Modelling of Currency outside Banks in Croatia
| Publication | Working Papers |
|---|---|
| Issue | W - 17 |
| Authors | Maroje Lang, Davor Kunovac, Silvio Basač and Željka Štaudinger |
| Date | February 2008 |
| JEL | C53, C22, C32 |
| ISSN | 1334-0131 |
Keywords
daily forecast, liquidity management, time series models
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.