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Construction and Seasonal Patterns of Islamic Hijri Calendar Monthly Time Series: An Application to Consumer Price Index (CPI) in Pakistan

Author

Listed:
  • Riaz Riazuddin

    (State Bank of Pakistan)

Abstract

Time series data are compiled and analysed in accordance with Gregorian calendar, given its world-wise use. This paper presents a simple method of constructing time series in accordance with Hijri Calendar from an already compiled Gregorian time series. Preliminary seasonal analysis of Hijri time series for CPI in Pakistan provides new insights of price behavior that depends both on Gregorian and Hijri seasonality. A spliced series of monthly CPI from January 1976 to December 2008 spanning 33 Gregorian years (396 Gregorian months) is used to capture a full cycle of 34 Hijri years (408 Hijri months). Method presented is general and can be used to construct and analyse any variable of interest. Paper proposes that statistical agencies and central banks of Islamic countries should also compile data according to Hijri Calendar, in addition to existing compilation according to Gregorian calendar. This will add to a better understanding of socioeconomic behaviours in Islamic countries.

Suggested Citation

  • Riaz Riazuddin, 2012. "Construction and Seasonal Patterns of Islamic Hijri Calendar Monthly Time Series: An Application to Consumer Price Index (CPI) in Pakistan," SBP Working Paper Series 50, State Bank of Pakistan, Research Department.
    • Handle: RePEc:sbp:wpaper:50
    as

    Download full text from publisher

    File URL: http://www.sbp.org.pk/repec/sbp/wpaper/wp50.pdf
    File Function: First version, 2012
    Download Restriction: no
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    References listed on IDEAS

    as
    1. Syed Kalim Hyder Bukhari & Abdul Jalil & Nasir Hamid Rao, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," SBP Working Paper Series 39, State Bank of Pakistan, Research Department.
    2. Muhammad Akmal & Muhammad Usman Abbasi, 2010. "Ramadan Effect on Price Movements: Evidence from Pakistan," SBP Working Paper Series 32, State Bank of Pakistan, Research Department.
    3. Riaz Riazuddin & Mahmood ul Hasan Khan, 2002. "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Working Paper Series 02, State Bank of Pakistan, Research Department.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Hijri; CPI; seasonal effects; gregorian; time series;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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