Modelling corporate bank accounts

We discuss the modelling of corporate bank accounts using a proprietary dataset. We thus offer a principled treatment of a genuine industrial problem. The corporate bank accounts in our study constitute spare, irregularly-spaced time series that may take both positive and negative values. We thus builds on previous models where the underlying is real-valued. We describe an intra-monthly effect identified by practitioners whereby account uncertainty is typically lowest at the beginning and end of each month and highest in the middle. However, our theory also allows for the opposite effect to occur. In-sample applications demonstrate the statistical significance of the hypothesised monthly effect. Out-of-sample forecasting applications offer a 9% improvement compared to a standard SARIMA approach.

URI

http://hdl.handle.net/10454/18503

Version

Accepted manuscript

Citation

Fry John, Griguta V, Gerber L, Slater-Petty H and Crockett K (2021) Modelling corporate bank accounts. Economics Letters. 205: 109924

Link to Version of Record

https://doi.org/10.1016/j.econlet.2021.109924

Type

Article