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.6Mar2009)
             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''.

     *New Variable definitions*

       variable (ID)     short description     longer description
       V37258            gross M1+             
       V37259            gross M1++            
       V41552786         gross M2              
       V41552788         gross M2+             
       V41552790         gross M2++            
       V41552785         gross M3              
       V37173            currency              currency outside banks
       MV41552775        personal chequing     personal chequing accounts at banks
       MV41552777        N-P chequing notice   non-personal chequable notice
       MV36818           pers non-cheq notice  personal notice - non-chequable at banks
       NetNonbankCheq    Net Non-bank Cheq     chequing accounts at non-banks less TMLinterbank
       GrossNonbankCheq  Non bank Chequing     chequing accounts at non-banks
       MV36828           N-P non-chequing      non-personal, non-chequable accounts at banks
       NonbankNonCheq    Non-bank Non-Cheq     non-chequing accounts at non-banks
       MV36823           personal term         personal term at banks
       NonbankTerm       Non-bank Term         term deposits at non-banks
       V37243            life insurance        individual annuities at life insurance co.
       MV37244           dep at gov inst       deposits at government institutions
       V37245            mmmf                  money market mutual funds
       V37255            CSB                   Canadian saving bonds
       V37256            non-mmmf              non-money market mutual funds
       MV36830           N-P term deposits     non-personal term at banks
       MV36876           Fgn curr deposits     Foreign currency deposits of residents
       MV37235           GrossNonbankTotal     Total Deposits at Trust and Mortgage Loan Companies
       TMLinterbank      TML dep. at banks     Deposits of trust mortgage and loan companies at banks
       adjM1p            pre-1982 problem      
       adjM1pp           pre-1982 problem      
       CUadj             CU estimate fix       fix for poor Statcan estimate of Nonbank non-cheq vs
                                               Term split for one Credit Union prior to April 1996

     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.  

     *Composition of the Monetary Aggregates*

                                                         Monetary  Aggregate           
                                           gross  gross   gross      gross    gross  gross
                                            M1+   M1++      M2        M2+     M2++    M3
       variable (ID)    short desciption                                               
       V37173               currency         X      X       X          X        X      X
       MV41552775          pers cheq         X      X       X          X        X      X
       MV41552777       N-P cheq notice      X      X       X          X        X      X
       MV36818         pers n-cheq notice           X       X          X        X      X
       NetNonbankCheq    NetNonbankCheq      X      X                  X        X      
       MV36828             N-P n-cheq               X       X          X        X      X
       NonbankNonCheq    NonbankNonCheq             X                  X        X      
       MV36823             pers term                        X          X        X      X
       NonbankTerm        NonbankTerm                                  X        X      
       V37243              life insur                                  X        X      
       MV37244          dep at gov inst                                X        X      
       V37245                 mmmf                                     X        X      
       V37255                 CSB                                               X      
       V37256               non-mmmf                                            X      
       MV36830            N-P term dep                                                 X
       MV36876            Fgn curr dep                                                 X
       adjM1p           pre-1982 problem     X                                         
       adjM1pp          pre-1982 problem            X                                  
       CUadj            CU estimate fix             X                                  

     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++.

     Previously the components were defined using the B-number
     designations. The variables were as shown in table ''Previously
     Components Definitions''.

     *Previously Components Definitions*

       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 and 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 ''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).

     *Previous Canadain Monetary Aggregates*

                                                       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

     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++.

     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''.

     *Bank of Canada / Statistics Canada Cansim I and II numbers*

       Cansim ID  Cansim II ID                           
         B451        V36814                  personal savings deposits
         B452        V36815                 personal chequing deposits
         B453        V36818            personal non-chequing notice deposits
         B454        V36823                   personal term deposits
         B472        V36827            non-personal chequing notice deposits
         B473        V36828             non-personal non-chequing deposits
         B475        V36830                 non-personal term deposits
         B476        V36809                            float
         B478        V36831                       demand deposits
         B482        V36876                  foreign currency deposits
         B486        V36844              personal chequing accounts (PCA)
         B487        V36845                  current accounts deposits
         B2001       V37173                          currency
         B2038       V37235                   non-bank total deposits
         B2042       V37239     credit unions and caisses populaires total deposits
         B2046       V37243                       life insurance
         B2047       V37244          deposits at government owned institutions
         B2048       V37245                  money market mutual funds
         B2057       V37255                Canadian savings bonds (CSB)
         B2058       V37256                non-money market mutual funds

     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''.

     *Monetary Aggregates and SA numbers*

                         Monetary Aggregates              
                                                SA       SA
                 Cansim       Cansim II       Cansim  Cansim II
       M1 total  B2033         V37200         B1627    V37124
       M1 gross  B2054         V37252         B1642    V37141
         M1+     B2060         V37258         B1651    V37151
         M1++    B2061         V37259         B1652    V37152
          M2     B2031         V37198         B1630    V37128
         M2+     B2037         V37216         B1633    V37131
         M2++    B2059         V37257         B1650    V37150
          M3     B2030         V37197         B1628    V37125

_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 (V41552786)")

     M2p  <-  tframed(M2    + NetNonbankCheq + NonbankNonCheq + NonbankTerm +
                               + V37243 + MV37244 + V37245, names="gross M2+ (V41552788)")

     M2pp <-  tframed(M2p   + V37255 + V37256, names="gross M2++ (V41552790)")

     M3   <-  tframed(M2    + MV36830 + MV36876, names="gross M3 (V41552785)")

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

      tfplot(tbind(currencyPerCapita, currencyReal))
      tfplot(tbind(M1p, M1pp))
      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.
      
      # Since M1 was discontinued, this was change to use currency, which is longer.
      # cpi <- 100 * M1total / M1real
      # seriesNames(cpi) <- "CPI"
      
      # popm <- M1total / M1PerCapita
      # seriesNames(popm) <- "Population of Canada"

      # cpi <- 100 * M1p / M1pReal
      # seriesNames(cpi) <- "CPI"

      cpi <- 100 * V37173 / currencyReal
      seriesNames(cpi) <- "CPI"
      
      # popm <- M1p / M1pPerCapita
      # seriesNames(popm) <- "Population of Canada"
      
      popm <- V37173 / currencyPerCapita
      seriesNames(popm) <- "Population of Canada"

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

      #tfplot(tbind(M1total, M1gross, M1p, M1pp))
      tfplot(tbind(M1p, M1pp))
      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)

