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Seasonal Adjustment for Monetary Base Data

February 2, 2007
Bank of Japan

The Bank of Japan has revised the seasonally adjusted Monetary Base Data.

Having obtained the data for the whole year 2006, we have reselected the most suitable ARIMA models applied for individual series.

Information on the seasonal adjustment is as follows.

Seasonal Adjustment for Monetary Base Data

The models adopted for each indicator are shown below:

  1. 1) The Bureau of Census X-12-ARIMA method, Final version is used.
  2. 2) A logarithmic transformation is adopted for every series.
  3. 3) The critical value for Additive Outliers and Temporary changes depend on the length of the time-series data.   The periods of data used for seasonal adjustment are those from the beginning of data compilation to December 2006.  For the months after Decemer 2006, seasonally adjusted figures are calculated by applying the predicted seasonal facters.
Table : Seasonal Adjustment for Monetary Base Data
Indicator Model1 Level shift and Ramp Trading-day adjustment Beginning of series
Monetary Base (average amounts outstanding, reserve requirement rate change unadjusted) (110)(011)12 (a) and (b) None Jan. 1970
Monetary Base (average amounts outstanding, reserve requirement rate change adjusted) (110)(011)12 Nov. 1986, Apr. 2003 and (b) None Jan. 1970
  1. (a) Months when the reserve requirement rate were changed, Nov. 1986 and Apr. 2003.
  2. (b) Months when the guideline for money market operations were changed after Feb.1999.
  1. The model for Monetary Base (average amounts outstanding, reserve requirement rate change adjusted) has been revised.