Cyclical patterns in risk indicators based on financial market infrastructure transaction data

M. Timmermans, R. Heijmans, Hennie Daniels

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Abstract

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.
Original languageEnglish
Place of PublicationAmsterdam
PublisherDe Nederlandsche Bank
Number of pages29
Publication statusPublished - 9 Jun 2017

Publication series

NameDNB Working Papers
Volume558

Keywords

  • ARIMA
  • TBATS
  • time series
  • TARGET2
  • cyclical patterns

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