In hs97/MPHM:

knitr::opts_chunk$set(echo = TRUE)
library(MPHM)
library(dplyr)
library(tidyr)
library(knitr)
library(purrr)

Reading Data

We can use the read_hc function to read the house credit data. The full cleaned house credit file can be found at ~/data/hc.csv

cpi <- read_cpi(x = "../data/cp1904.xlsx", y = "../data/MacroVar.xlsx")
hc <- read_hc("../data/HouseCredit_data.xlsx", cpi)
# List of all countries
country_list <- colnames(hc)[colnames(hc) != "date"]

kable(head(hc[1:4]))

There are r ncol(hc) columns and r nrow(hc) rows in the housing credit dataset.

We can use the read_pp function to read the property price data, deflate the data appropriately, and take log. The full cleaned property price data can be found at ~/data/pp.csv

# Read property prices and select appropriate prices. 
pp <- read_pp(pps = "../data/pp_selected.xlsx", ppl = "../data/pp_long.xlsx", 
              pp_saar = "../data/HousePrices_SA&AR.xlsx", country_list = country_list, cpi = cpi)
kable(head(pp[1:6]))

There are r ncol(pp) columns and r nrow(pp) rows in the property dataset.

We can use the read_mp function to read the macroprudential policy actions.

# The list of all actions. We can choose from this list what actions we want to look at
indicators <- c("Housing_FX_limit", "Housing_LLprovisioning", "Housing_LTV", 
                "Housing_OtherCapital", "Housing_RiskWeights", "Housing_tax",
                "Housing_CCYB", 'Housing_DSTI', 'Housing_DTI_LTI', 'Housing_Exposure_limit',
                "Housing_credGr_limit")
mp = lapply(indicators, read_mp, path = "../data/MacroprudentialIndicators.xlsx") %>%
  reduce(full_join, by = "date")
path = "../data/FinalDATA_11June2018.xlsx"
cy <- read_cy(path)
mp <- apply(cy, 1, mp_reduce_range, mp = mp) %>%
  reduce(full_join, by = "date")
kable(head(mp[1:4]))

There are r ncol(mp) columns and r nrow(mp) rows in the macroprudential action dataset.

Finding Intersection

We want to find periods in which all data were available for a certain country. We can use merge_dat to merge hc, pp, and mp data. We use find_intersect to filter out country-specific information. We can use find_start_end_all to find the start and end dates for all countries' data availability in a given dataset. The dates dataset is saved in ~/data/dates.csv

dat = list("mp" = mp, "hc" = hc, "pp" = pp) 
# All possible combinations for merging
all_dat <- merge_dat(dat, all = TRUE)
mp_pp <- merge_dat(dat, first = "mp", second = "pp") 
mp_hc <- merge_dat(dat, first = "mp", second = "hc") 
hc_pp <- merge_dat(dat, first = "hc", second = "pp") 

hc_dates <- find_start_end_all(country_list = country_list, dat = hc, dat_name = "hc")
pp_dates <- find_start_end_all(country_list = country_list, dat = pp, dat_name = "pp")
mp_dates <- find_start_end_all(country_list = country_list, dat = mp, dat_name = "mp")
mp_pp_dates <- find_start_end_all(country_list = country_list, dat = mp_pp, dat_name = "mp_pp")
mp_hc_dates <- find_start_end_all(country_list = country_list, dat = mp_hc, dat_name = "mp_hc")
hc_pp_dates <- find_start_end_all(country_list = country_list, dat = hc_pp, dat_name = "hc_pp")
all_dates <- find_start_end_all(country_list = country_list, dat = all_dat, dat_name = "all")

dates <- list(hc_dates, pp_dates, mp_dates, mp_pp_dates, mp_hc_dates, hc_pp_dates, all_dates) %>%
  reduce(full_join, by = "Country")

kable(head(dates[1:8]))

We can use find_intersect to collect the detailed intersection data, and use the data in analysis.

inter <- sapply(country_list, find_intersect, x = all_dat, simplify = FALSE, USE.NAMES = TRUE) 
bb <- lapply(country_list, bry_boschan, dat = pp) %>%
  reduce(full_join, by = "date")
corr <- lapply(country_list, lag_corr, dat = hc_pp) %>%
  bind_rows %>%
  gather("t", "corr", - country, - max_corr_t) %>%
  select(country, corr, t) %>%
  arrange_at("country")
kable(head(inter$AU[7:10]))

Taking a quick look at the intersection data for AU(Australia), there are r ncol(inter$AU) columns and r nrow(inter$AU) rows in this dataset, indicating r nrow(inter$AU) entries are present for all three data series.

hs97/MPHM documentation built on Aug. 29, 2019, 4:10 p.m.