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Liquidity Forecasting: Part II: The Statistical Component
International Monetary Fund (IMF).
University of Skövde, School of Informatics. University of Skövde, Informatics Research Environment. (Skövde Artificial Intelligence Lab (SAIL))ORCID iD: 0000-0003-0211-5218
GIC, the sovereign wealth fund of Singapore.
The University of Sydney Business School, Australia.
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2024 (English)In: Monetary and Capital Markets Department: Technical Assistance Handbook, International Monetary Fund, 2024, p. 3-53Chapter in book (Other academic)
Abstract [en]

This chapter elucidates liquidity forecasting within the context of technical assistance. The audience for this chapter is central bank staff with a strong quantitative background. Liquidity forecasting entails a process of estimating the near-term path of a bank’s reserves using a centralized framework. Short-term liquidity forecasts are used to calibrate the volume of central bank monetary operations to align liquidity with the announced stance of monetary policy, whether expressed as an interest rate or as a quantity. The best practice would be for the central bank to receive accurate information for counterparties that have accounts in its books, including its monetary counterparties (banks) or non-monetary counterparties, such as the government. However, the central bank may not have direct access to some counterparties (e.g., the public which demands banknotes) or the information could include significant errors. This chapter presents the statistical methods that have been used in technical assistance to forecast liquidity factors and the demand for liquidity. It also proposes solutions to select the best models, measure forecast accuracy, and reconcile forecasts. Some liquidity factors are relatively easy to forecast due to regular patterns (currency in circulation) while others require more sophisticated models, such as the government account. There is a tradeoff between the cost of implementing complex models and the accuracy gains.

Place, publisher, year, edition, pages
International Monetary Fund, 2024. p. 3-53
National Category
Economics Other Computer and Information Science Probability Theory and Statistics
Research subject
Skövde Artificial Intelligence Lab (SAIL)
Identifiers
URN: urn:nbn:se:his:diva-24733OAI: oai:DiVA.org:his-24733DiVA, id: diva2:1916347
Available from: 2024-11-27 Created: 2024-11-27 Last updated: 2025-09-29Bibliographically approved

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Kourentzes, Nikolaos

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CiteExportLink to record
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Citation style
  • apa
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