Seasonal Adjustment of Bank Deposits and Loans

39 Pages Posted: 28 Sep 2009

Date Written: March 27, 2009


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: or

Andrea Silvestrini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184

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