By Juliane Haarmann.
Introduction
Seasonal adjustment aims to identify, estimate and remove seasonal fluctuations and typical calendar effects (such as those caused by monthly variations in the number of trading days) from non-seasonally adjusted (NSA) time series data, making it easier for users to interpret this data. However, the effects of outlier or non-routine events such as the Covid-19 pandemic may distort the estimation of seasonal fluctuations and calendar effects, resulting in suboptimal seasonal adjustment. This Review aims to mitigate the impact of the Covid-19 pandemic on the seasonal adjustment.
With the onset of the Covid-19 pandemic, the Bank of England (the Bank) reduced the scope of regular annual reviews of its seasonally adjusted (SA) series, to allow for more time to assess and estimate the impacts of pandemic on the seasonally adjusted series. In line with previous instances of unusual events, eg the Queen’s Diamond Jubilee in 2012,footnote [1] the Bank announced in its Money and Credit statistical release for May and June 2022 that it was conducting a review to assess and adjust for the effects of the Covid-19 pandemic on the seasonally adjusted series since the begin of the pandemic in March 2020.footnote [2] The Bank has now completed its investigations on a number of its existing seasonally adjusted series, and changes to the seasonal adjustment are being implemented this month (publication of Bankstats July 2022) in accordance with the Bank’s revision policy.footnote [3] Going forward, the Bank plans to resume its full-scope/regular annual reviews, and conduct a review covering the effects of the 2022 Platinum Jubilee on its seasonally adjusted series.footnote [4] An update on the Bank’s seasonal adjustment activities is planned for early next year.
Covid-19 Review process
To mitigate the impact of Covid-19 pandemic effects on the seasonal adjustment, we have reviewed 78 monthly seasonally adjusted time series,footnote [5] as categorised in Table A. The observation period began with data from the first lockdown in the UK in March 2020, up to and including June 2022, the latest available data point.footnote [6]
Table A: Series categories covered in the Covid-19 Review
Category | Series |
|---|---|
Bankstats tables | A1.1.1 – Notes and coin |
A2.2.1 – Components of M4 | |
A2.2.3 – M4 and M4 lending excluding intermediate OFCs | |
A4.1 – Sectoral analysis of M4 | |
A4.3 – Sectoral analysis of M4 lending | |
A5.2 – Total lending to individuals excluding student loans | |
A5.3 – Lending secured on dwellings | |
A5.4 – Approvals for lending secured on dwellings | |
A5.5 – Repayments of lending to individuals | |
A5.6 – Consumer credit excluding student loans | |
A6.1 – Sectoral deposits and Divisia money | |
A8.1 – Monetary financial institutions' all currency loans to UK non-financial businesses, by size of business | |
Other | Other Series in the Interactive Database |
We have considered various modelling options available within X-13ARIMA-SEATS, the seasonal adjustment software used at the Bank of England, to model the effects of the pandemic on each series, and have implemented the relevant modelling options if they were statistically significant.footnote [7] Consequently, we now estimate seasonality more accurately, which allows us to mitigate the Covid-19 pandemic impact more effectively. In doing this, our assumption is that effects resulting from the Covid-19 pandemic reflect temporary rather than fundamental changes in the seasonal pattern. With more data, the series will be re-assessed for any permanent changes which may result in revisions to the seasonal adjustment in the future.
The series, apart from monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB), have generally not been reviewed for potential effects associated with the 2022 Platinum Jubilee. We plan to carry out a review to assess for this specific effect in the future.
Results and revisions
The magnitude of revisions has varied across series, as different series have been affected in different ways by the pandemic. Summary revision statistics for all series reviewed are presented in Tables A1 of the Annex. Revisions can occur in both negative and positive directions, and are not confined to the period under review. In particular, due to moving averages used within X-13ARIMA-SEATS, revisions to the seasonal adjustment may occur substantially prior to the period covered during the 2022 Covid-19 Review. This applies most notably for two series: the number of other specialist lenders' (OSLs') sterling approvals for other secured lending; and, the amounts outstanding of monetary financial institutions' (MFIs') sterling cash ISA deposits from household sector (LPMB26A and LPMB4F6, respectively). These two series have their highest percentage revision substantially outside this period due to relatively low series levels at the relevant observations. These relevant seasonally adjusted values are now consistent with what was reported prior to the Covid-19 pandemic. Moreover, in flow series with observations relatively close to zero, comparatively small absolute changes can appear as very high percentage changes. This can be observed in two other series: the net issue of all currency shares; and, the private non-financial corporations' (PNFCs') total all currency funds raised (CPMZID5 and LPMVYVV, respectively).
