Seasonal adjustment: 2022 Covid-19 Review

This review aims to mitigate the impact of the Covid-19 pandemic on the seasonal adjustment.
Published on 26 August 2022

By Juliane Haarmann.

Introduction

Seasonal adjustment aims to identify, estimate and remove seasonal fluctuations and typical calendar effects (such as those caused by monthly variations in the number of trading days) from non-seasonally adjusted (NSA) time series data, making it easier for users to interpret this data. However, the effects of outlier or non-routine events such as the Covid-19 pandemic may distort the estimation of seasonal fluctuations and calendar effects, resulting in suboptimal seasonal adjustment. This Review aims to mitigate the impact of the Covid-19 pandemic on the seasonal adjustment.

With the onset of the Covid-19 pandemic, the Bank of England (the Bank) reduced the scope of regular annual reviews of its seasonally adjusted (SA) series, to allow for more time to assess and estimate the impacts of pandemic on the seasonally adjusted series. In line with previous instances of unusual events, eg the Queen’s Diamond Jubilee in 2012,footnote [1] the Bank announced in its Money and Credit statistical release for May and June 2022 that it was conducting a review to assess and adjust for the effects of the Covid-19 pandemic on the seasonally adjusted series since the begin of the pandemic in March 2020.footnote [2] The Bank has now completed its investigations on a number of its existing seasonally adjusted series, and changes to the seasonal adjustment are being implemented this month (publication of Bankstats July 2022) in accordance with the Bank’s revision policy.footnote [3] Going forward, the Bank plans to resume its full-scope/regular annual reviews, and conduct a review covering the effects of the 2022 Platinum Jubilee on its seasonally adjusted series.footnote [4] An update on the Bank’s seasonal adjustment activities is planned for early next year.

Covid-19 Review process

To mitigate the impact of Covid-19 pandemic effects on the seasonal adjustment, we have reviewed 78 monthly seasonally adjusted time series,footnote [5] as categorised in Table A. The observation period began with data from the first lockdown in the UK in March 2020, up to and including June 2022, the latest available data point.footnote [6]

Table A: Series categories covered in the Covid-19 Review

Category

Series

Bankstats tables

A1.1.1 – Notes and coin

A2.2.1 – Components of M4

A2.2.3 – M4 and M4 lending excluding intermediate OFCs

A4.1 – Sectoral analysis of M4

A4.3 – Sectoral analysis of M4 lending

A5.2 – Total lending to individuals excluding student loans

A5.3 – Lending secured on dwellings

A5.4 – Approvals for lending secured on dwellings

A5.5 – Repayments of lending to individuals

A5.6 – Consumer credit excluding student loans

A6.1 – Sectoral deposits and Divisia money

A8.1 – Monetary financial institutions' all currency loans to UK non-financial businesses, by size of business

Other

Other Series in the Interactive Database

We have considered various modelling options available within X-13ARIMA-SEATS, the seasonal adjustment software used at the Bank of England, to model the effects of the pandemic on each series, and have implemented the relevant modelling options if they were statistically significant.footnote [7] Consequently, we now estimate seasonality more accurately, which allows us to mitigate the Covid-19 pandemic impact more effectively. In doing this, our assumption is that effects resulting from the Covid-19 pandemic reflect temporary rather than fundamental changes in the seasonal pattern. With more data, the series will be re-assessed for any permanent changes which may result in revisions to the seasonal adjustment in the future.

The series, apart from monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB), have generally not been reviewed for potential effects associated with the 2022 Platinum Jubilee. We plan to carry out a review to assess for this specific effect in the future.

