Seasonal Adjustment for Monetary Base Data

February 2, 2024
Bank of Japan

The Bank of Japan has revised the seasonally adjusted Monetary Base Data.

Having obtained the data for the whole year 2023, we have reselected the most suitable ARIMA models applied for individual series.

Information on the seasonal adjustment is as follows.

The models adopted for each indicator are shown below:

1) The Bureau of Census X-12-ARIMA method, version 0.3 is used.
2) A logarithmic transformation is adopted for every series.
3) The critical values for Additive Outliers and Temporary changes depend on the length of the time-series data. The periods of data used for seasonal adjustment are those from the beginning of data compilation to December 2023. For the months after December 2023, seasonally adjusted figures are calculated by applying the predicted seasonal factors.

Seasonal Adjustment for Monetary Base Data
Indicator	Model	Level shift and Ramp	Trading-day adjustment	Beginning of series
Monetary Base (average amounts outstanding, reserve requirement rate change unadjusted)	(010)(110)	(a) and (b)	None	Jan. 1970
Monetary Base (average amounts outstanding, reserve requirement rate change adjusted)	(111)(111)	(b)	None	Jan. 1970

(a) Months when the reserve requirement rate was changed.
(b) Nov. 1986 (issue of the 60th year of the Emperor on the throne coin), Apr. 2003 (inclusion of the deposit of the Japan Post), months when the guideline for money market operations was changed from Feb. 1999 to July 2006, months from Apr. 2013 to Oct. 2014 (introduction of the "Quantitative and Qualitative Monetary Easing"), months from Oct. 2014 to Sep. 2016 (expansion of the "Quantitative and Qualitative Monetary Easing"), and months from Mar. 2020 ("Enhancement of Monetary Easing in Light of the Impact of the Outbreak of the Novel Coronavirus (COVID-19)") to Oct. 2022.

Inquiries

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

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