Revision of Seasonally Adjusted Balance of Payments Data (Based on Figures Annually Revised in 2024)
May 10, 2024
Bank of Japan
International Department
The Bank of Japan has revised the seasonally adjusted data for major current account items in the Balance of Payments Statistics. The detailed settings used for the seasonal adjustment are 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 (default setting).
- The reference period used for seasonal adjustment is from January 1996 to December 2023. The historical data rearranged based on the sixth edition of the Balance of Payments and International Investment Position Manual (BPM6)1 are used from January 1996 to December 2013. For data from January 2024 onward, seasonally adjusted figures are calculated by applying the predicted seasonal factors.
- All series except for "direct investment income" are seasonally adjusted using a logarithmic transformation with a multiplicative model. The automatic model selection command "automdl" is employed for each of the seasonal and non-seasonal components, setting the differencing order to 1 and the orders of the AR and MA parameters mostly to 0, 1, or 2 (see the table below for details of the model settings and options used). The forecast with the ARIMA model is extended up to 48 months, while backcasting is not conducted.
The seasonally adjusted data and the seasonal factors are available in the "BOJ Time-Series Data Search".
ARIMA Model Settings and Options
| Item (C: Credit, D: Debit) |
Model | Level shift and/or ramp |
Trading-day and leap-year adjustment |
|---|---|---|---|
| Exports2 | (011)(011) | Yes | Yes |
| Imports2 | (110)(212) | Yes | Yes |
| Transport (C) | (010)(011) | Yes | Yes |
| Transport (D) | (011)(011) | Yes | Yes |
| Travel (C) | (210)(011) | Yes | No |
| Travel (D) | (011)(011) | Yes | Yes |
| Other services (C) | (011)(011) | Yes | Yes |
| Other services (D) | (011)(011) | Yes | Yes |
| Compensation of employees (C) | (011)(011) | No | Yes |
| Compensation of employees (D) | (011)(011) | No | No |
| Direct investment income (C) | (210)(011) | No | Yes |
| Direct investment income (D) | (011)(011) | Yes | No |
| Portfolio investment income (C) | (212)(011) | No | Yes |
| Portfolio investment income (D) | (011)(211) | No | Yes |
| Other investment income (C) | (311)(011) | No | Yes |
| Other investment income (D) | (211)(011) | No | Yes |
| Other primary income (C)3 | - | - | - |
| Other primary income (D)3 | - | - | - |
| Secondary income (C) | (311)(011) | No | Yes |
| Secondary income (D) | (011)(011) | No | Yes |
- The rearranged data are data compiled from the source data that were originally collected under the BPM5 framework and have been rearranged to make them consistent with the BPM6-based statistics.
- In the ARIMA models, the adjustment variable for trading-day and leap-year effects for exports and imports is a user-defined variable, which is set to the number of business days in Japan here.
- No seasonal adjustment is made for "other primary income," since no seasonality is observed.
Inquiries
Balance of Payments Statistics Group, Balance of Payments Division, International Department
E-mail : boj-bop@boj.or.jp