In addition to the correction for Covid-19 related effects, a statistically significant effect related to the 2022 Platinum Jubilee for the notes and coin series LPMAVAB was established and accounted for.
Charts 1 to 6 illustrate the magnitude and extent of revisions to a number of high-profile Bankstats series resulting from the Covid-19 Review.
Chart 1: Number of mortgage approvals, SA
Chart 2: Consumer credit, SA
Chart 3: Changes of total sterling notes and coin in circulation
Chart 4: Flow of sterling money (M4ex)
Chart 5: Monthly changes to MFIs' all currency loans to small and medium-sized enterprises (SMEs)
Chart 6: Net finance raised by PNFCs
Annex
In Table A1, an overview of the directly seasonally adjusted series covered during 2022 Covid-19 Review is provided. The revisions presented below are calculated based on June 2022 data and are – as are seasonally adjusted data generally – subject to change, mainly when non-seasonally adjusted data points are revised or additional non-seasonally adjusted data points become available.footnote [8] Two metrics were chosen to illustrate these revisions. The first measure is the highest percentage revision,footnote [9] which is represented by the relevant percentage change, the revision, and its corresponding date. The second measure presented is the mean absolute revision over the last three years, ie the last 36 observations available for the series at the point of review. Percentages are rounded to the nearest decimal, and revisions are shown as, and rounded to, the nearest million. Exceptions to this are marked with asterisks; these are shown as, and rounded to, the nearest ten. Note that direct seasonal adjustment is used for stock series in the first instance. Consequently, and with the exception of series where no corresponding stock series is available,footnote [10] flow series tend to be indirectly seasonally adjusted, and their revisions will therefore not be presented below. Moreover, any series derived from the monthly directly seasonally adjusted series, eg growth rates and quarterly series (where applicable), will not be represented in Table A1. As the Bank’s key headline series tend to be flow series however, revisions for these data will be highlighted in Charts 1 to 6.
Table A1: Summary revisions for directly seasonally adjusted series
Series | Series title | Highest percentage revision | Mean absolute revision (three-year) | ||
|---|---|---|---|---|---|
Percentage | Revision | Date | |||
Bankstats Table A1.1.1 | |||||
LPMAVAB | Monthly average amount outstanding of total sterling notes and coin in circulation, excluding backing assets for commercial banknote issue in Scotland and Northern Ireland | -0.8 | -723 | Dec 2021 | 186 |
Bankstats Table A2.2.1 | |||||
LPMVQJO | Monthly amounts outstanding of private sector sterling holdings of notes and coin | 0.5 | 461 | Mar 2022 | 189 |
LPMVRGP | Monthly amounts outstanding of MFIs' sterling wholesale M4 liabilities to private sector | 0.6 | 4,302 | Mar 2021 | 2,072 |
LPMVZZQ | Monthly amounts outstanding of MFIs' sterling repos with private sector | 3.1 | 5,426 | Dec 2021 | 1,817 |
Bankstats Table A2.2.3 | |||||
RPMB63Q | Monthly amounts outstanding of UK resident MFIs' sterling M4 liabilities to other financial corporations (OFCs) excluding intermediate OFCs | -0.6 | -2,572 | Jun 2022 | 934 |
Bankstats Table A4.1 | |||||
LPMVVHL | Monthly amounts outstanding of MFIs' sterling M4 liabilities to PNFCs | 0.5 | 2,875 | May 2021 | 753 |
LPMVVHR | Monthly amounts outstanding of MFIs' sterling M4 liabilities to household sector | 0.1 | 1,482 | Jun 2020 | 437 |
Bankstats Table A4.3 | |||||
LPMBC53 | Monthly amounts outstanding of MFIs' sterling net credit card lending to individuals | 0.5 | 200 | Sep 2021 | 98 |
