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Seasonal Adjustment for Money Stock Data

March 10, 2008
Bank of Japan
Research and Statistics Department

The Bank of Japan has revised the seasonally adjusted Money Stock Data.
Having obtained the final figures for the whole year 2007, we have reselected the most suitable ARIMA models applied for individual series.
The details of the seasonal adjustment are the following.

Seasonal Adjustment for Money Stock Data

The models adopted for each indicator are shown below:

  • 1) The Bureau of Census X-12-ARIMA method, Final version is used.
  • 2) A multiplicative model and a logarithmic transformation are adopted for every series. 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 2007. For the months after December 2007, seasonally adjusted figures are calculated by applying the predicted seasonal factors.
  • Seasonal Adjustment for Money Stock Data

The models of M2+CDs(average amounts outstanding), M2+CDs(amounts outstanding at end of period), M1(average amounts outstanding), M1(amounts outstanding at end of period), cash currency in circulation(average amounts outstanding) , deposit money(average amounts outstanding) , quasi-money(average amounts outstanding) and broadly-defined liquidity have been revised.

The seasonally adjusted data for the Money Stock of current basis (from April 1998) have been revised. Those of the old basis ("Money Stock (Based on excluding Foreign Banks in Japan, etc., through March 1999)") remain unchanged.
For seasonally adjusted data from April 1998, each indicator is compiled by using all available data to December 2007(please note that the number of financial institutions surveyed for the data have increased after April 1998).

For any inquiries, please apply "Financial Statistics, Research and Statistics Department (E-mail: post.rsd5@boj.or.jp)"