Balli, Faruk and Elsamadisy, Elsayed (2010): Modelling the Currency in Circulation for the State of Qatar.
Download (624kB) | Preview
The main concern of this report is to model the daily and weekly forecasting of the currency in circulation (CIC) for the State of Qatar. The time series of daily observations of the CIC is expected to display marked seasonal and cyclical patterns daily, weekly or even monthly basis. We have compared the forecasting performance of typical linear forecasting models, namely the regression model and the seasonal ARIMA model using daily data. We found that seasonal ARIMA model performs better in forecasting CIC, particularly for short-term horizons.
|Item Type:||MPRA Paper|
|Original Title:||Modelling the Currency in Circulation for the State of Qatar.|
|Keywords:||Currency in Circulation, Forecasting, Seasonal ARIMA|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
|Depositing User:||Faruk Balli|
|Date Deposited:||16. Mar 2011 12:18|
|Last Modified:||12. Feb 2013 00:15|
Anderson, M.P. and Woessner, W.W. (1992). Applied Groundwater Modeling: Simulation of Flow and Advective Transport (2nd Edition ed.) Academic Press
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19 716-723.
Allen A. W, (2004). Implementing Monetary Policy Handbooks in Central Banking Lecture Series. Issued by the Centre for Central Banking Studies, Bank of England.
Basac, S., Lang M., Z. Staudinger and D. Kunovac (2006). "Modeling of Currency Outside Banks in Croatia." Croatia National Bank working paper. Econometric Modeling Department, Croatia Central Bank.
Bell, W. R. and Hillmer, S. C. (1983). "Modeling Time Series with Calendar Variation." Journal of the American Statistical Association, 78, 526-534.
Bindseil, U., and F. Seitz, (2001). The Supply and Demand for Eurosystem Deposits the First 18 Months" ECB Working Paper.
Box, G. E. P., Jenkins, G. M. (1970). "Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.
Box, G. E. P., and Jenkins, G. (1976). Time Series Analysis: Forecasting and Control, Holden-Day.
Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis, Forecasting and Control, 3rd ed. Prentice Hall, Englewood Clifs, NJ.
Brockwell, P. J. and R. A. Davis (2002). Introduction to Time Series and Forecasting. 2nd ed., Springer Verlag.
Brockwell, P. J. and R. A. Davis (1991). Time Series: Theory and Methods," Springer Verlag.
Cabrero, A., Camba-Mendez, G., Hirsch, A. and Nieto, F., (2002) Modeling the daily Banknotes in circulation in the context of the liquidity management of the European Central Bank",ECB, Working Paper No 142.
Dheerasinghe R., (2006) Modeling and Forecasting Currency in Circulations in Sri Lanka. Central Bank of Sri Lanka Staff Papers No:144
Dickey, D.A. and Fuller W.A. (1979). "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 74, p. 427-431.
Diebold F. and Mariano R. (1995). "Comparing Predictive Accuracy." Journal of Business and Economic Statistics, 253-263.
Hamilton, J.D (1994). Time Series Analysis Princeton University Press.
Halvacek, M., M. Konak, J. Cada (2005). The Application of Structural Feed-forward Neural Networks to the Modeling of Daily Series Currency in Circulation. Chech National Bank Working Paper.
Hillmer, S. C. and G. C. Tiao (1982). "An ARIMA-Model-Based Approach to Seasonal Adjustment." Journal of the American Statistical Association, 77, 357-370.
Heenan, G., (2005.) The Liquidity Forecasting. IMF Working Paper Series November 2005.
Khan, M. and Riazuddin R. (2005). Detection and Forecasting of Islamic Calendar Effects inTime Series Data. SBP-Research Bulletin Volume 1, No:1.
Kunitomo, N. and M. Takaoko (2002). On RegARIMA Model, RegSSARMA Model and Seasonality, International Time Series Conference on Seasonality and Periodicity. Institute of Statistical Mathematics, Tokyo.
Ruckriegel, K. and Seitz, F. 2001 The Eurosystem and the Federal Reserve System Compared: Facts and Challenges" Center for European Integration Studies, Working paper
Reddy Y.V. 2003. A Short Term Liquidity Forecasting Model for India. Reserve Bank of India Working Paper
Schwarz, G. E. (1978). Estimating the Dimension of a Model". Annals of Statistics 6, 461-464
Tillers, I, (2002). Time Series Modeling of the Daily Currency in Circulation. University ofLatvia, Working Paper