Cover IMF Staff Country Reports
Jordan: Technical Assistance Report-Forecasting Framework for Currency in Circulation
Author:
International Monetary Fund. Monetary and Capital Markets Department
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Series:
IMF Staff Country Reports
Volume/Issue:
Volume 2022: Issue 101
Language:
English
Publication Date:
07 Apr 2022
DOI:
https://doi.org/10.5089/9798400205972.002
ISBN:
9798400205972
ISSN:
1934-7685
Pages:
38
Keywords:
moving average; staff level agreement; IMF team; hierarchy forecasting; ARIMA model; Monetary base; Currency issuance; Open market operations; Global
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The currency in circulation forecasting model presently used by the Central Bank of Jordan is aligned with international practices and provides a solid basis for liquidity management. The central bank uses an Auto Regressive Integrated Moving Average (ARIMA) model with many indicator variables to model binary seasonality and to capture special events. The ARIMA model is fitted on daily currency in circulation data using a standard maximum likelihood estimator. This ARIMA approach is aligned with the models traditionally used by central banks in emerging and middle-income countries.
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Cover IMF Staff Country Reports
IMF Staff Country Reports
ISSN:
1934-7685
Publisher:
International Monetary Fund
Volume 2022: Issue 101