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Modelling of Currency outside Banks in Croatia

Author

Listed:
  • Maroje Lang
  • Davor Kunovac

    (The Croatian National Bank, Croatia)

  • Silvio Basač

    (The Croatian National Bank, Croatia)

  • Željka Štaudinger

    (The Croatian National Bank, Croatia)

Abstract

This paper describes two econometric models for the short-term projections of currency outside banks in Croatia. The first model is a simple regression model that captures weekly, monthly and annual periodical patterns, given a daily series of currency outside banks. The second model, together with deterministic seasonality assumes the ARIMA structure of the residuals. Both models outperform the existing forecasts done in the CNB.

Suggested Citation

  • Maroje Lang & Davor Kunovac & Silvio Basač & Željka Štaudinger, 2008. "Modelling of Currency outside Banks in Croatia," Working Papers 17, The Croatian National Bank, Croatia.
    • Handle: RePEc:hnb:wpaper:17
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    File URL: http://www.hnb.hr/repec/hnb/wpaper/pdf/w-017.pdf
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    References listed on IDEAS

    as
    1. Marek Hlavacek & Michael Konak & Josef Cada, 2005. "The Application of Structured Feedforward Neural Networks to the Modelling of Daily Series of Currency in Circulation," Working Papers 2005/11, Czech National Bank.
    2. Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2009. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 194-217.
    3. Naoto Kunitomo & Makoto Takaoka, 2002. "On RegARIMA Model, RegSSARMA Model and Seasonality," CIRJE F-Series CIRJE-F-146, CIRJE, Faculty of Economics, University of Tokyo.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

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    3. Mariam El Hamiani Khatat, 2018. "Monetary Policy and Models of Currency Demand," IMF Working Papers 2018/028, International Monetary Fund.

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    More about this item

    Keywords

    daily forecast; liquidity management; time series models;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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