CanadianMoneyData          package:CDNmoney          R Documentation

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_D_e_s_c_r_i_p_t_i_o_n:

     Components of the Canadian Monetary aggregates.

_U_s_a_g_e:

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

_F_o_r_m_a_t:

     The objects are time series.

_D_e_t_a_i_l_s:

     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

_S_o_u_r_c_e:

     Components are from the _Bank of Canada._ Population and consumer
     price index (CPI) data from  _Statistics Canada_ are used to
     calculate 'realM1'  and  'percapitaM1'.

_R_e_f_e_r_e_n_c_e_s:

     Gilbert, P.D. and L. Pichette (2003) "Dynamic Factor Analysis for 
     Measuring Money." Bank of Canada Working Paper 2003-21. <URL:
     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. <URL: http://www.bank-banque-canada.ca>

_S_e_e _A_l_s_o:

     'tframein the dse bundle of packages', and 'dfa'

_E_x_a_m_p_l_e_s:

      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)

