RDP 2009-06: Inflation Volatility and Forecast Accuracy Appendix A: Data Description and Sources
October 2009
Australia: Consumer price index excluding interest and tax, 1969–2008 (quarterly), available from the Reserve Bank of Australia. Mortgage interest charges were removed from the published CPI basket in 1998:Q3; we used a recalculated headline series that removed those charges from the earlier part of the sample. The introduction of a Goods and Services Tax (GST) in 2000 caused an inflationary spike that is not considered significant for the purposes of monetary policy, so we used a series that corrects for this effect. For further details on the series, see Roberts (2005) and Brischetto and Richards (2006).
Austria: CPI for average wage-earning households (Series I), 1959–2008 (monthly), available from Statistik Austria. For our analysis, we seasonally adjusted the series and then converted it to a quarterly frequency. When Austria joined the European Union in 1995, changes in food subsidies caused a drop in CPI. However, we have not corrected for this effect.
Canada: Headline CPI, 1960–2008. For our analysis, we seasonally adjusted the series. Ideally, we would correct for the effects of indirect taxes, but the published index that does this, the CPIXFET series, also excludes food and energy. For further details on the Bank of Canada's preferred inflation measure, see Laflèche and Armour (2006).
France: CPI, 1960–2008 (monthly), available from Eurostat, and from Datastream (code FRCP....F). For our analysis, we seasonally adjusted the series and then converted it to a quarterly frequency. There have been four relatively minor changes to Value Added Tax (VAT) in recent history; we did not adjust the CPI for these. (In January 1977, the VAT rate decreased from 20 per cent to 17.6 per cent; in July 1982, it increased to 18.6 per cent; in August 1995, it increased to 20.6 per cent; and in April 2000, it fell to 19.6 per cent.) The Banque de France focuses on the Harmonised Index of Consumer Prices (HICP), HICP excluding food and energy and HICP excluding administered prices. However, these series have not been included in our study, because of their short time span. Statistical measures have also been considered, but rejected for their lack of economic meaning (Bihan and Sédillot 1999).
Germany: CPI for the Federal Republic of Germany, January 1960–2008 (monthly), available from Statistisches Bundesamt Deutschland. Prior to 1991, we used West German data. For our analysis, we seasonally adjusted the series and then converted it to a quarterly frequency. Numerous changes to VAT have been made during the period under consideration, but they are likely to have had small first-round effects on inflation (Hoffmann and Hofmann 2004). The exception is the VAT change of January 2007, which had significant first-round effects; however, those effects were smoothed over a twelve-month period beginning half a year before the tax change, and were entangled with second-round effects (Deutsche Bundesbank 2008).
Japan: All Japan CPI, 1975–2008, monthly, corrected for the VAT change in April 1997. For our analysis, we seasonally adjusted the series and then converted it to a quarterly frequency.
New Zealand: GST-corrected CPI (PCPIG), 1975–2008, quarterly, available from the Reserve Bank of New Zealand; supplemented with the headline CPI (Datastream code NZCP....F) prior to 1975. The PCPIG excludes the direct price effects of the introduction of GST in 1986 and the increase in 1989. For our analysis, we seasonally adjusted the series.
Sweden: CPI, 1960–2008, available from Statistics Sweden. Indirect taxes contributed around 1.5 per cent to the monthly changes in CPI in March 1990 and January 1991 and 1993, and subtracted around 1.2 per cent from the monthly changes in CPI in January 1992. The published CPIX measure removes these effects, along with mortgage interest charges. We used the headline measure in our analysis because of its longer available span and seasonally adjusted it.
United Kingdom: Retail prices index excluding mortgage interest payments (RPIX), 1975–2008, monthly; we seasonally adjusted the series and then converted it to a quarterly frequency.
United States: CPI, 1960–2008, all urban consumers (CPI-U), seasonally adjusted, available from the bureau of Labor Statistics; converted to a quarterly frequency for our analysis.