CanadianMoneyData {CDNmoney} | R Documentation |
Components of the Canadian Monetary aggregates.
data(CanadianMoneyData) data(CanadianMoneyData.asof.5Jun2007) data(CanadianMoneyData.asof.3Mar2006) data(CanadianMoneyData.asof.28Jan2005) data(CanadianMoneyData.asof.6Feb2004) data(CanadianMoneyData.asof.26Aug2002)
The objects are time series.
Several data objects are loaded, as listed in the table
''New Variable definitions''. The
CanadianMoneyData
usage loads the most recent version and
other usages loads data as of the given date.
These data are the components of the Canadian Monetary aggregates. They have been "continuity adjusted" so that take-overs and mergers do not result in breaks in the series. This involves re-arranging historical data so that it reflects the current structure of the industry. Trust company deposits are not included in some Canadian monetary aggregates so, if a bank takes over a trust company, the historical data for the trust company must be added to the bank's historical data to eliminate a break in the series. The series start at various dates but continuity adjustments prior to 1981 are not complete. More details about the adjustment are provided in Kottaras (2003).
The originally released data is usually very accurate because of bank reporting requirements. Beware that continuity adjustments described above are the main reason for revisions to the data. For this reason the "as of" data may not be especially useful for some kinds of data revision studies.
In January 2007 the aggregates M1 gross and M1 total (sometimes called M1 net) were discontinued, and M2, M2+, M2++, and M3 were modified to "gross" versions. The earlier CanadianMoneyData sets contain these series, but more recent ones do not. Components as of January 2007 are as shown in table ''New Variable definitions''.
begin{table}
caption{New Variable definitions}
begin{center}
begin{tabular}{lll}
hline
hline
variable (ID) tab short description tab longer description
hline
tab tab
V37258 tab gross M1+ tab
V37259 tab gross M1++ tab
V41552786 tab gross M2 tab
V41552788 tab gross M2+ tab
V41552790 tab gross M2++ tab
V41552785 tab gross M3 tab
V37173 tab currency tab currency outside banks
MV41552775 tab personal chequing tab personal chequing accounts at banks
MV41552777 tab N-P chequing notice tab non-personal chequable notice
MV36818 tab pers non-cheq notice tab personal notice - non-chequable at banks
NetNonbankCheq tab Net Non-bank Cheq tab chequing accounts at non-banks less TMLinterbank
GrossNonbankCheqtab Non bank Chequing tab chequing accounts at non-banks
MV36828 tab N-P non-chequing tab non-personal, non-chequable accounts at banks
NonbankNonCheq tab Non-bank Non-Cheq tab non-chequing accounts at non-banks
MV36823 tab personal term tab personal term at banks
NonbankTerm tab Non-bank Term tab term deposits at non-banks
V37243 tab life insurance tab individual annuities at life insurance co.
MV37244 tab dep at gov inst tab deposits at government institutions
V37245 tab mmmf tab money market mutual funds
V37255 tab CSB tab Canadian saving bonds
V37256 tab non-mmmf tab non-money market mutual funds
MV36830 tab N-P term deposits tab non-personal term at banks
MV36876 tab Fgn curr deposits tab Foreign currency deposits of residents
MV37235 tab GrossNonbankTotal tab Total Deposits at Trust and Mortgage Loan Companies
TMLinterbank tab TML dep. at banks tab Deposits of trust mortgage and loan companies at banks
hline
tab tab
adjM1p tab pre-1982 problem tab
adjM1pp tab pre-1982 problem tab
CUadj tab CU estimate fix tab fix for poor Statcan estimate of Nonbank non-cheq vs
tab tab Term split for one Credit Union prior to April 1996
hline
end{tabular}
end{center}
end{table}
Table ''Composition of the Monetary Aggregates'' indicates how the components are added for the Bank of Canada monetary aggregates. This version of the table is for new monetary aggregates released in January 2007.
