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Seasonal Adjustment for Money Stock Data

March 9, 2023
Bank of Japan
Research and Statistics Department

The Bank of Japan has revised the seasonally adjusted Money Stock Data.

Having obtained the final figures for the whole year 2022, we have selected the most suitable ARIMA models applied for individual series.

Details of the seasonal adjustment method are as follows.

Seasonal Adjustment for Money Stock Data

The models adopted for each indicator are shown below:

  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 every series. The critical values for additive outliers and temporary changes follow the default settings in X-12-ARIMA [version 0.3] and depend on the length of the time-series data. Both the former series data (from the beginning of series to March 2003)* and the current series data (from April 2003 to December 2022) are used for seasonal adjustment. For the months after December 2022, seasonally adjusted figures are calculated by applying the predicted seasonal factors.
Table: Seasonal Adjustment for Money Stock Data
Indicator ARIMA model1 Level shift and ramp Trading-day adjustment *Former series data used through March 2003
<Beginning of series>
M2
(average amounts outstanding)
(112)(012) April 2003
June 2020
None M2+CDs
<Jan.1967>
M3
(average amounts outstanding)
(110)(212) April 2003
June 2020
None M3+CDs-money trusts
<Jan.1996>
M1
(average amounts outstanding)
(212)(011) From February to April 2002
April 2003
June 2020
None M1
<Jan.19672>
Currency in circulation
(average amounts outstanding)
(111)(112) June 2020 None Currency in circulation
<Jan.19672>
Deposit money
(average amounts outstanding)
(111)(210) From February to April 2002
April 2003
June 2020
None Deposit money
<Jan.19672>
Quasi-money
(average amounts outstanding)
(112)(112) From February to April 2002
April 2003
None Quasi-money
<Jan.1967>
L
(average amounts outstanding)
(211)(011) January 1996
April 1998
April 2003
June 2020
From March to May 2021
April 2022
None Broadly-defined Liquidity
<Jan.1980>
M3
(amounts outstanding at end of period)
(212)(211) April 1998
April 2003
May 2020
Yes M3+CDs-money trusts
<Jan.1996>
M1
(amounts outstanding at end of period)
(212)(011) March 2002
April 2003
May 2020
Yes M1
<Jan.19672>
  1. The models of M1 (average amounts outstanding) and Currency in circulation (average amounts outstanding) have been revised.
  2. M1 (average amounts outstanding), Currency in circulation (average amounts outstanding), Deposit money (average amounts outstanding), and M1 (amounts outstanding at end of period) are seasonally adjusted by using data (in which the former series are linked to the current series) of the last 56 years. Please note that the X-12-ARIMA program can handle up to 720 observations, among which 48 observations are used for the projection of seasonal factors and 672 observations (56 years for monthly data) are used for seasonal adjustment.

Inquiries

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

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