苏里南：流动性预测和货币市场操作参与技术援助报告

SURINAME Liquidity Forecasting andParticipation in Money Market OperationsMay 2025 Prepared ByCecilia Melo Fernandes (Mission Chief) and Luyao Liu (both MCM) Authoring Department: Monetary and Capital MarketsDepartment The contents of this document constitute technical advice provided by the staff of the InternationalMonetary Fund to the authorities of the Centrale Bank of Suriname (the "CD recipient") in response totheir request for technical assistance. Unless the CD recipient specifically objects to such disclosure, thisdocument (in whole or in part) or summaries thereof may be disclosed by the IMF to the IMF ExecutiveDirector, to other IMF Executive Directors and members of their staff, as well as to other agencies orinstrumentalities of the CD recipient, and upon their request, to World Bank staff, and other technicalassistance providers and donors with legitimate interest (seeStaff Operational Guidance on theDissemination of Capacity Development Information). Publication or Disclosure of this report (in whole orin part) to parties outside the IMF other than agencies or instrumentalities of the CD recipient, World Bankstaff, other technical assistance providers and donors with legitimate interest shall require the explicitconsent of the CD recipient and the IMF’s Monetary and Capital Markets Department. The analysis and policy considerations expressed in this publication are those of the IMF’s Monetary andCapital Markets Department. Contents A.Commercial Bank Reserves Balance ........................................................................................11B.Excess Reserves .......................................................................................................................14 III. Forecasting Autonomous Factors and Net Liquidity .................................................................18A.Currency in Circulation...............................................................................................................19 B.Liabilities to Government............................................................................................................22C.Net Liquidity ...............................................................................................................................24 V. Participation in Money Market Operations...................................................................................26A. Challenges in Managing Liquidity: Results from the Commercial Banks Survey ......................29 Conclusion...........................................................................................................................................40 Figures 1. Historical Trend of Bank Reserves Balance (SRD Millions) ...........................................................122. Seasonality Analysis of Bank Reserves Balance (SRD Millions) ...................................................123. Predictive Accuracy and Bias of Forecasting Models for Bank Reserves Balance .......................134. Bank Reserves Balance Forecast Using ARIMA with Regression and Average of All Models.....145. Historical Trend of Excess Reserves (SRD Millions) ......................................................................156. Seasonality Analysis of Excess Reserves (SRD Millions) ..............................................................157. Predictive Accuracy and Bias of Forecasting Models for Excess Reserves ..................................168. Distributions of Weekly Average Total (Effective) Excess Reserve ...............................................179. Back-testing Forecasts for Liabilities to Government and Currency in Circulation........................1910. Historical Trend of Currency in Circulation....................................................................................2011. Seasonality Analysis of Currency in Circulation (SRD Millions) ...................................................2012. Predictive Accuracy and Bias of Forecasting Models for Currency in Circulation .......................2113. RMSE: Aggregated and Reconciled CiC.......................................................................................2214. Historical Trend of Liabilities to Government ................................................................................2215. Seasonal Patterns in Liabilities to Government ............................................................................2316. Predictive Accuracy and Bias of Forecasting Models for Liabilities to Government....................2317. Predictive Accuracy and Bias of Forecasting Models for Net Liquidity ........................................2418. Average Monthly Bid Rates—One Week Tenor (In Percent) .......................................................2819. M0: Target versus Actual (In SRD Millions) ..................................................................................2820. OMO and CBCs Rates (In Percent)...........................................