Results and revisions

The magnitude of revisions has varied across series, as different series have been affected in different ways by the pandemic. Summary revision statistics for all series reviewed are presented in Tables A1 of the Annex. Revisions can occur in both negative and positive directions, and are not confined to the period under review. In particular, due to moving averages used within X-13ARIMA-SEATS, revisions to the seasonal adjustment may occur substantially prior to the period covered during the 2022 Covid-19 Review. This applies most notably for two series: the number of other specialist lenders' (OSLs') sterling approvals for other secured lending; and, the amounts outstanding of monetary financial institutions' (MFIs') sterling cash ISA deposits from household sector (LPMB26A and LPMB4F6, respectively). These two series have their highest percentage revision substantially outside this period due to relatively low series levels at the relevant observations. These relevant seasonally adjusted values are now consistent with what was reported prior to the Covid-19 pandemic. Moreover, in flow series with observations relatively close to zero, comparatively small absolute changes can appear as very high percentage changes. This can be observed in two other series: the net issue of all currency shares; and, the private non-financial corporations' (PNFCs') total all currency funds raised (CPMZID5 and LPMVYVV, respectively).

In addition to the correction for Covid-19 related effects, a statistically significant effect related to the 2022 Platinum Jubilee for the notes and coin series LPMAVAB was established and accounted for.

Charts 1 to 6 illustrate the magnitude and extent of revisions to a number of high-profile Bankstats series resulting from the Covid-19 Review.

Chart 1: Number of mortgage approvals, SA

Number of approvals, as split into ‘house purchase’, ‘remortgaging’ and ‘other’, show relatively small revisions.

Chart 2: Consumer credit, SA

Generally, relatively small revisions for ‘other loans and advances’ and ‘credit card’ lending, but, December months for the latter have been revised downward noticeably.

Chart 3: Changes of total sterling notes and coin in circulation

Generally, relatively small revisions for notes and coin, but noticeable upward revisions for January and April months and downward revisions for December and May months.

Chart 4: Flow of sterling money (M4ex)

M4ex revisions are relatively small, but noticeable upward revisions in October months.

Chart 5: Monthly changes to MFIs' all currency loans to small and medium-sized enterprises (SMEs)

MFI Loans to SMEs revisions are relatively small.

Chart 6: Net finance raised by PNFCs

Relatively small revisions to PNFC net finance raised but noticeable upward revisions in June months.

Annex

In Table A1, an overview of the directly seasonally adjusted series covered during 2022 Covid-19 Review is provided. The revisions presented below are calculated based on June 2022 data and are – as are seasonally adjusted data generally – subject to change, mainly when non-seasonally adjusted data points are revised or additional non-seasonally adjusted data points become available.footnote [8] Two metrics were chosen to illustrate these revisions. The first measure is the highest percentage revision,footnote [9] which is represented by the relevant percentage change, the revision, and its corresponding date. The second measure presented is the mean absolute revision over the last three years, ie the last 36 observations available for the series at the point of review. Percentages are rounded to the nearest decimal, and revisions are shown as, and rounded to, the nearest million. Exceptions to this are marked with asterisks; these are shown as, and rounded to, the nearest ten. Note that direct seasonal adjustment is used for stock series in the first instance. Consequently, and with the exception of series where no corresponding stock series is available,footnote [10] flow series tend to be indirectly seasonally adjusted, and their revisions will therefore not be presented below. Moreover, any series derived from the monthly directly seasonally adjusted series, eg growth rates and quarterly series (where applicable), will not be represented in Table A1. As the Bank’s key headline series tend to be flow series however, revisions for these data will be highlighted in Charts 1 to 6.

Table A1: Summary revisions for directly seasonally adjusted series

Series

Series title

Highest percentage revision

Mean absolute revision (three-year)

Percentage

Revision

Date

Bankstats Table A1.1.1

LPMAVAB

Monthly average amount outstanding of total sterling notes and coin in circulation, excluding backing assets for commercial banknote issue in Scotland and Northern Ireland

-0.8

-723

Dec 2021

186

Bankstats Table A2.2.1

LPMVQJO

Monthly amounts outstanding of private sector sterling holdings of notes and coin

0.5

461

Mar 2022

189

LPMVRGP

Monthly amounts outstanding of MFIs' sterling wholesale M4 liabilities to private sector

0.6

4,302

Mar 2021

2,072

LPMVZZQ

Monthly amounts outstanding of MFIs' sterling repos with private sector

3.1

5,426

Dec 2021

1,817

Bankstats Table A2.2.3

RPMB63Q

Monthly amounts outstanding of UK resident MFIs' sterling M4 liabilities to other financial corporations (OFCs) excluding intermediate OFCs