LPMBC55 | Monthly amounts outstanding of MFIs' sterling net secured lending to individuals | 0.1 | 1,784 | Mar 2022 | 642 |
LPMBC58 | Monthly amounts outstanding of MFIs' sterling net lending to unincorporated businesses and NPISH | -0.5 | -158 | Jul 2021 | 84 |
LPMZ5G6 | Monthly amounts outstanding of MFIs' sterling overdrafts and transit and suspense items with individuals | -0.9 | -51 | Sep 2021 | 22 |
LPMZ5G7 | Monthly amounts outstanding of MFIs' sterling net consumer credit loans (excluding credit card and overdrafts) excluding securitisations to individuals | -0.3 | -159 | Jun 2022 | 79 |
LPMZ5MO | Monthly amounts outstanding of MFIs' sterling loans to PNFCs | -0.2 | -810 | Feb 2021 | 317 |
Bankstats Table A5.2 | |||||
LPMBZ2M | Monthly amounts outstanding of other lenders (excluding the Student Loans Company) sterling net lending to individuals | 0.0 | -129 | Feb 2022 | 47 |
LPMVTXK | Monthly amounts outstanding of total sterling net secured lending to individuals | 0.1 | 1,248 | Apr 2020 | 512 |
Bankstats Table A5.3 | |||||
LPMB3GF | Monthly changes of MFIs' sterling secured gross lending to individuals | 9.0 | 2,111 | Feb 2022 | 623 |
LPMB3SE | Monthly amounts outstanding of MFIs' sterling net secured lending (historical measure) to individuals | 0.1 | 1,998 | Mar 2022 | 624 |
LPMVTXK | Monthly amounts outstanding of total sterling net secured lending to individuals | 0.1 | 1,248 | Apr 2020 | 512 |
LPMVUFK | Monthly changes of OSLs' sterling secured gross lending to individuals | 8.5 | 151 | Mar 2022 | 51 |
Bankstats Table A5.4 | |||||
LPMB23A* | Monthly number of OSLs' sterling approvals for remortgaging to individuals | 3.8 | 139 | May 2020 | 80 |
LPMB26A* | Monthly number of OSLs' sterling approvals for other secured lending to individuals | 9.4 | 104 | Aug 1999 | 12 |
LPMB3HF | Monthly value of MFIs' sterling approvals for secured lending to individuals | 3.0 | 714 | Nov 2021 | 443 |
LPMB3SI* | Monthly number of MFIs' sterling approvals for remortgaging to individuals | -7.2 | -2,956 | May 2022 | 1,268 |
LPMB3TI* | Monthly number of MFIs' sterling approvals for other secured lending to individuals | 5.6 | 876 | Jan 2022 | 297 |
LPMB3VA* | Monthly number of MFIs' sterling approvals for house purchase to individuals | 3.8 | 2,497 | Dec 2021 | 1,264 |
LPMB3VI | Monthly value of MFIs' sterling approvals for house purchase to individuals | 4.0 | 600 | Dec 2021 | 288 |
LPMB3XI | Monthly value of MFIs' sterling approvals for remortgaging to individuals | 6.3 | 553 | Nov 2021 | 186 |
LPMB3YI | Monthly value of MFIs' sterling approvals for other secured lending to individuals | 5.8 | 47 | Jan 2021 | 22 |
LPMB4B3* | Monthly number of total sterling approvals for remortgaging to individuals | 4.4 | 1,977 | Nov 2021 | 845 |
LPMB4B4* | Monthly number of total sterling approvals for other secured lending to individuals | 8.2 | 1,342 | Jan 2022 | 386 |
LPMB4B5 | Monthly value of total sterling approvals for house purchase to individuals | 6.6 | 1,049 | Dec 2021 | 613 |
LPMB4B6 | Monthly value of total sterling approvals for remortgaging to individuals | 6.8 | 638 | Nov 2021 | 240 |
LPMB4B7 | Monthly value of total sterling approvals for other secured lending to individuals | 4.5 | 48 | Jan 2022 | 19 |
LPMB9H2 | Monthly value of OSLs' sterling approvals for house purchase to individuals | 8.5 | 97 | Jan 2021 | 28 |
LPMB9H5 | Monthly value of OSLs' sterling approvals for remortgaging to individuals | 7.3 | 0 | Mar 2010 | 11 |
LPMB9H8 | Monthly value of OSLs' sterling approvals for other secured lending to individuals | -6.4 | -2 | May 2021 | 1 |
LPMVTVQ | Monthly value of total sterling approvals for secured lending to individuals | 3.7 | 937 | Nov 2021 | 403 |
