Seasonal adjustment of financial aggregates: 1991–1996

This study investigates the presence of seasonality in Peru’s financial aggregates, specifically between 1991 and 1996, with the aim of optimizing short-term monetary policy by identifying seasonal patterns. The X-11 ARIMA method is applied to seasonally adjust time series that include currency in circulation, money, currency issuance, reserve requirements, and deposits. The results indicate that currency in circulation exhibits a stable and identifiable seasonal pattern, with notable increases in April, July, and December, while money shows a seasonal pattern that is also identifiable but of lesser magnitude. In contrast, other aggregates, such as demand deposits, do not exhibit reliable seasonality, suggesting that the variability of the irregular component dominates the series. This finding highlights the importance of using seasonally adjusted estimates to improve the accuracy of economic forecasts. The implications for economic policy are significant, recommending the continued use of seasonality indices for planning monetary expansion and the need to review these estimates annually to ensure their validity. (Abstract and audio: Department of Economic Publications)