Revision of Seasonally Adjusted Balance of Payments Data (from January 1996 to December 2013)
May 12, 2014
Bank of Japan
International Department
The Bank of Japan has revised the seasonally adjusted data for the following 18 items in the Balance of Payments Statistics (from January 1996 to December 2013). The revision is conducted twice a year, when preliminary and revised figures for the most recent December become available. Seasonally adjusted data have been revised from the beginning of the data (January 1996).
The outline of the method for seasonal adjustment is as follows.
- The U.S. Census Bureau's X-12-ARIMA (Version 0.3) is used. The critical values for additive outliers and temporary changes depend on the length of the time-series data.
- The reference period used for seasonal adjustment is from January 1996 to December 2013.
- An automatic model selection command "automdl" is employed for each of the seasonal and non-seasonal components with the combination of the following orders: the order of differencing is 1; and the orders of AR and MA parameters are set mostly at 0, 1, or 2.
- The forecast with the ARIMA model is extended up to 48 months, while backcasting is not conducted.
- Seasonal adjustment using a logarithmic transformation with a multiplicative model is adopted for all series except for "Direct investment income."
The revised seasonally adjusted data and the seasonal adjustment factors are provided on the "BOJ Time-Series Data Search" on the Bank's web site.
The Settings of Models and Options for ARIMA Models
Item (C: Credit, D: Debit) | Model | Level shift and/or ramp | Trading-day and leap-year adjustment | Item (C: Credit, D: Debit) | Model | Level shift and/or ramp | Trading-day and leap-year adjustment |
---|---|---|---|---|---|---|---|
Exports1 | (010)(011) | Yes | Yes | Compensation of employees (D) | (011)(011) | None | None |
Imports1 | (011)(212) | Yes | Yes | Direct investment income (C) | (011)(210) | None | None |
Transportation (C) | (010)(011) | Yes | Yes | Direct investment income (D) | (011)(011) | None | None |
Transportation (D) | (111)(011) | Yes | Yes | Portfolio investment income (C) | (210)(011) | None | Yes |
Travel (C) | (112)(011) | Yes | None | Portfolio investment income (D) | (011)(010) | None | None |
Travel (D) | (011)(011) | Yes | Yes | Other investment income (C) | (011)(011) | None | Yes |
Other services (C) | (011)(011) | None | Yes | Other investment income (D) | (011)(010) | None | Yes |
Other services (D) | (011)(011) | None | Yes | Current transfers (C) | (311)(011) | None | Yes |
Compensation of employees (C) | (011)(011) | None | None | Current transfers (D) | (011)(011) | None | Yes |
Note:
- Trading-day and leap-year effects are adjusted by user-defined variables, which are based on the number of business days at customs clearance in Japan.
Inquiries
Balance of Payments Statistics Group, Balance of Payments Division, International Department
E-mail : boj-bop@boj.or.jp