CanadianMoneyData {CDNmoney}R Documentation

Continuity Adjusted Component Data for Canadian Monetary Aggregates

Description

Components of the Canadian Monetary aggregates.

Usage

        data(CanadianMoneyData)
        data(CanadianMoneyData.asof.26Aug2002)

Format

The objects are time series.

Details

Several data objects are loaded, as listed in the table below. The first usage loads the version most recently added to the package and other usage loads data as of a given date. (At present the two are the same.)

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).

variable (ID) short description longer description
MB2001 currency currency outside banks
MB486 PCA personal chequing accounts at banks
MB487p CA other demand current accounts at banks
MB452 pers cheq personal notice - chequable at banks
MB453 pers n-cheq notice personal notice - non-chequable at banks
MB454 pers term personal term at banks
NonbankCheq NonbankCheq chequing accounts at non-banks
MB472 N-P cheq notice non-personal chequable notice
MB473 N-P non-cheq non-personal - non-chequable
NonbankNonCheq NonbankNonCheq non-chequing accounts at non-banks
MB451 pers savings personal savings accounts at banks
NonbankTerm NonbankTerm term deposits at non-banks
MB2046 life insur individual annuities at life insurance co.
MB2047 dep at gov inst deposits at government institutions
MB2048 mmmf money market mutual funds
MB2057 CSB Canadian saving bonds
MB2058 non-mmmf non-money market mutual funds
MB475 N-P term dep non-personal term at banks
MB482 Fgn curr dep Foreign currency deposits of residents

MB451

Pers savings MB452 + MB453 + MB454
MB478 Demand deposits Chartered bank net demand deposits
MB2038 NonbankTotal Total Deposits at Trust & Mortgage Loan Companies

float

B476 checks and deposits "in transit"
TMLinterbank TML depostis at banks Deposits of trust mortgage and loan companies at banks
MB452adj pre-1982 problem
MB473adj pre-1982 problem
CUadj CU estimate fix fix for poor Statcan estimate of NonbankNonCheq/NonbankTerm split for one Credit Union prior to April 1996

The following table indicates how these components are added for the Bank of Canada monetary aggregates. The column on the left indicates how they are combined to form components for the dfa approach (Gilbert and Pichette, 2003). newpage
—– —- —- Monetary Aggregate —- —- —-
netM1=
grossM1 totalM1 M1+ M1++ M2 M2+ M2++ M3
comp. variable (ID) B2054 B2033 B2060 B2061 B2031 B2037 B2059 B2030
1 MB2001 X X X X X X X X
2 MB486 X X X X X X X X
4 MB487PLUS X X X X X X X X
2 MB452 X X X X X X
6 MB453 X X X X X
3 NonbankCheq X X X X
4 MB472 X X X X X X
4 MB473 X X X X X
6 NonbankNonCheq X X X
6 MB454 X X X X
6 NonbankTerm X X
6 MB2046 X X
6 MB2047 X X
6 MB2048 X X
6 MB2057 X
6 MB2058 X
5 MB475 X
6 MB482 X
float MB476 + - + + - - - -
TMLinterbank X X
MB452adj X
MB473adj X
CUadj X

X- included
+ float is in
- float is out

pers - personal
N-P - non-personal
dep - deposits

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++.

The components in this database are not seasonally adjusted, but the corresponding Bank of Canada/Statistics Canada B numbers for the seasonally adjusted aggregates are as follows:

aggregate unadj SA
gross M1 B2054 B1642
M1+ B2060 B1651
M1++ B2061 B1652
net M1 B1627
M2 B2031 B1630
M2+ B2037 B1633
M2++ B2059 B1650
M3 B2030 B1628

Source

Components are from the Bank of Canada. Population and consumer price index (CPI) data from Statistics Canada are used to calculate realM1 and percapitaM1.

References

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

See Also

tframein the dse bundle of packages, and dfa

Examples

 require("tframe")
 data("CanadianMoneyData", package="CDNmoney")
########### Calculations to get monetary aggregates ######

 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"

######### Plot aggregates #####

 tfplot(tbind(M1total, M1gross, M1p, M1pp))
 tfplot(tbind(M1PerCapita, M1real))
 tfplot(tbind(M2, M2p, M2pp))
 tfplot(M3)

#### Calculations to get components as used in Gilbert and Pichette ####

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)

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