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Seasonal Adjustment for Money Stock Data

July 11, 2011
Bank of Japan
Research and Statistics Department

The Bank of Japan has revised the seasonally adjusted data series for "L--Broadly-defined Liquidity" in the Money Stock Data to incorporate the "Periodical Revision of L--Broadly-defined Liquidity." ARIMA models for the other data series in the Money Stock Data remain unchanged from those published in March 2011. Details of the seasonal adjustment method are as follows.

Seasonal Adjustment for Money Stock Data

  1. 1) The Bureau of Census X-12-ARIMA method, version 0.3 is used.
  2. 2) The multiplicative model and logarithmic transformation are adopted for the data series. The critical values for additive outliers and temporary changes depend on the length of the time-series data. Both data of the former series (from the beginning of series to March 2003)1 and the current series (from April 2003 to December 2010) are used for seasonal adjustment. For the months after December 2010, seasonally adjusted figures are calculated by applying the predicted seasonal factors.
  • Seasonal Adjustment for Money Stock Data
  1. A level shift is added to January 2005.

Inquiries

Financial Statistics Group, Economic Statistics Division, Research and Statistics Department

E-mail : post.rsd5@boj.or.jp