A Multivariate Intervention Model for the Dutch Mint Circulation: Estimation and Monte Carlo Simulation

For each of the five Dutch coinage denominations, a transfer-function model is estimated. The output variables are monthly observations of coins in circulation. Two input variables represent transaction flows; all other inputs are step functions, representing the occurrence of interventions. Using the method of cross-correlating the residuals of the individual equations, a multivariate transfer-function model is constructed and estimated. Next Monte Carlo simulation is applied to derive expectations and variances of the yearly addition to the stock of coins until 1996. Our results enlighten on some aspects of a problem situation faced by the Dutch State Mint.