IDEAS home Printed from https://ideas.repec.org/p/bfr/banfra/919.html
   My bibliography  Save this paper

Forecasting Euro Banknotes in Circulation with Structural Time Series Models in Times of the COVID-19 Pandemic

Author

Listed:
  • Nikolaus Bartzsch
  • Marco Brandi
  • Lucas Devigne
  • Raymond De Pastor
  • Gianluca Maddaloni
  • Diana Posada Restrepo
  • Gabriele Sene

Abstract

As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated net issuance) had been issued by the national central banks of France, Germany, Italy and Spain (collectively referred to as the “4 NCBs”). To date, the 4 NCBs have been using ARIMAX models to forecast the banknotes issued nationally in circulation by denomination (“benchmark models”). This paper presents the structural time series models developed by the 4 NCBs as an additional forecasting tool. According to the forecast accuracy measures employed, the Structural Time series Models (“STSMs”) outperform the benchmark models at each of the 4 NCBs and for most of the denominations. However, it should be borne in mind that the statistical informative value of this comparison is limited by the short projection period of just 12 months.

Suggested Citation

  • Nikolaus Bartzsch & Marco Brandi & Lucas Devigne & Raymond De Pastor & Gianluca Maddaloni & Diana Posada Restrepo & Gabriele Sene, 2023. "Forecasting Euro Banknotes in Circulation with Structural Time Series Models in Times of the COVID-19 Pandemic," Working papers 919, Banque de France.
    • Handle: RePEc:bfr:banfra:919
    as

    Download full text from publisher

    File URL: https://publications.banque-france.fr/prevision-de-la-circulation-des-billets-en-euros-laide-de-modeles-structurels-de-series-temporelles
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Euro; Demand for Banknotes; Forecast of Banknotes in Circulation; Structural Time Series Models; ARIMA Models; Intervention Variables;
    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
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:919. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael brassart (email available below). General contact details of provider: https://edirc.repec.org/data/bdfgvfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.