CanadianMoneyData          package:CDNmoney          R Documentation

_C_o_n_t_i_n_u_i_t_y _A_d_j_u_s_t_e_d _C_o_m_p_o_n_e_n_t _D_a_t_a _f_o_r _C_a_n_a_d_i_a_n _M_o_n_e_t_a_r_y _A_g_g_r_e_g_a_t_e_s

_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.5Jun2007)
             data(CanadianMoneyData.asof.3Mar2006)
             data(CanadianMoneyData.asof.28Jan2005)
             data(CanadianMoneyData.asof.6Feb2004)
             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 ''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
      GrossNonbankCheq\tab 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 grossM1\tab totalM1\tab M1+ \tab M1++ \tab
      M2   \tab M2+  \tab M2++  \tab M3 
      comp. \tab variable (ID) \tab B2054  \tab B2033 \tab B2060\tab
     B2061\tab 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}

_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:

     'CanadianCreditData', 'tframein the dse bundle of packages'

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

      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)

