

Suggested Citation

  • Witold Koziñski & Tomasz Œwist, 2015. "Short-Term Currency In Circulation Forecasting For Monetary Policy Purposes – The Case Of Poland," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(1), pages 65-74, August.
    • Handle: RePEc:rze:efinan:v:11:y:2015:i:1:p:65-74
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    File URL: http://e-finanse.com/artykuly_eng/301.pdf
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    Citations

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    Cited by:

    1. Шинкеева Г.А. & Медетбекова А.Д., 2017. "Опыт Малайзии В Развитии Рейтинговой Деятельности," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 20-30.
    2. Майданов С.Ж. & Бектасова Ж.Ж., 2017. "Методы Прогнозирования Объемов Наличных Денег В Обращении," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 50-65.
    3. Калдыбеков Н.С., 2017. "Эконометрический Обзор Рынка Жилой Недвижимости Города Уральска Западно-Казахстанской Области," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 66-76.
    4. Абжанов К.К., 2017. "Оценка Риск-Профиля Банков При Расчете Взносов Банков, Уплачиваемых В Ао «Казахстанский Фонд Гарантирования Депозитов»," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 3-12.
    5. Орлов К.В. // Orlov K.V., 2017. "Половозрастная структура населения Казахстана до 2050 года и ее потенциальное влияние на экономику страны // Gender and age structure of the population of Kazakhstan until 2050 and its potential impac," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 31-49.
    6. Жантлеуова А.К., 2017. "The compatibility and the conflict of a Central Bank’s objectives," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 13-19.
    7. Mariam El Hamiani Khatat, 2018. "Monetary Policy and Models of Currency Demand," IMF Working Papers 2018/028, International Monetary Fund.

    More about this item

    Keywords

    Currency in Circulation; Banking Sector Liquidity; Monetary Policy Least Squares Method;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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