engleski

Seasonal Adjustment of Monetary Aggregates in Croatia: Direct vs. Indirect Approach

When a time series to be seasonally adjusted is the sum of component series, a direct or indirect approach could be considered. If the aggregate series is seasonally adjusted it is called direct adjustment. If the series is to be obtained by summing the adjusted component series it is called indirect adjustment. To make decision what kind of approach to employ we have used a criterion based on the minimizations of data revisions. The revision statistics we used are: the average absolute percent revision and the absolute average revision. These statistics are calculated for both the aggregate series and its components. The criterion chooses the minimum of these two statistics. Broadest money (M4) comprises money (M1), savings and time deposits, foreign currency deposits as well as bonds and money market instruments. Croatian series are affected by the war and transition turbulences with eurization. As there is still controversy over the method of seasonal adjustment to be used, we compared results obtained both with X-12-ARIMA and TRAMO/SEATS methods. TRAMO/SEATS proved to get better performance. Also, we concluded that indirect approach is better for Croatian broadest money series.

seasonal adjustment; monetary aggregates; X-12-ARIMA; TRAMO/SEATS

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