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Revision of Seasonally Adjusted Balance of Payments Data

March 8, 2013
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. 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.

  1. 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.
  2. The reference period used for seasonal adjustment is from January 1996 to December 2012.
  3. An automatic model selection command "automdl" is employed for each of the 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 parameters are set mostly at 0, 1, or 2.
  4. The 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 every series except for "Direct investment income."
  6. For 2013, seasonally adjusted figures are calculated by applying the predicted seasonal factors.

The revised seasonally adjusted data and the seasonal adjustment factors can be downloaded from the "BOJ Time-Series Data Search" on the Bank's web site.

The Settings of Models and Options for ARIMA Models

Seasonally Adjusted Balance of Payments Data
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 (212)(011) Yes Yes Compensation of employees (D) (011)(011) None Yes
Imports1 (011)(011) Yes Yes Direct investment income (C) (011)(012) None None
Transportation (C) (011)(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:

  1. 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