Seasonal adjustment 2018 update - Bankstats article

This regular article reports on the annual review carried out in 2017 of the seasonal adjustment of the Bank of England's money and credit data and other series.
Published on 29 June 2018

By Max Brown


Seasonal adjustment aims to identify, estimate and remove regular seasonal fluctuations and typical calendar effects (e.g. numbers of trading days in a month) from time series data. This article describes the 2017 annual review and summarises its results. It also provides an update on other seasonal adjustment workstreams.

Annual Review Process

The Bank of England reviews the seasonal adjustment of published series on a regular basis. The frequency of reviews of particular series will vary, based on the usage of the series. The annual review is divided into three phases spread across the year, as detailed in Table 1.

For each data series reviewed, the following issues are routinely considered:

  • presence of seasonality;
  • seasonal adjustment settings:
    • choice of ARIMA model;
    • calendar effects;
    • outliers;
    • seasonal and trend filters;
  • residual seasonality; 

Table 1: Phases of the 2017 review

Phase Types of series covered Period reviewed
 1 Broad money and credit, notes and coin
Data up to January 2017 (implemented for April 2017 data)
 2 Balance sheet, industry analysis of deposits and loans, capital issuance, housing equity withdrawal and other series
Data up to May 2017 (implemented for August 2017 data)
 3 Lending to individuals
Data up to September 2017 (implemented for January 2018 data)

Results of 2017 review

In total, 115 published series were reviewed in 2017, as detailed in Table 2. This resulted in changes to 23 existing published series (Table 3).

Of the 23 altered series: 1 series which previously showed no seasonality was assigned seasonal adjustment settings; 20 series had their existing seasonal adjustment settings amended to benefit the adjustment; 1 series changed from an indirect adjustment to a direct adjustment and therefore was assigned seasonal adjustment settings.

The remaining series changed from a direct adjustment to an indirect adjustment. A comparison of the direct and indirect adjustment is sometimes carried out in addition to the routine issues reviewed. Consumer credit excluding securitisations was reviewed in this way. As a result, the series was changed to an indirect adjustment, resulting in better diagnostics and less residual seasonality. Chart 1 shows that the new indirect adjustment is smoother than the direct in some periods.

To view all related tables, please download the full article:

PDFSeasonal adjustment update 2018 

For questions relating to this article please contact  or call +44 (0) 20 3461 5361.

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