Seasonal adjustment of the Bank of Russia Payment System financial flows data

Sergei Seleznev, Natalia Turdyeva, Ramis Khabibullin () and Anna Tsvetkova
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Ramis Khabibullin: Bank of Russia, Russian Federation

No wps65, Bank of Russia Working Paper Series from Bank of Russia

Abstract: This paper describes the seasonal adjustment algorithm used by the Bank of Russia to clean up data for ‘Monitoring of Sectoral Financial Flows’ weekly publication. We have developed a simple and fast procedure based on a set of trigonometric functions and dummy variables that demonstrates good results in terms of various quality metrics and can be easily modified for working with more flexible model specifications.

Keywords: daily seasonal adjustment; time series; sectoral financial flows; Bayesian estimator. (search for similar items in EconPapers)
JEL-codes: C11 C22 E32 E37 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2020-12
New Economics Papers: this item is included in nep-cis, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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