begin{table}
caption{Composition of the Monetary Aggregates}
begin{center}
begin{tabular}{lccccccc}
hline
hline
tab tab tab tab Monetary tab Aggregate tab tab
tab tab gross tab gross tab gross tab gross tab gross tab gross
tab tab M1+ tab M1++ tab M2 tab M2+ tab M2++ tab M3
variable (ID) tab short desciption
hline
V37173 tab currency tab X tab X tab X tab X tab X tab X
MV41552775 tab pers cheq tab X tab X tab X tab X tab X tab X
MV41552777 tab N-P cheq notice tab X tab X tab X tab X tab X tab X
MV36818 tab pers n-cheq notice tab tab X tab X tab X tab X tab X
NetNonbankCheq tab NetNonbankCheq tab X tab X tab tab X tab X tab
MV36828 tab N-P n-cheq tab tab X tab X tab X tab X tab X
NonbankNonCheq tab NonbankNonCheq tab tab X tab tab X tab X tab
MV36823 tab pers term tab tab tab X tab X tab X tab X
NonbankTerm tab NonbankTerm tab tab tab tab X tab X tab
V37243 tab life insur tab tab tab tab X tab X tab
MV37244 tab dep at gov inst tab tab tab tab X tab X tab
V37245 tab mmmf tab tab tab tab X tab X tab
V37255 tab CSB tab tab tab tab tab X tab
V37256 tab non-mmmf tab tab tab tab tab X tab
MV36830 tab N-P term dep tab tab tab tab tab tab X
MV36876 tab Fgn curr dep tab tab tab tab tab tab X
hline tab tab tab tab tab tab
adjM1p tab pre-1982 problem tab X tab tab tab tab tab
adjM1pp tab pre-1982 problem tab tab X tab tab tab tab
CUadj tab CU estimate fix tab tab X tab tab tab tab
hline
end{tabular}
end{center}
vspace{0.3cm}
X means included; float is now included in all (gross) aggregates.
NetNonbankCheq = TMLCHEQPLUS + LCUCHEQPLUS - TMLinterbank;
NonbankNonCheq = TMLNCPLUSPLUS + LCUNCPLUSPLUS;
NetNonbankTotal= MV37235 + MV37239 - TMLinterbank;
use NetNonbankTotal = NonbankTerm + NonbankCheq + NetNonbankNonCheq
to get NonbankTerm = NetNonbankTotal - (NetNonbankCheq + NonbankNonCheq);
adjM1pp ( = adjV37210 - adjV37213 ) adjustment is only for data prior to the sample used in Gilbert and Pichette.
CUadj changes an estimate of NonbankNonCheq/NonbankTerm split prior to April 1996. This only affects M1++. end{table}
Previously the components were defined using the B-number designations. The
variables were as shown in table ''Previously Components Definitions''.
begin{table}
caption{Previously Components Definitions}
begin{center}
begin{tabular}{lll}
hline
hline
variable (ID) tab short description tab longer description
hline
MB2001 tab currency tab currency outside banks
MB486 tab PCA tab personal chequing accounts at banks
MB487p tab CA other demand tab current accounts at banks
MB452 tab pers cheq tab personal notice - chequable at banks
MB453 tab pers n-cheq notice tab personal notice - non-chequable at banks
MB454 tab pers term tab personal term at banks
NonbankCheq tab NonbankCheq tab chequing accounts at non-banks
MB472 tab N-P cheq notice tab non-personal chequable notice
MB473 tab N-P non-cheq tab non-personal - non-chequable
NonbankNonCheq tab NonbankNonCheq tab non-chequing accounts at non-banks
MB451 tab pers savings tab personal savings accounts at banks
NonbankTerm tab NonbankTerm tab term deposits at non-banks
MB2046 tab life insur tab individual annuities at life insurance co.
MB2047 tab dep at gov inst tab deposits at government institutions
MB2048 tab mmmf tab money market mutual funds
MB2057 tab CSB tab Canadian saving bonds
MB2058 tab non-mmmf tab non-money market mutual funds
MB475 tab N-P term dep tab non-personal term at banks
MB482 tab Fgn curr dep tab Foreign currency deposits of residents
MB451 tab Pers savings tab MB452 + MB453 + MB454
MB478 tab Demand deposits tab Chartered bank net demand deposits
MB2038 tab NonbankTotal tab Total Deposits at Trust and Mortgage Loan Companies
hline
float tab B476 tab checks and deposits "in transit"
TMLinterbank tab TML depostis at banks tab Deposits of trust mortgage and loan companies at banks
MB452adj tab pre-1982 problem tab
MB473adj tab pre-1982 problem tab
CUadj tab CU estimate fix tab fix for poor Statcan estimate of NonbankNonCheq/NonbankTerm split for one Credit Union prior to April 1996
hline
end{tabular}
end{center}
end{table}
The ''Previous Canadain Monetary Aggregates'' table indicates how these components were added for the Bank of
Canada monetary aggregates in the past. The column on the left indicates how they are
combined to form components for factor estimates as in Gilbert and Pichette (2003).