-0.6

-2,572

Jun 2022

934

Bankstats Table A4.1

LPMVVHL

Monthly amounts outstanding of MFIs' sterling M4 liabilities to PNFCs

0.5

2,875

May 2021

753

LPMVVHR

Monthly amounts outstanding of MFIs' sterling M4 liabilities to household sector

0.1

1,482

Jun 2020

437

Bankstats Table A4.3

LPMBC53

Monthly amounts outstanding of MFIs' sterling net credit card lending to individuals

0.5

200

Sep 2021

98

LPMBC55

Monthly amounts outstanding of MFIs' sterling net secured lending to individuals

0.1

1,784

Mar 2022

642

LPMBC58

Monthly amounts outstanding of MFIs' sterling net lending to unincorporated businesses and NPISH

-0.5

-158

Jul 2021

84

LPMZ5G6

Monthly amounts outstanding of MFIs' sterling overdrafts and transit and suspense items with individuals

-0.9

-51

Sep 2021

22

LPMZ5G7

Monthly amounts outstanding of MFIs' sterling net consumer credit loans (excluding credit card and overdrafts) excluding securitisations to individuals

-0.3

-159

Jun 2022

79

LPMZ5MO

Monthly amounts outstanding of MFIs' sterling loans to PNFCs

-0.2

-810

Feb 2021

317

Bankstats Table A5.2

LPMBZ2M

Monthly amounts outstanding of other lenders (excluding the Student Loans Company) sterling net lending to individuals

0.0

-129

Feb 2022

47

LPMVTXK

Monthly amounts outstanding of total sterling net secured lending to individuals

0.1

1,248

Apr 2020

512

Bankstats Table A5.3

LPMB3GF

Monthly changes of MFIs' sterling secured gross lending to individuals

9.0

2,111

Feb 2022

623

LPMB3SE

Monthly amounts outstanding of MFIs' sterling net secured lending (historical measure) to individuals

0.1

1,998

Mar 2022

624

LPMVTXK

Monthly amounts outstanding of total sterling net secured lending to individuals

0.1

1,248

Apr 2020

512

LPMVUFK

Monthly changes of OSLs' sterling secured gross lending to individuals

8.5

151

Mar 2022

51

Bankstats Table A5.4

LPMB23A*

Monthly number of OSLs' sterling approvals for remortgaging to individuals

3.8

139

May 2020

80

LPMB26A*

Monthly number of OSLs' sterling approvals for other secured lending to individuals

9.4

104

Aug 1999

12

LPMB3HF

Monthly value of MFIs' sterling approvals for secured lending to individuals

3.0

714

Nov 2021

443

LPMB3SI*

Monthly number of MFIs' sterling approvals for remortgaging to individuals

-7.2

-2,956

May 2022

1,268

LPMB3TI*

Monthly number of MFIs' sterling approvals for other secured lending to individuals

5.6

876

Jan 2022

297

LPMB3VA*

Monthly number of MFIs' sterling approvals for house purchase to individuals

3.8

2,497

Dec 2021

1,264

LPMB3VI

Monthly value of MFIs' sterling approvals for house purchase to individuals

4.0

600

Dec 2021

288

LPMB3XI

Monthly value of MFIs' sterling approvals for remortgaging to individuals

6.3

553

Nov 2021

186

LPMB3YI

Monthly value of MFIs' sterling approvals for other secured lending to individuals

5.8

47

Jan 2021

22

LPMB4B3*

Monthly number of total sterling approvals for remortgaging to individuals

4.4

1,977

Nov 2021

845

LPMB4B4*

Monthly number of total sterling approvals for other secured lending to individuals

8.2

1,342

Jan 2022

386

LPMB4B5

Monthly value of total sterling approvals for house purchase to individuals

6.6

1,049

Dec 2021

613

LPMB4B6

Monthly value of total sterling approvals for remortgaging to individuals

6.8

638

Nov 2021

240

LPMB4B7

Monthly value of total sterling approvals for other secured lending to individuals

