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Components of the Canadian Monetary aggregates.
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The objects are time series.
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 |
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.bankofcanada.ca/2003/07/publications/research/working-paper-2003-21/.
Kottaras, J. (2003) The Construction of Continuity-Adjusted Monetary Aggregate Components. Bank of Canada Working Paper 2003-22. http://www.bankofcanada.ca/2003/08/publications/research/working-paper-2003-22/
CanadianCreditData
,
tframein the dse bundle of packages
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 | require("tframe")
require("tfplot")
########### 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)
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