Modelling and Forecasting the Value of Special Drawing Rights: An ARIMA Approach

Abstract

In 1969, the International Monetary Fund (IMF) introduced Special Drawing Rights (SDR) as a financial instrument to supplement currency reserves of member states. SDR allow members to draw money in a currency of their choosing. 2025 IMF data valued SDR held by member states at over USD 660 billion. SDR are, thus, a critical financial indicator of significant potential impact on global economic stability. This study analysed SDR prices from November 2015 to October 2025. The Minimal Information Criterion and the Bayesian Information Criterion were applied to compare ARIMA models, and the ARIMA (1,1,0) emerged as the best fit. Model diagnostics confirmed that no validity assumptions were violated. Observed values were regressed against fitted values. The R^2 value was over 90%, indicating a very strong linear relationship, which is very plausible. The model was then used to forecast SDR prices for the months from November 2025 to April 2026. The findings revealed a slight decline in SDR prices in the forecasted period. These insights have a significant impact on IMF member states, investors and international economic policy makers.