Modelling of Currency outside Banks in Croatia
|Issue||W - 17|
|Authors||Maroje Lang, Davor Kunovac, Silvio Basač and Željka Štaudinger|
|JEL||C53, C22, C32|
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.