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Seasonal adjustment of bank deposits and loans

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Author Info

  • 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.

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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Questioni di Economia e Finanza (Occasional Papers) with number 42.

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Date of creation: Mar 2009
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Handle: RePEc:bdi:opques:qef_42_09

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Web page: http://www.bancaditalia.it
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Keywords: destagionalizzazione; partial concurrent adjustment;

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