RDP 8903: The Relationship Between Financial Indicators and Economic Activity: Some Further Evidence Appendix C: Data

Glenn Stevens and Susan Thorp

June 1989

The variables used in Section 4 of the paper are defined as follows:

  • M1 is currency in the hands of the public plus current deposits with trading banks;
  • M3 is M1 plus other deposits of trading banks and deposits of savings banks (net of government and inter-bank deposits);
  • broad money is M3 plus borrowings by non-bank financial corporations other than from banks, net of identifiable double-counting;
  • bank lending is lending (including bills discounted) to the private sector by trading and savings banks;
  • AFI lending is bank lending plus lending (including bills discounted) to the private sector by non-bank financial corporations;
  • credit is AFI lending plus bank bills outstanding other than those held by financial intermediaries (which are already included in AFI lending);
  • the bill rate is the yield on 90-day bank-accepted bills of exchange;
  • PFD is the sum of private consumption and gross fixed capital expenditure on dwellings, non-dwelling construction and plant and equipment from the national accounts; and
  • GDP is gross domestic product from the national accounts.

For these series, data sources and methods are as described in the Appendix to Bullock, Morris and Stevens (1988). The only difference is that for national accounts variables, the September quarter 1988 issue of the Quarterly Estimates of National Income and Expenditure, ABS Cat. No. 5206.0 is the source. The constant-price estimates are in 1984/85 prices, rather than 1979/80 prices as in the earlier paper. Constant-price estimates prior to 1974 were calculated by splicing BMS 1979/80 series to 1984/85-based series.

Additional variables used in analysing the external sector in Section 5 are:

TWI: Trade-weighted index of average value of the Australian dollar, quarterly average of figures for last day of the month; Reserve Bank of Australia Bulletin. (Rates prior to June 1970 were constructed using weights based on visible trade for 1971–72, and International Monetary Fund par values of exchange rates, as published in International Financial Statistics Vol. 24. For method of calculation, see “The Trade-Weighted Index of Value of the Australian Dollar”, Reserve Bank of Australia Bulletin, April 1984 pp. 696–697).
M7PFD: Private final consumption expenditure plus gross fixed capital formation, seasonally adjusted, at 1980 exchange rates and prices, $US billion; OECD Quarterly National Accounts, No. 3, 1988.
M7GDP Deflator: Ratio of current to 1980 price measures of Gross Domestic Product for OECD Major Seven Economies; OECD Quarterly National Accounts, No. 3, 1988.

The tests for unit roots and time trends used in the main paper require the availability of levels for all series. This raises the issue of adjustments to financial aggregates to allow for the effects of new banks. The method used in BMS was to adjust the growth rates of the aggregates (the procedure is described in the Appendix to BMS). In the present paper, an artificial series for the levels was created, by compounding together the growth rates calculated in the same manner as in BMS

The actual data used are reproduced at the end of the paper.