Seasonal Adjustment of Harmonised Indices of Consumer Prices – Main Findings of an ECB Task Force
Martin Eiglsperger
DG Statistics, Euro Area Accounts and Economic Data Division, European Central Bank, Frankfurt am Main, Germany

The paper presents the main findings of an investigation on the seasonal adjustment of Harmonised Indices of Consumer Prices (HICPs). Given the essential role the breakdown of the total HICP into its component price indices for unprocessed food, processed food, industrial goods, services and energy plays in the analysis and forecasting of inflation by central banks in the EU and in particular the euro area, a Task Force was mandated to identify issues in the seasonal adjustment of these component indices and to elaborate recommendations on good practices.

The paper illustrates that changes in indirect taxes and excise duties, in particular on tobacco products, as well as effects related to moving holidays on price indices for package holidays and accommodation services may have the potential to obscure, at least partially, the identification and the estimation of seasonal profiles, making a case for testing a pre-adjustment of these effects in a RegARIMA model. According to the Task Force's empirical investigations good practices may require the use of individually specified regressors. Changes in compilation methodology and in factors driving consumer price inflation in more general terms were found to be main obstacles to the estimation of such effects.

The Task Force also looked into the seasonal adjustment of energy price indices. While standard procedures might suggest that seasonality could be identified in an energy price index or some of its subindices, a cautious approach to the seasonal adjustment of energy price indices requires combining indications from several statistical measures. In practice, this calls for carefully striking a balance between leaving some more regular infra-annual movements in the series and the risk of obtaining insufficiently reliable estimate of the seasonal profile.

Biography: Martin Eiglsperger is a Senior Economist-Statistician in the Euro Area Accounts and Economic Data Division of the ECB's Directorate-General Statistics. He held previous positions at the Deutsche Bundesbank, the German Federal Statistical Office and the Department of Business Administration of the University of Bamberg. He received a Ph.D. degree from the University of Bamberg.