Seasonal adjustment of credit time series in the Bank of Italy

Simone Di Paolo and Danilo Liberati

No 835, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper presents the seasonal adjustment process applied to the credit time series produced by the Bank of Italy. Due to the methodological and computational improvements made in recent times, making the most suitable choice for estimating the seasonal component has become more challenging. First, the paper discusses the seasonal adjustment methods most widely adopted within the community of central banks and statistical institutes. Second, it compares the output of the different approaches with reference to the credit time series currently published by the Bank of Italy and explains the main reasons underlying the adoption of X-13ARIMA-SEATS. Finally, the paper extends the new approach in order to derive new seasonally adjusted time series for banks’ loans to non-financial corporations and to households classified by economic sector of activity (NACE) and by purpose of lending respectively.

Keywords: seasonal adjustment; X-13ARIMA-SEATS; TRAMO-SEATS; banking data (search for similar items in EconPapers)
JEL-codes: C22 C87 (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_835_24

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