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Forecasting Banking System Liquidity Using Payment System Data in Uzbekistan

Author

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  • Shakhzod Abdullaevich Makhmudov

    (The Central Bank of Uzbekistan)

Abstract

Forecasting banking system liquidity is crucial for the e ective monetary policy implementation. This study investigates the e ectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used econometric models such as SARIMA, Exponential Smoothing, and Prophet alongside ma- chine learning models like Random Forest, applying various preprocessing techniques, including power transformations, scaling, and trend-cycle decomposition. Moreover, ensemble methods, like weighted blending and stacking, were used to improve accuracy. Experimental results in- dicate that SARIMA was the best individual model, but ensemble with Prophet and Random Forest further improved forecast performance. Neural network models underperformed poten- tially due to challenges in optimizing their architectures. Future research intends to explore multivariate and structural models, as well as advanced neural architectures, to enhance pre- dictive accuracy.

Suggested Citation

  • Shakhzod Abdullaevich Makhmudov, 2025. "Forecasting Banking System Liquidity Using Payment System Data in Uzbekistan," IHEID Working Papers 05-2025, Economics Section, The Graduate Institute of International Studies, revised 17 Feb 2025.
    • Handle: RePEc:gii:giihei:heidwp05-2025
    as

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    File URL: http://repec.graduateinstitute.ch/pdfs/Working_papers/HEIDWP05-2025.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Monetary Policy; Time-Series Models; Model Evaluation and Selection; Forecasting and Other Model Applications; Payment Systems;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System

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