期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN:1830-3420
电子版ISSN:1830-3439
出版年度:2002
出版社:European Central Bank
摘要: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. To the best of our knowledge the empirical performance of two 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 each approach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem.
关键词:Daily Forecast; Liquidity Management; Time Series models; Seasonality;Cubic Splines.