RDP 2003-12: The Real-Time Forecasting Performance of Phillips Curves Appendix D: Data Sources and Definitions

Many of the data series used in this paper were also used in Gruen et al (2002). Definitions and sources for these series were outlined in Appendix D of that paper. In this appendix we describe only those series used here which were not used in Gruen et al, or whose precise definition or source have been altered slightly.

Nominal cash rate and 90-day bank bill rate

The nominal cash rate is the quarter average of monthly data for the interbank overnight rate, for the period from July 1998 onwards, and for the 11am call rate, up to June 1998 (both available from Table F.1 of the RBA Bulletin, ‘Interest Rates and Yields – Money Market’). For the 90-day bank bill rate we use the average level of this series over the last week of each quarter, also available from Table F.1 of the RBA Bulletin [issue 1998:M7].

Weighted average interest rate on overdraft advances

Constructed from RBA Bulletin Table ‘Advances Classified by Interest Rates’ [1963:M9–1988:M11]. Interest rates are assumed to be the midpoint of each category (e.g., ‘more than 5% but less than 5½%’ is taken to be 5¼0%), except for end categories, where the relevant boundary is used (e.g., ‘5% and less’ is taken to be 5%). These are then weighted by their share of total advances outstanding.

Bond market inflation expectations

The bond market inflation expectations series is as constructed in Gruen et al (2002), except that, rather than using the end-quarter value of the nominal 10-year bond yield, we use the average of the end-month values in each quarter (from Table F.2 of the RBA Bulletin, ‘Capital Market Yields – Government Bonds’).

De-trended real share accumulation index

We first construct a nominal share accumulation index for Australia (including both capital gains and the re-investment of dividends). From 1992:Q3 onwards this is the quarter average of the daily close of the Standard and Poor's (S&P)/Australian Stock Exchange (ASX) 200 accumulation index, available from Datastream (code: ASX200(RI)). For the period 1990:Q1–1992:Q2, we back-cast the S&P/ASX 200 index using changes in the quarter average of the daily closing values of the old ASX All Ordinaries Index (since renamed the ASX Share Price Index), again available from Datastream (code: AORDASX(RI)). For the periods 1980:Q1–1989:Q4, 1970:Q1–1979:Q4, and 1959:Q1–1969:Q4, we repeat this back-casting procedure, but now using in turn: the quarter average of the end-month values of the ASX Share Price Index (available from the ‘S&P/ASX 200 accumulation index’ series in Table F.7, ‘Share Market’, of the RBA Bulletin – see table notes); data on the MSCI national net index (official) for Australia, available from <http://www.msci.com>; and finally, linearly interpolated data for the annual All Ordinaries Accumulation Index from Foster (1997), Table 3.18a, available at <http://www.rba.gov.au/Statistics/op8_index.html>.

To construct a real version of this nominal index, we then deflate the series by the 2002:Q4 vintage median consumer price index. Finally, to de-trend the series we use a Hodrick-Prescott (H-P) filter with smoothness parameter X_HP = 1600. Note that this approach to de-trending ignores real-time considerations (since an H-P filter applied to vintages of our real share accumulation index would yield estimates for the trend level of this series different from those obtained by filtering the full series up to December quarter 2002). However, neglecting this real-time complication has little effect on our results.

Real trade-weighted exchange rate

We use an index of the Australian dollar against a trade-weighted basket of major-trading-partner currencies, adjusted for domestic and foreign consumer prices. Available from <http://www.rba.gov.au/Statistics/>.

Southern Oscillation Index

The Southern Oscillation Index is available from the Commonwealth Bureau of Meteorology at <http://www.bom.gov.au/climate/current/soihtm1.shtml>.

Statutory Reserve Deposits ratio

The Statutory Reserve Deposits (SRD) ratio is the daily average from the RBA Bulletin Table ‘Ratios of Selected Assets to Total Deposits’ [1965:M9–1984:M7]. These original data were seasonally adjusted using the X12 econometric package.

Terms of trade

Data are from National Income, Expenditure and Product (ABS Cat No 5206.0), December quarter 2002.