Seasonal Adjustment of Monetary Aggregates: Implementation of New Procedures

Abstract

The analysis of seasonality in economics and the development of new seasonal adjustment procedures have been following new directions in the last twenty years. We study this question through the work performed at the Banque de France (Monetary Statistic and Studies Directorate) to compile new seasonally adjusted (SA) data. A brief discussion of the academic literature show the necessity to complement the existing software with empirical rules fixed by the practitioner in order to make all the methodological choices clear, thus avoiding any ambiguity. In the implementation of the new production process, we focus on the revision policy of some keys parameters of the whole process in order to minimize the subsequent revisions in the publication of SA data. We illustrate this new methodology with SA series relating to monetary aggregates, including loans to enterprises and to households, and provide a detailed analysis of the consistency between flows and outstanding amount SA figures, an issue particularly relevant for monetary an financial data.

Keywords: Seasonal Adjustment Methods, Monetary Aggregates, Outliers, SARIMA Models, Spectral Analysis

JEL Classification: C22, C51