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

DNB Working Papers
Date 9 June 2017
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. 
Keywords: ARIMA, TBATS, Time Series, TARGET2, Cyclical Patterns.
JEL classifications: E42, E50, E58, E59.