Impact of calendar effects Anu Peltola Economic Statistics Section, UNECE UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey

UNECE Statistical Division Slide 2February 2012 Overview  Meaning of calendar effects  Causes of calendar effects  Types of calendar effects  Reason for calendar corrections  Problematic issues

UNECE Statistical Division Slide 3February 2012 Calendar Effects = any economic effect related to the calendar  Seasonal component includes two types of effects: seasonal & calendar related  Removed before seasonal adjustment  Include: number of different days in a month composition of working and non-working days moving holidays leap year effect  Alter the level of activity measured

UNECE Statistical Division Slide 4February 2012 Causes of Calendar Effects  The rhythms of human activity: 24-hour rotation of days Weekly rest Holiday periods Traditional behaviour related to the calendar  These social habits and rhythms also cause seasonality Changes in habits between winter and summer are not part of calendar effects, but seasonal effects

UNECE Statistical Division Slide 5February 2012 Calendar Correction  Removes non-seasonal calendar effects from the data, if statistical evidence and economic explanation  Four possibilities: Trading days (working/non-working, 6 regressors)) National and moving holidays ((provided by the user)) Leap-year Easter  Demetra+ pre-tests the presence of these effects, if tests are significant: Using calendar adjustment / calendar correction improves significantly results!

UNECE Statistical Division Slide 6February 2012 Working Day Effect  Difference between week/weekend days Volume of production may be smaller on Saturdays and Sundays than on weekdays  Level of activity is higher if the month contains more weekdays Working day effect  Sometimes, the number of weekdays doesn’t affect the level of activity at all, for example, when the factories operate in shifts every day.

UNECE Statistical Division Slide 7February 2012 Trading Day Effect = Difference between all days of the week  Means that the level of the measured variable varies depending on the day of the week  Different days have a different weight/ effect on the data

UNECE Statistical Division Slide 8February 2012 Moving Holidays = The impact on the series of holidays whose exact timing shifts from year to year  Examples of moving holidays: Easter Chinese New Year - where the exact date is determined by the cycles of the moon Ramadan  Need to be added by the user to Demetra+

UNECE Statistical Division Slide 9February 2012 Moving Holidays Growth rates (April 2008) from April 2007 from March 2008 Original series8.1- Working day adjusted 5.1- Seasonally adjusted -1.2  April 2008: +3 working days vs. April 2007 Easter was not in April in 2008  Without any adjustment IPI grew about 8 per cent (April 2008 from April 2007)  If you working day adjust, growth was 5 per cent

UNECE Statistical Division Slide 10February 2012 National Holidays  Influence the number of working days  Country specific historical list of public holidays and compensation holidays need to be kept  Improve estimates of the calendar component  Compensation holiday = additional holidays sometimes announced if a national holiday falls into the weekend  Need to be added by the user to Demetra+

UNECE Statistical Division Slide 11February 2012 Leap Year  The leap year adds one day in every four years  The day can be either a working day or it may fall into the weekend  Demetra+ tests for the significance of the leap year effect

UNECE Statistical Division Slide 12February 2012 Trading/Working Day Adjustment  Aims at a series independent of the composition of days in a month In the working day adjusted data everyday is equal  Improves quality of seasonal adjustment!  Easier to observe the underlying economic development  Should be applied only if these effects are present  Compile, maintain and add national holidays for better estimates!

UNECE Statistical Division Slide 13February 2012 Problematic Calendar Issues  Changes in regular national holidays Abolished holidays – new holidays  Regional differences in holiday calendars in a country  Complex set of moving holidays  Excessive use of compensation holidays  Changing durations of holidays  Combining national holidays with pre-defined calendar corrections  “Bridge effect” means that complete the holiday with the days which are decided by goverment (bonus days)