4.5

48

Jan 2022

19

LPMB9H2

Monthly value of OSLs' sterling approvals for house purchase to individuals

8.5

97

Jan 2021

28

LPMB9H5

Monthly value of OSLs' sterling approvals for remortgaging to individuals

7.3

0

Mar 2010

11

LPMB9H8

Monthly value of OSLs' sterling approvals for other secured lending to individuals

-6.4

-2

May 2021

1

LPMVTVQ

Monthly value of total sterling approvals for secured lending to individuals

3.7

937

Nov 2021

403

LPMVTVX*

Monthly number of total sterling approvals for house purchase to individuals

3.0

2,099

Dec 2021

896

LPMVYUZ

Monthly value of OSLs' sterling approvals for secured lending to individuals

6.0

107

Jan 2021

46

LPMVYVA*

Monthly number of OSLs' sterling approvals for house purchase to individuals

8.2

299

May 2022

109

LPMZ3UP*

Monthly number of MFIs' sterling total approvals for secured lending to individuals

3.3

3,997

Dec 2021

1,758

LPMZ3UR*

Monthly number of OSLs' sterling total approvals for secured lending to individuals

-4.6

-443

Jun 2022

204

Bankstats Table A5.5

LPMB3HB

Monthly amount of MFIs' sterling regular repayments of secured lending by individuals

-2.3

-95

Jul 2021

38

LPMB3RB

Monthly amount of MFIs' sterling repayments on redemption of secured lending by individuals

-9.3

-1,183

Jun 2022

333

LPMB3SB

Monthly amount of MFIs' sterling other lump sum repayments of secured lending by individuals

-6.0

-100

Apr 2022

44

LPMB3YA

Monthly amount of MFIs' sterling total repayments of secured lending by individuals

-5.6

-1,054

Jun 2022

305

LPMB85L

Monthly amount of total sterling regular repayments of secured lending by individuals

3.0

141

Jan 2022

42

LPMB85M

Monthly amount of total sterling repayments on redemption of secured lending by individuals

-9.1

-1,237

Jun 2022

420

LPMB86K

Monthly amount of total sterling other lump sum repayments of secured lending by individuals

4.1

55

Mar 2020

29

LPMB86L

Monthly amount of total sterling total repayments of secured lending by individuals

-6.2

-1,254

Jun 2022

481

LPMB86M

Monthly changes of OSLs' sterling repayments on redemption of secured lending by individuals

-9.8

-102

Mar 2022

45

LPMB87K

Monthly changes of OSLs' sterling total repayments of secured lending by individuals

-9.6

-94

Jul 2020

53

Bankstats Table A5.6

LPMB3PU

Monthly changes of total (excluding the Student Loans Company) sterling consumer credit gross lending to individuals

-3.2

-808

Dec 2021

277

LPMB3RA

Monthly amount of MFIs' sterling consumer credit gross lending to individuals

4.6

738

Aug 2021

299

LPMB4TE

Monthly amounts outstanding of other consumer credit lenders (excluding the Student Loans Company) sterling net unsecured lending to individuals

0.3

234

Aug 2021

130

LPMB4TI

Monthly changes of other consumer credit lenders (excluding the Student Loans Company) sterling consumer credit gross lending to individuals

-6.5

-561

Dec 2021

221

LPMB4TS

Monthly amounts outstanding of total (excluding the Student Loans Company) sterling consumer credit (excluding credit card) lending to individuals

0.2

230

Dec 2021

90

LPMB4TW

Monthly changes of total (excluding the Student Loans Company) sterling gross consumer credit (excluding credit card) lending to individuals

-9.5

-657

Mar 2022

148

LPMVZQO

Monthly amount of total sterling credit card gross lending to individuals

3.1

581

Oct 2021

213

LPMVZRJ

Monthly amounts outstanding of total sterling net credit card lending to individuals

-0.9

-534

Dec 2021

218

Bankstats Table A6.1

LPMB4F6

Monthly amounts outstanding of MFIs' sterling cash ISA deposits from household sector

-0.7

-86

Mar 2000

154

LPMVRVS

Monthly amounts outstanding of PNFCs' sterling holdings of notes and coin total

-0.7

-52

Dec 2021

16

LPMVRWI

Monthly amounts outstanding of households' sterling holdings of notes and coin total

