 Cash Assets of Foreign Banks: An Example of Seasonal Adjustment Gone AwryAdam Copeland, Todd Keister and Parinitha Sastry No 20120109, Liberty Street Economics from Federal Reserve Bank of New York Abstract: Federal Reserve Statistical Release H.8 provides aggregate data on the assets and liabilities of commercial banks in the United States. Two types of data are provided: one in which each series is adjusted to offset regular, seasonal movements, and another in which no adjustment is made. Recently, a striking pattern has emerged in one particular data series: the cash assets of foreign-related banking institutions.[1] In the seasonally adjusted data, this value has fallen 36 percent since its peak in June 2011?a sharp movement that has generated concern among market observers. The nonseasonally adjusted data present a different picture, however, with a decline of only 16 percent over this period. Which of these numbers more accurately represents recent events? In this post, we argue that the seasonally adjusted data are misleading in this case and should not be used. More generally, we use this episode to highlight the need for caution when using and interpreting seasonally adjusted data. Keywords: cash assets; seasonal adjustment; foreign banks (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:fip:fednls:86783 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in Liberty Street Economics from Federal Reserve Bank of New York Contact information at EDIRC. |
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