Seasonal Adjustment of Bank Deposits and Loans

39 Pages Posted: 28 Sep 2009

Date Written: March 27, 2009

Abstract

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.

Keywords: seasonally adjustment, partial concurrent adjustment

JEL Classification: C22, C87

Suggested Citation

Silvestrini, Andrea, Seasonal Adjustment of Bank Deposits and Loans (March 27, 2009). Bank of Italy Occasional Paper No. 42. Available at SSRN: https://ssrn.com/abstract=1479510 or http://dx.doi.org/10.2139/ssrn.1479510

Andrea Silvestrini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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