Seasonal Adjustment of Bank Deposits and Loans
Bank of Italy
March 27, 2009
Bank of Italy Occasional Paper No. 42
This paper illustrates the seasonal adjustment procedure for bank deposits and loans, focusing on the policy for the revision of seasonally adjusted data. Seasonal adjustment is semi-automatic when the commonly used software package, TRAMO-SEATS, is used to produce seasonally adjusted series. With reference to the frequency of seasonally adjusted data revisions, three alternative methods (current adjustment, concurrent adjustment, partial concurrent adjustment) are tested according to a quantitative criterion. A simulation study measures the speed of convergence of the estimates, obtained with these three updating methods, to reach a “final" estimate to be used as a benchmark. The results favour the use of the partial concurrent adjustment method, that suggests identifying the ARIMA model and the effects of the deterministic components once a year, and updating the corresponding coefficients once a month.
Number of Pages in PDF File: 39
Keywords: seasonally adjustment, partial concurrent adjustment
JEL Classification: C22, C87working papers series
Date posted: September 28, 2009
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