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).
lll{
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).
lccccccccc{
----- ---- ---- 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:
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
require("tframe")
data("CanadianMoneyData", package="CDNmoney")
########### Calculations to get monetary aggregates ######
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)
tframein the dse bundle of packages, and
dfadatasets