LPMVTVX* | Monthly number of total sterling approvals for house purchase to individuals | 3.0 | 2,099 | Dec 2021 | 896 |
LPMVYUZ | Monthly value of OSLs' sterling approvals for secured lending to individuals | 6.0 | 107 | Jan 2021 | 46 |
LPMVYVA* | Monthly number of OSLs' sterling approvals for house purchase to individuals | 8.2 | 299 | May 2022 | 109 |
LPMZ3UP* | Monthly number of MFIs' sterling total approvals for secured lending to individuals | 3.3 | 3,997 | Dec 2021 | 1,758 |
LPMZ3UR* | Monthly number of OSLs' sterling total approvals for secured lending to individuals | -4.6 | -443 | Jun 2022 | 204 |
Bankstats Table A5.5 | |||||
LPMB3HB | Monthly amount of MFIs' sterling regular repayments of secured lending by individuals | -2.3 | -95 | Jul 2021 | 38 |
LPMB3RB | Monthly amount of MFIs' sterling repayments on redemption of secured lending by individuals | -9.3 | -1,183 | Jun 2022 | 333 |
LPMB3SB | Monthly amount of MFIs' sterling other lump sum repayments of secured lending by individuals | -6.0 | -100 | Apr 2022 | 44 |
LPMB3YA | Monthly amount of MFIs' sterling total repayments of secured lending by individuals | -5.6 | -1,054 | Jun 2022 | 305 |
LPMB85L | Monthly amount of total sterling regular repayments of secured lending by individuals | 3.0 | 141 | Jan 2022 | 42 |
LPMB85M | Monthly amount of total sterling repayments on redemption of secured lending by individuals | -9.1 | -1,237 | Jun 2022 | 420 |
LPMB86K | Monthly amount of total sterling other lump sum repayments of secured lending by individuals | 4.1 | 55 | Mar 2020 | 29 |
LPMB86L | Monthly amount of total sterling total repayments of secured lending by individuals | -6.2 | -1,254 | Jun 2022 | 481 |
LPMB86M | Monthly changes of OSLs' sterling repayments on redemption of secured lending by individuals | -9.8 | -102 | Mar 2022 | 45 |
LPMB87K | Monthly changes of OSLs' sterling total repayments of secured lending by individuals | -9.6 | -94 | Jul 2020 | 53 |
Bankstats Table A5.6 | |||||
LPMB3PU | Monthly changes of total (excluding the Student Loans Company) sterling consumer credit gross lending to individuals | -3.2 | -808 | Dec 2021 | 277 |
LPMB3RA | Monthly amount of MFIs' sterling consumer credit gross lending to individuals | 4.6 | 738 | Aug 2021 | 299 |
LPMB4TE | Monthly amounts outstanding of other consumer credit lenders (excluding the Student Loans Company) sterling net unsecured lending to individuals | 0.3 | 234 | Aug 2021 | 130 |
LPMB4TI | Monthly changes of other consumer credit lenders (excluding the Student Loans Company) sterling consumer credit gross lending to individuals | -6.5 | -561 | Dec 2021 | 221 |
LPMB4TS | Monthly amounts outstanding of total (excluding the Student Loans Company) sterling consumer credit (excluding credit card) lending to individuals | 0.2 | 230 | Dec 2021 | 90 |
LPMB4TW | Monthly changes of total (excluding the Student Loans Company) sterling gross consumer credit (excluding credit card) lending to individuals | -9.5 | -657 | Mar 2022 | 148 |
LPMVZQO | Monthly amount of total sterling credit card gross lending to individuals | 3.1 | 581 | Oct 2021 | 213 |
LPMVZRJ | Monthly amounts outstanding of total sterling net credit card lending to individuals | -0.9 | -534 | Dec 2021 | 218 |
Bankstats Table A6.1 | |||||
LPMB4F6 | Monthly amounts outstanding of MFIs' sterling cash ISA deposits from household sector | -0.7 | -86 | Mar 2000 | 154 |
LPMVRVS | Monthly amounts outstanding of PNFCs' sterling holdings of notes and coin total | -0.7 | -52 | Dec 2021 | 16 |
LPMVRWI | Monthly amounts outstanding of households' sterling holdings of notes and coin total | -0.7 | -566 | Dec 2021 | 169 |
LPMZ3TH | Monthly amounts outstanding of MFIs' sterling interest bearing sight deposits from household sector | 0.5 | 4,557 | May 2022 | 2,043 |
