Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
Serie: Documentos de Trabajo. 0211.
Autor: Alberto Cabrero, Gonzalo Camba-Mendez, Astrid Hirsch y Fernando Nieto.
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Resumen
The main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. The series of banknotes in circulation displays very marked seasonal patterns. T o the best of our knowledge the empirical performance of tw o competing approaches to model seasonality in daily time series, namely the ARIMA-based approach and the Structural Time Series approach, has never been put to the test. The application presented in this paper provides valid intuition on the merits of eac happroach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eu-rosystem.