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Seasonal Adjustment Of Some Financial Indicators Of Pakistan

Author

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  • S.M.Husnain Bokhari

    (Joint Director, Statistics & Data Warehouse Department, State Bank of Pakistan)

  • Ishaque Ahmed Ansari

    (Senior Joint Director, Statistics & Data Warehouse Department, State Bank of Pakistan.)

Abstract

The paper describes the applied seasonal adjustment procedures used for analysis of the financial time series compiled by SBP.We have applied the X12ARIMA method in adjusting five important financial series currency in circulation, broad money, remittances, exports and imports from the balance of payments data.Adjusted series were found to be satisfactory, with in the tests and practices followed in X12ARIMA.

Suggested Citation

  • S.M.Husnain Bokhari & Ishaque Ahmed Ansari, 2009. "Seasonal Adjustment Of Some Financial Indicators Of Pakistan," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 5(2), pages 107-123.
    • Handle: RePEc:aib:ibtjbs:v:5:y:2009:i:2:p:107-123
    DOI: https://doi.org/10.46745/ilma.ibtjbs.2009.52.3
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    File URL: http://ibtjbs.ilmauniversity.edu.pk/journal/jbs/5.2/3.%20Seasonal%20Adjustment%20of%20Some%20Financial%20Indicators%20of%20Pakistan.pdf
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    References listed on IDEAS

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    1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
    2. Clive W. J. Granger, 1979. "Seasonality: Causation, Interpretation, and Implications," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 33-56, National Bureau of Economic Research, Inc.
    3. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083, November.
    4. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, November.
    5. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
    6. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    7. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Time Series: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 343-349, October.
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    Cited by:

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    Keywords

    Seasonal adjustment; X-12-ARIMA;

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