Modelling and Forecasting Currency Demand in Sri Lanka - An Empirical Study

Abstract

The main focus of this paper is to examine the evolving determinants of currency demand and forecasting of Currency in Circulation (CIC) in Sri Lankan context using monthly and quarterly data for the period of 2001-2016. Using the Vector Error Correction Model (VECM), this study finds that variables such as the deposit rate, inflation, GDP and dummy variables for New Year/ Christmas and election were significant in explaining changes in CIC. Forecast produced by using Exponential Smoothing Approach and Auto-Regressive Integrated Moving Average (ARIMA) Model matches the monthly behaviour of CIC and capture seasonal and cyclical effects as well.

Türki̇ye'de Naki̇t Talebi̇ni̇ Etki̇leyen Faktörler

“…Literatürde nakit talebine yönelik çalışmalarda, çoğunlukla dolaşımdaki banknotlara ilişkin genel bir tahmin yapıldığı, nakit talebinin kupür bazında değerlendirildiği ve kupür bazında talebi etkileyen faktörlerin analiz edildiği çalışmaların ise sınırlı olduğu görülmektedir (Kulatunge, 2019;Nachane vd., 2013;Akıncı, 2012;Balli ve Elsamadisy, 2012). Assenmacher vd.…”

Tipo de cambio real y balanza comercial: Condición Marshall-Lerner entre Ecuador y Estados Unidos (2000-2020)

“…Todas las variables presentan estacionalidad y una posibilidad hubiera sido desestacionalizarlas, sin embargo, esa opción es preferible para instituciones, que tienen que lidiar con cientos de series y usan técnicas estandarizadas, típicamente ARIMA, mientras que para un investigador que trata un tópico específico es preferible implementar un tratamiento distinto ad hoc (Enders, 2015). De hecho, en la literatura de series temporales en general (Levendis, 2018;Wooldridge, 2013) como también aquella relacionada con modelos cointegrados VECM (Soon & Whistance, 2019;Wang, 2020;Kutalange, 2019), es común incorporar variables dicotómicas con la finalidad de captar el fenómeno estacional.…”