Template-Type: ReDIF-Paper 1.0
Author-Name: Sergey Seleznev
Author-Email: SeleznevSM@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Natalia Turdyeva
Author-Email: TurdyevaNA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Ramis Khabibullin
Author-Email: KhabibullinRA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Anna Tsvetkova
Author-Email: TsvetkovaAN@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation


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

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.

Length: 22 pages
Creation-Date: 2020-12
Revision-Date:
Publication-Status:
File-URL: https://www.cbr.ru/StaticHtml/File/117529/wp-65_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps65
Classification-JEL: C11, C22, E32, E37.
Keywords: daily seasonal adjustment, time series, sectoral financial flows, Bayesian estimator.
Handle:RePEc:bkr:wpaper:wps65