RDP 2010-05: Direct Effects of Money on Aggregate Demand: Another Look at the Evidence Appendix A: Data Description and Sources

Australia

Real output: Chain volume GDP (ABS).

Price level: Trimmed mean CPI excluding interest and tax changes (RBA).

Real interest rate: Let be the real interest rate, and P_t be the price level. Then is calculated according to:

where i_t is the average of the cash rate in percentage terms over the quarter (RBA).

Money: Quarterly average of the money base series (RBA). For the results in Table 3, we subtract the log of the price level from the log of money, and then seasonally adjust using X12, before differencing to get real money growth.

Japan

Real output: Post 1980, GDP in constant 2000 Yen billions is used (Thomson Reuters). Prior to 1980, we splice the series using GDP data from the Economic and Social Research Institute, Cabinet Office, Government of Japan.

Price level: Seasonally adjusted CPI excluding fresh food (Thomson Reuters), adjusted for the effects of the value added tax increase in 1997.

Real interest rate: Calculated according to Equation (A1), where i_t is the average of the overnight call rate (Thomson Reuters).

Money: The average of the reserve requirement rate change adjusted and seasonally adjusted money base series (CEIC).

United Kingdom

Real output: Chain volume GDP (Office for National Statistics).

Price level: Retail price index excluding mortgage interest payments (Thomson Reuters).

Real interest rate: Calculated according to Equation (A1), with i_t being the 3-month rate on Treasury bills at the end of the period (Thomson Reuters).

Money: From May 2006, we use the sum of reserve balances and notes and coins. To get a value for April 2006, we splice the data using the growth rate for notes and coins. We then use the growth rate of M0 to splice the series back to the beginning of the sample (all series are from the Bank of England).

As with the Australian data, we subtract the log of prices from the log of money, and then seasonally adjust using X12, before differencing to get real money growth.

United States

Real output: We subtract potential from actual GDP, and divide by potential GDP (both from the Congressional Budget Office).

Price level: Seasonally adjusted CPI less food and energy (Thomson Reuters).

Real interest rate: Calculated according to Equation (A1), where i_t is the effective federal funds rate (Board of Governors of the Federal Reserve System).

Money: The St. Louis adjusted monetary base series (Federal Reserve Bank of St. Louis).