Modeling and forecasting currency in circulation for liquidity management in Nigeria
Alvan Ikoku
This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the forecasts was then evaluated under a rolling forecast scenario, where the estimation sample is augmented by one observation and the forecast sample is brought forward. The evaluation of the forecasts was based on average performance over a number of rolling forecasts. We found that the most accurate models were mixed models with structural as well as ARIMA components, augmented by seasonal and dummy variables. We also found that the exchange rate, interbank rate, seasonality, holidays and elections were significant in explaining the demand for currency.
Year of publication: |
June 2014
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Authors: | Ikoku, Alvan |
Published in: |
CBN journal of applied statistics. - Abuja : Central Bank of Nigeria, ISSN 2476-8472, ZDB-ID 2854997-1. - Vol. 5.2014, 1, p. 79-104
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Subject: | Forecasting | Currency in Circulation | Liquidity Management | ARIMA | VAR | VEC | Nigeria | Prognoseverfahren | Forecasting model | Geldpolitik | Monetary policy | Liquidität | Liquidity | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Wechselkurs | Exchange rate | ARMA-Modell | ARMA model | Bargeld | Cash |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | hdl:10419/142084 [Handle] |
Classification: | E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474285
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