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Detection and Forecasting of Islamic Calendar Effects in Time series Data

Author

Listed:
  • Riaz Riazuddin

    (State Bank of Pakistan)

  • Mahmood ul Hasan Khan

    (State Bank of Pakistan)

Abstract

As the behavior of Islamic societies incorporates seasonal effects of both Gregorian and Islamic calendars, the conventional seasonal adjustment methods will yield distorted results. In this paper we extend the standard ARIMA modeling to incorporate Islamic calendar effects. This methodology is applied to the monthly data of currency in circulation. The presence of Islamic calendar effects is strongly pronounced in the results. These results are useful for policy makers of the central banks in tracking the path of currency in circulation. Furthermore, this methodology can be used for computing seasonal adjusted series and factors in Islamic countries.

Suggested Citation

  • Riaz Riazuddin & Mahmood ul Hasan Khan, 2005. "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 1, pages 25-34.
    • Handle: RePEc:sbp:journl:02
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    File URL: http://www.sbp.org.pk/repec/sbp/journl/Article-2.pdf
    File Function: First version, 2002
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    Citations

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    Cited by:

    1. Kazi Abrar Hossain & Syed Abul Basher & A.K. Enamul Haque, 2018. "Quantifying the impact of Ramadan on global raw sugar prices," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 11(4), pages 510-528, June.
    2. Bonato Leo, 2008. "Money and Inflation in the Islamic Republic of Iran," Review of Middle East Economics and Finance, De Gruyter, vol. 4(1), pages 41-58, January.
    3. Faruk Balli & Elsayed Mousa Elsamadisy, 2012. "Modelling the currency in circulation for the State of Qatar," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 5(4), pages 321-339, November.
    4. Mohsin S. Khan & Axel Schimmelpfennig, 2006. "Inflation in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(2), pages 185-202.
    5. Mohsin S. Khan & Axel Schimmelpfennig, 2006. "Inflation in Pakistan: Money or Wheat?," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 2, pages 213-234..
    6. Muhammad Akmal & Muhammad Usman Abbasi, 2011. "Ramadan Effect on Price Movements: Evidence from Pakistan," Working Papers id:3937, eSocialSciences.
    7. Muhammad Akmal & Muhammad Usman Abbasi, 2010. "Ramadan Effect on Price Movements: Evidence from Pakistan," SBP Working Paper Series 32, State Bank of Pakistan, Research Department.

    More about this item

    Keywords

    Seasonal Effects; Fractional Indicator Variable; Islamic Hijri Calendar; Forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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