begin{table}
caption{Previous Canadain Monetary Aggregates}
begin{center}
begin{tabular}{lccccccccc}
hline
hline
tab tab tab tab tab Monetary tab Aggregate tab tab tab
tab tab tab netM1= tab tab tab tab tab tab
tab tab grossM1tab totalM1tab M1+ tab M1++ tab M2 tab M2+ tab M2++ tab M3
comp. tab variable (ID) tab B2054 tab B2033 tab B2060tab B2061tab B2031 tab B2037 tab B2059 tab B2030
tab tab tab tab tab tab tab tab tab
hline
1 tab MB2001 tab X tab X tab X tab X tab X tab X tab X tab X
2 tab MB486 tab X tab X tab X tab X tab X tab X tab X tab X
4 tab MB487PLUS tab X tab X tab X tab X tab X tab X tab X tab X
2 tab MB452 tab tab tab X tab X tab X tab X tab X tab X
6 tab MB453 tab tab tab tab X tab X tab X tab X tab X
3 tab NonbankCheq tab tab tab X tab X tab tab X tab X tab
4 tab MB472 tab tab tab X tab X tab X tab X tab X tab X
4 tab MB473 tab tab tab tab X tab X tab X tab X tab X
6 tab NonbankNonCheq tab tab tab tab X tab tab X tab X tab
6 tab MB454 tab tab tab tab tab X tab X tab X tab X
6 tab NonbankTerm tab tab tab tab tab tab X tab X tab
6 tab MB2046 tab tab tab tab tab tab X tab X tab
6 tab MB2047 tab tab tab tab tab tab X tab X tab
6 tab MB2048 tab tab tab tab tab tab X tab X tab
6 tab MB2057 tab tab tab tab tab tab tab X tab
6 tab MB2058 tab tab tab tab tab tab tab X tab
5 tab MB475 tab tab tab tab tab tab tab tab X
6 tab MB482 tab tab tab tab tab tab tab tab X
hline
tab float MB476 tab + tab - tab + tab + tab - tab - tab - tab -
tab TMLinterbank tab X tab X tab tab tab tab tab tab
tab MB452adj tab tab tab X tab tab tab tab tab
tab MB473adj tab tab tab tab X tab tab tab tab
tab CUadj tab tab tab tab X tab tab tab tab
hline
end{tabular}
end{center}
X- included
+ float is in
- float is out
NonbankCheq = TMLCHEQPLUS + LCUCHEQPLUS
NonbankNonCheq = TMLNCPLUSPLUS + LCUNCPLUSPLUS
NonbankTotal = NonbankTerm + NonbankCheq + NonbankNonCheq = MB2038M2P + MB2042
[actually NonbankTerm= NonbankTotal - (NonbankCheq + NonbankNonCheq ) ]
MB473adj ( = MB473PLUSPLUS - MB473 )adjustment is only for data prior to the sample used in Gilbert and Pichette.
CUadj changes an estimate of NonbankNonCheq/NonbankTerm split prior to April 1996. This only affects M1++. end{table}
Many of the MB numbers are related to B numbers from Statistics Canada's Cansim series identification system. The correspondence between these related B numbers and V number identifiers from the newer Statistics Canada Cansim II system is as shown in table ''Bank of Canada / Statistics Canada Cansim I and II numbers''.
begin{table}
caption{Bank of Canada / Statistics Canada Cansim I and II numbers}
begin{center}
begin{tabular}{ccc}
hline
hline
Cansim ID tab Cansim II ID tab
hline
B451 tab V36814 tab personal savings deposits
B452 tab V36815 tab personal chequing deposits
B453 tab V36818 tab personal non-chequing notice deposits
B454 tab V36823 tab personal term deposits
B472 tab V36827 tab non-personal chequing notice deposits
B473 tab V36828 tab non-personal non-chequing deposits
B475 tab V36830 tab non-personal term deposits
B476 tab V36809 tab float
B478 tab V36831 tab demand deposits
B482 tab V36876 tab foreign currency deposits
B486 tab V36844 tab personal chequing accounts (PCA)
B487 tab V36845 tab current accounts deposits
B2001 tab V37173 tab currency
B2038 tab V37235 tab non-bank total deposits
B2042 tab V37239 tab credit unions and caisses populaires total deposits
B2046 tab V37243 tab life insurance
B2047 tab V37244 tab deposits at government owned institutions
B2048 tab V37245 tab money market mutual funds
B2057 tab V37255 tab Canadian savings bonds (CSB)
B2058 tab V37256 tab non-money market mutual funds
hline
end{tabular}
end{center}
end{table}
The components in this database are not seasonally adjusted (SA), but the corresponding Bank of Canada / Statistics Canada numbers for the seasonally adjusted aggregates are as shown in table ''Monetary Aggregates and SA numbers''.
begin{table}
caption{Monetary Aggregates and SA numbers}
begin{center}
begin{tabular}{ccccc}
hline
hline
tab tab Monetary Aggregates tab tab
tab tab tab SA tab SA
tab Cansim tab Cansim II tab Cansim tab Cansim II
hline
M1 total tab B2033 tab V37200 tab B1627 tab V37124
M1 gross tab B2054 tab V37252 tab B1642 tab V37141
M1+ tab B2060 tab V37258 tab B1651 tab V37151
M1++ tab B2061 tab V37259 tab B1652 tab V37152
M2 tab B2031 tab V37198 tab B1630 tab V37128
M2+ tab B2037 tab V37216 tab B1633 tab V37131
M2++ tab B2059 tab V37257 tab B1650 tab V37150
M3 tab B2030 tab V37197 tab B1628 tab V37125
hline
end{tabular}
end{center}
end{table}
Components are from the Bank of Canada.
