Revision of Seasonally-Adjusted Balance of Payments Data

May 14, 2007
Bank of Japan
International Department

The Bank of Japan has revised the seasonally-adjusted series for the following 18 items in the Balance of Payments statistics.  The revision is conducted twice a year, when preliminary estimates and final figures for December become available for the year.  Seasonally-adjusted data have been revised retrospectively up to January 1996.

The outline of the method for seasonal adjustment is as follows.

1) The U.S. Census Bureau's X-12-ARIMA method (final version) is used.

2) The reference period used for seasonal adjustment is from January 1996 to December 2006.

3) A model with the smallest AIC is selected among 81 ARIMA models, which have seasonal and non-seasonal components with the combination of orders as follows: the order of differencing is 1; and the orders of AR and MA terms are 0, 1, or 2.

4) Forecast with the ARIMA model is extended up to 48 months, while backcasting is not conducted.

5) A multiplicative model and a logarithmic transformation are adopted for all series except Direct Investment Income.

The revised seasonally-adjusted data can be downloaded from the Bank's web site.  Seasonal adjustment factors can be found here.

(Chart) The Settings of Models and Options for ARIMA Models