Seasonal adjustment of CPIs during the COVID-19 pandemic and beyond
This paper examines the presence of seasonality in CPI in 36 OECD economies that provide
monthly CPI data and reviews the properties of standard methods, namely X-13 and TRAMO-SEATS,
in performing the adjustment. Evidence from statistical tests points to the presence
of seasonality in headline CPI and its components, with stronger seasonality in some
components. There are also indications of changes in seasonal pattern from 1980 to
2022, but it is not systematic across countries. Simulations suggest that differences
between the two methods are small when applied to CPI in OECD countries in normal
times. Differences between the direct (adjusting all-item CPI and components independently)
and the indirect (aggregating the seasonally adjusted components) approaches are also
minimal when using the 12 divisions of the 1999 COICOP classification, limiting the
need for a reconciliation method. Although large shocks should in theory affect seasonal
adjustment, there is no strong evidence of a change in CPI seasonal patterns following
the COVID-19 pandemic. This issue needs, however, to be revisited once the effects
of the shock, including its impact on inflation have fully dissipated. The extent
of revisions implied by the seasonal adjustment should be among the criteria for choosing
a seasonal adjustment method, as CPI is often used in indexation and legal documents.
The paper provides a summary of how communication is handled by selected OECD countries
and provides a list of best practices that can be drawn upon by a National Statistical
Office aiming to publish seasonally adjusted CPI.
Published on June 26, 2024
In series:OECD Statistics Working Papersview more titles