Population and consumer price index (CPI) data from
Statistics Canada are used to calculate realM1
and percapitaM1
.
Gilbert, P.D. and L. Pichette (2003) Dynamic Factor Analysis for Measuring Money. Bank of Canada Working Paper 2003-21. http://www.bank-banque-canada.ca/pgilbert.
Kottaras, J. (2003) The Construction of Continuity-Adjusted Monetary Aggregate Components. Bank of Canada Working Paper 2003-22. http://www.bank-banque-canada.ca
CanadianCreditData
,
tframein the dse bundle of packages
require("tframe") ########### Calculations to get new monetary aggregates ###### data("CanadianMoneyData", package="CDNmoney") M1p <- tframed(V37173 + MV41552775 + MV41552777 + NetNonbankCheq + adjM1p, names="M1+ (V37258)") M1pp <- tframed(CUadj + M1p + MV36818 + MV36828 + adjM1pp + NonbankNonCheq, names="gross M1++ (V37259)") M2 <- tframed(V37173 + MV41552775 + MV41552777 + MV36818 + MV36828 + MV36823, names="gross M2 (V37198)") M2p <- tframed(M2 + NetNonbankCheq + NonbankNonCheq + NonbankTerm + + V37243 + MV37244 + V37245, names="gross M2+ (V37216)") M2pp <- tframed(M2p + V37255 + V37256, names="gross M2++ (V37257)") M3 <- tframed(M2 + MV36830 + MV36876, names="gross M3 (V37197)") ######### Plot aggregates ##### tfplot(tbind(M1p, M1pp)) tfplot(tbind(M1pPerCapita, M1pReal)) tfplot(tbind(M2, M2p, M2pp)) tfplot(M3) ########### Calculations to get old monetary aggregates ###### data("CanadianMoneyData.asof.3Mar2006", package="CDNmoney") #M1gross <- tframed(MB2001 + MB486 + MB487p + TMLinterbank, names="gross M1 (B2054)") M1p <- tframed(MB2001 + MB486 + MB487p + MB452 + MB452adj + MB472 + NonbankCheq, names="M1+ (B2060)") M1pp <- tframed(CUadj + M1p + MB453 + MB473 + MB473adj + NonbankNonCheq, names="M1++ (B2061)") M2 <- tframed(M1total + MB472 + MB473 + MB452 + MB453 + MB454, names="M2 (B2031)") M2p <- tframed(M2 + NonbankCheq + NonbankNonCheq + NonbankTerm + MB2046 + MB2047 + MB2048, names="M2+ (B2037)") M2pp <- tframed(M2p + MB2057 + MB2058, names="M2++ (B2059)") M3 <- tframed(M2 + MB475 + MB482, names="M3 (B2030)") ######### Calculations of cpi and pop ###### # M1real = M1total * 100/p100000 (CPI - p20 Bank of Canada Weekly Financial # Statistics, June 1992=100) # M1PerCapita = M1total * 100 /(pop * p100000) # using a quarterly population # series converted to monthly using spline. # cpi <- 100 * M1total / M1real # seriesNames(cpi) <- "CPI" # popm <- M1total / M1PerCapita # seriesNames(popm) <- "Population of Canada" cpi <- 100 * M1p / M1pReal seriesNames(cpi) <- "CPI" popm <- M1p / M1pPerCapita seriesNames(popm) <- "Population of Canada" ######### Plot aggregates ##### #tfplot(tbind(M1total, M1gross, M1p, M1pp)) tfplot(tbind(M1p, M1pp)) tfplot(tbind(M1pPerCapita, M1pReal)) tfplot(tbind(M2, M2p, M2pp)) tfplot(M3) #### Calculations to get components as used in Gilbert and Pichette #### data("CanadianMoneyData.asof.3Mar2006", package="CDNmoney") z <-tfwindow(tframed(tbind( MB2001, MB486 + MB452 , NonbankCheq, MB472 + MB473 + MB487p, MB475, NonbankNonCheq + MB454 + NonbankTerm + MB2046 + MB2047 + MB2048 + MB2057 + MB2058 + MB482 + MB453), names=c("currency", "personal cheq.", "NonbankCheq", "N-P demand & notice", "N-P term", "Investment") ), start=c(1986,1), end=c(2002,4)) MBcomponents <- 1e8 * z /matrix(tfwindow(popm * cpi, start=c(1986,1), end=c(2002,4)),196, 6) # 1e8 * gives real $ per person #(MB numbers in millions, CPI in fraction*100, popm in persons.) tfplot(MBcomponents, graphs.per.page=3)