Modelling of Currency outside Banks in Croatia

Published: 5/8/2008
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


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.