-0.7

-566

Dec 2021

169

LPMZ3TH

Monthly amounts outstanding of MFIs' sterling interest bearing sight deposits from household sector

0.5

4,557

May 2022

2,043

LPMZ3TL

Monthly amounts outstanding of MFIs' sterling interest bearing sight deposits from PNFCs

-1.1

-3,430

Dec 2021

1,316

LPMZ3TN

Monthly amounts outstanding of MFIs' sterling time deposits, repos and CDs from household sector

-0.4

-608

Oct 2021

274

LPMZ3TR

Monthly amounts outstanding of MFIs' sterling time deposits, repos and CDs from PNFCs

-1.3

-1,046

Feb 2021

432

Bankstats Table A8.1

RPMZM88

Monthly amounts outstanding of MFIs' all currency loans to SMEs

0.5

1,059

Mar 2021

434

RPMZM89

Monthly amounts outstanding of MFIs' all currency loans (excluding overdrafts) and reverse repos to SMEs

-0.1

-212

Jul 2021

100

RPMZM8B

Monthly changes of MFIs' all currency gross lending to SMEs

0.0

0

Feb 2022

0

RPMZM8C

Monthly changes of MFIs' all currency gross repayments from SMEs

4.4

260

May-22

96

RPMZM8E

Monthly amounts outstanding of MFIs' all currency balance of overdrafts drawn by SMEs

0.0

0

Aug 2021

0

RPMZM8H

Monthly amounts outstanding of MFIs' all currency loans (excluding overdrafts) and reverse repos to large businesses

1.0

3,046

Jun 2022

932

RPMZM8J

Monthly changes of MFIs' all currency gross lending to large businesses

5.7

1,054

Jun 2022

269

RPMZM8K

Monthly changes of MFIs' all currency gross repayments from large businesses

6.2

798

Jul 2021

300

Other Series in the Interactive Database

CPMZID5

Monthly net issues of all currency shares by PNFCs total in sterling

-3,403.9

-330

Feb 2020

182

LPMBD47

Monthly amounts outstanding of MFIs' sterling loans (excluding commercial paper) to PNFCs

-0.2

-840

Feb 2021

320

LPMVYVV

Monthly amount of PNFCs' all currency funds raised from UK MFIs and capital markets

718.7

2,333

Jun 2019

561

RPMZOI7

Monthly amounts outstanding of UK resident MFIs’ (excluding central bank) sterling deposits and repos from intermediate OFCs

1.2

3,192

Jul 2021

1,576

Contact

For questions relating to this article please contact dsd_ms@bankofengland.co.uk.

  1. See ‘Seasonal adjustment: Effects of the 2012 Diamond Jubilee’, Jenny Owladi, Bank of England, January 2013.

  2. See ‘Money and Credit – May 2022’ and ‘Money and Credit – June 2022’.

  3. For further details, see ‘Further details about revisions’.

  4. As part of the Queen’s Platinum Jubilee celebrations, the Spring bank holiday moved from May to June and an extra Jubilee bank holiday was introduced. The associated trading day effect is referred to as the Jubilee effect. For further details regarding work in the past, see ‘Seasonal adjustment: Effects of the 2012 Diamond Jubilee’, Jenny Owladi, Bank of England, January 2013.

  5. This represents the number of series that are directly seasonally adjusted, however, indirect seasonal adjustment is used widely across series published by the Bank of England. Improvements in the seasonal adjustment and revisions will therefore be seen in series that are not presented in the Appendix. For further details about seasonal adjustment at the Bank of England, see ‘Further details about seasonal adjustment data’.

  6. The series for monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB) presents an exception, as data are available up to July 2022.

  7. For further details about seasonal adjustment at the Bank of England, see ‘Further details about seasonal adjustment data’.

  8. The series for monthly average amount outstanding of total sterling notes and coin in circulation (LPMAVAB) presents an exception, as data are already available up to July 2022.

  9. Calculated as the highest absolute percentage revision, but presented with the relevant sign to indicate direction of revision.

  10. Stock series that are made up of component series are generally indirectly seasonal adjusted on a component series level.