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M. Timmermans (Monique), R. Heijmans (Ronald) and H.A.M. Daniels (Hennie)

2017-06-13

Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data

Publication

Publication

This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two different ARIMA dummy models to the TBATS state space model. The results show that the forecasts of the ARIMA dummy models perform better than the TBATS model. We also find that there is no clear difference between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.

Additional Metadata
Keywords ARIMA, TBATS, Time Series, TARGET2, Cyclical Patterns
JEL Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems (jel E42), Monetary Policy, Central Banking, and the Supply of Money and Credit: General (jel E50), Central Banks and Their Policies (jel E58), Monetary Policy, Central Banking, and the Supply of Money and Credit: Other (jel E59)
Persistent URL hdl.handle.net/1765/100822
Series De Nederlandsche Bank Working Paper Series
Organisation Erasmus Research Institute of Management
Citation
Timmermans, M., Heijmans, R., & Daniels, H. (2017). Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data. De Nederlandsche Bank Working Paper Series. Retrieved from http://hdl.handle.net/1765/100822
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