CanadianMoneyData {CDNmoney} | R Documentation |
Components of the Canadian Monetary aggregates.
data(CanadianMoneyData) data(CanadianMoneyData.asof.26Aug2002)
The objects are time series.
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 |
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
tframein the dse bundle of packages
, and
dfa
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)