RDP 1999-11: A Structural Vector Autoregression Model of Monetary Policy in Australia Appendix A: Data

Andrea Brischetto and Graham Voss

December 1999

All data are quarterly and the sample period is 1980:Q1–1998:Q4. All variables other than interest rates are in logs. All series are quarterly averages other than domestic output and prices. Seasonally adjusted series are denoted by sa.

Oil prices (o*)
Definition: World price of oil in US dollars.
Units: Market average spot price of crude petroleum in USD/Barrel.
Source: West Texas Intermediate price back to July 1981. Prior to 1981, series spliced onto price from IFS on Datastream, Code – WDI76AAZA. This series is a monthly average.
Federal Funds rate (i*)
Definition: Nominal US Federal Funds rate.
Units: Annual interest rate (not in percentage terms).
Source: Datastream, Code – usfedfun.
Australian GDP (y)
Definition: Real GDP (chain-linked).
Units: $m (sa).
Source: National Income, Expenditure and Product, ABS Cat. No. 5206.0, Table 5.
Underlying consumer price index (p)
Definition: Treasury underlying consumer price index.
Units: 1989/90 = 100.
Source: Consumer Price Index, ABS Cat. No. 6401.0, Table 11. NB. This series is not seasonally adjusted but has little or no seasonal component.
M1(m)
Definition: This series is M1B seasonally adjusted and break adjusted from August 1984 onwards. The monthly growth rate in sa and non-ba M1B is used to take this series back to 1980. This is possible because there were no breaks in the series before June 1985. M1 is defined as currency and current deposits with trading banks. In 1975, however, the distinction between tradings and savings banks disappeared so that M1 was no longer measurable and M1B became currency and current deposits with all banks.
Units: $m (sa, break adjusted).
Source: Reserve Bank of Australia.
Official cash rate (i)
Definition: Nominal official cash rate until 1996:Q2, nominal unofficial cash rate from then on.
Units: Annual interest rate (not in percentage terms).
Source: Reserve Bank of Australia.
Exchange rate (e)
Definition: USD/AUD nominal exchange rate.
Units: Foreign currency price of a unit of domestic currency.
Source: Reserve Bank of Australia Bulletin, Table F9.