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Seasonal adjustment of bank deposits and loans

Andrea Silvestrini

No 42, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

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: destagionalizzazione; partial concurrent adjustment (search for similar items in EconPapers)
JEL-codes: C22 C87 (search for similar items in EconPapers)
Date: 2009-03
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