LPMZ3TL | Monthly amounts outstanding of MFIs' sterling interest bearing sight deposits from PNFCs | -1.1 | -3,430 | Dec 2021 | 1,316 |
LPMZ3TN | Monthly amounts outstanding of MFIs' sterling time deposits, repos and CDs from household sector | -0.4 | -608 | Oct 2021 | 274 |
LPMZ3TR | Monthly amounts outstanding of MFIs' sterling time deposits, repos and CDs from PNFCs | -1.3 | -1,046 | Feb 2021 | 432 |
Bankstats Table A8.1 | |||||
RPMZM88 | Monthly amounts outstanding of MFIs' all currency loans to SMEs | 0.5 | 1,059 | Mar 2021 | 434 |
RPMZM89 | Monthly amounts outstanding of MFIs' all currency loans (excluding overdrafts) and reverse repos to SMEs | -0.1 | -212 | Jul 2021 | 100 |
RPMZM8B | Monthly changes of MFIs' all currency gross lending to SMEs | 0.0 | 0 | Feb 2022 | 0 |
RPMZM8C | Monthly changes of MFIs' all currency gross repayments from SMEs | 4.4 | 260 | May-22 | 96 |
RPMZM8E | Monthly amounts outstanding of MFIs' all currency balance of overdrafts drawn by SMEs | 0.0 | 0 | Aug 2021 | 0 |
RPMZM8H | Monthly amounts outstanding of MFIs' all currency loans (excluding overdrafts) and reverse repos to large businesses | 1.0 | 3,046 | Jun 2022 | 932 |
RPMZM8J | Monthly changes of MFIs' all currency gross lending to large businesses | 5.7 | 1,054 | Jun 2022 | 269 |
RPMZM8K | Monthly changes of MFIs' all currency gross repayments from large businesses | 6.2 | 798 | Jul 2021 | 300 |
Other Series in the Interactive Database | |||||
CPMZID5 | Monthly net issues of all currency shares by PNFCs total in sterling | -3,403.9 | -330 | Feb 2020 | 182 |
LPMBD47 | Monthly amounts outstanding of MFIs' sterling loans (excluding commercial paper) to PNFCs | -0.2 | -840 | Feb 2021 | 320 |
LPMVYVV | Monthly amount of PNFCs' all currency funds raised from UK MFIs and capital markets | 718.7 | 2,333 | Jun 2019 | 561 |
RPMZOI7 | Monthly amounts outstanding of UK resident MFIs’ (excluding central bank) sterling deposits and repos from intermediate OFCs | 1.2 | 3,192 | Jul 2021 | 1,576 |
Contact
For questions relating to this article please contact dsd_ms@bankofengland.co.uk.
See ‘Seasonal adjustment: Effects of the 2012 Diamond Jubilee’, Jenny Owladi, Bank of England, January 2013.
See ‘Money and Credit – May 2022’ and ‘Money and Credit – June 2022’.
For further details, see ‘Further details about revisions’.
As part of the Queen’s Platinum Jubilee celebrations, the Spring bank holiday moved from May to June and an extra Jubilee bank holiday was introduced. The associated trading day effect is referred to as the Jubilee effect. For further details regarding work in the past, see ‘Seasonal adjustment: Effects of the 2012 Diamond Jubilee’, Jenny Owladi, Bank of England, January 2013.
This represents the number of series that are directly seasonally adjusted, however, indirect seasonal adjustment is used widely across series published by the Bank of England. Improvements in the seasonal adjustment and revisions will therefore be seen in series that are not presented in the Appendix. For further details about seasonal adjustment at the Bank of England, see ‘Further details about seasonal adjustment data’.
The series for monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB) presents an exception, as data are available up to July 2022.
For further details about seasonal adjustment at the Bank of England, see ‘Further details about seasonal adjustment data’.
The series for monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB) presents an exception, as data are already available up to July 2022.
Calculated as the highest absolute percentage revision, but presented with the relevant sign to indicate direction of revision.
Stock series that are made up of component series are generally indirectly seasonal adjusted on a component series level.