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Seasonal adjustment of bank deposits and loans

Author

Listed:
  • Andrea Silvestrini

    (Banca d'Italia)

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.

Suggested Citation

  • Andrea Silvestrini, 2009. "Seasonal adjustment of bank deposits and loans," Questioni di Economia e Finanza (Occasional Papers) 42, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_42_09
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2009-0042/QEF_42.pdf
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    More about this item

    Keywords

    destagionalizzazione; partial concurrent adjustment;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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