*---------------------------------------------------------------- * HistoricalAggregates_Oct2005.prg * * This program constructs consistent series for currency and M1 * from January, 1929 and for M2 and M3 from January, 1948 using * the techniques described in Rasche [1987] (Currency and M1), * and Rasche [1990] (M2 and M3). Data for January 1959 through * January 1961 are the Board of Governors revised data as of * October 2005. The historical series can be updated by replacing * these observations with the latest published revisions. No changes * should be made to the observations prior to January 1959. * * The Rasche (1987) paper is * "M1-Velocity and Money Demand Functions: Do Stable Relationships * Exist?" in K.Brunner and A.Meltzer, eds. Empirical Studies of * Velocity... [Carnegie-Rochester conference volume 27] * * The Rasche (1990) paper is * "Demand Functions for Measures of U.S. Money and Debt," in Financial * Sectors in Open Economies (Board of Governors conference volume, * 1990), Peter Hooper and others, eds. * * Robert H. Rasche * Director of Research * Federal Reserve Bank of St. Louis * September 2000 * ************************************************************************** * This program was revised for Rats 6 by Richard Anderson, October 2005. * In addition, an erroneous observation for "nbfisa" at July 1955 was * corrected. Correct value = 59.3, erroneous value = 69.3. * *----------------------------------------------------------------- cal 1929 1 12 all 0 1961:1 * Source: Friedman and Schwartz, Monetary Statistics of the United States (1970) * Series: M1 and Currency Data Monthly SA 1929:1-1947:1, Table 1 data(unit=input,org=obs) 1929:1 1947:1 fsm1 fscur 26.33000 3.860000 26.48000 3.880000 26.50000 3.930000 26.57000 3.900000 26.28000 3.910000 26.41000 3.940000 26.91000 3.920000 26.70000 3.950000 26.64000 3.850000 28.50000 3.860000 25.74000 3.880000 26.68000 3.830000 25.93000 3.780000 26.20000 3.780000 26.61000 3.750000 26.20000 3.700000 25.61000 3.730000 25.58000 3.710000 25.69000 3.700000 25.37000 3.740000 25.36000 3.670000 25.31000 3.630000 25.35000 3.710000 25.25000 3.840000 24.90000 3.850000 25.07000 3.860000 25.12000 3.900000 24.61000 3.930000 24.26000 3.930000 24.27000 4.030000 24.19000 4.100000 23.82000 4.220000 23.77000 4.330000 23.11000 4.580000 22.76000 4.550000 22.30000 4.650000 21.92000 4.940000 21.73000 4.870000 21.53000 4.790000 21.31000 4.800000 20.96000 4.800000 20.88000 5.010000 20.58000 5.100000 20.62000 5.040000 20.65000 5.000000 20.68000 4.920000 20.98000 4.900000 20.77000 4.890000 21.06000 5.040000 20.41000 5.650000 19.48000 5.570000 19.46000 5.260000 19.87000 5.080000 19.65000 5.010000 19.52000 4.950000 19.55000 4.910000 19.61000 4.890000 19.76000 4.860000 20.01000 4.900000 20.23000 4.900000 20.20000 4.550000 20.78000 4.570000 21.24000 4.610000 21.37000 4.610000 21.50000 4.620000 21.58000 4.640000 22.05000 4.660000 22.64000 4.680000 22.54000 4.680000 23.07000 4.640000 23.56000 4.720000 23.28000 4.610000 24.17000 4.670000 24.87000 4.750000 24.77000 4.760000 25.11000 4.760000 25.29000 4.760000 25.72000 4.760000 25.96000 4.740000 27.33000 4.800000 26.91000 4.850000 27.25000 4.890000 27.80000 4.930000 27.56000 4.930000 27.59000 4.980000 28.08000 5.040000 28.11000 5.070000 28.68000 5.060000 29.50000 5.090000 30.18000 5.310000 30.34000 5.280000 30.24000 5.280000 30.73000 5.330000 30.69000 5.370000 30.95000 5.430000 31.38000 5.520000 31.13000 5.520000 31.41000 5.540000 31.60000 5.530000 31.51000 5.570000 31.12000 5.550000 31.11000 5.560000 31.05000 5.600000 30.85000 5.670000 30.68000 5.660000 30.10000 5.640000 29.89000 5.630000 29.63000 5.580000 29.86000 5.540000 30.08000 5.510000 30.16000 5.520000 29.99000 5.490000 29.63000 5.510000 29.73000 5.480000 30.06000 5.510000 30.81000 5.510000 31.17000 5.590000 31.55000 5.610000 32.16000 5.640000 32.36000 5.660000 32.31000 5.740000 32.20000 5.810000 32.68000 5.870000 32.97000 5.960000 33.17000 5.970000 33.28000 6.010000 34.18000 6.050000 35.08000 6.140000 35.84000 6.200000 36.26000 6.240000 37.20000 6.270000 36.84000 6.280000 37.39000 6.360000 37.92000 6.430000 38.47000 6.490000 38.32000 6.520000 39.11000 6.580000 39.72000 6.680000 40.19000 6.740000 40.34000 6.820000 40.85000 6.920000 41.53000 7.040000 42.13000 7.150000 42.87000 7.350000 43.58000 7.480000 44.76000 7.640000 45.42000 7.780000 45.63000 7.910000 46.53000 8.050000 46.31000 8.250000 47.54000 8.470000 47.63000 8.670000 48.16000 8.810000 48.01000 8.950000 48.75000 9.180000 49.00000 9.620000 50.24000 9.870000 50.97000 10.11000 51.56000 10.31000 52.73000 10.53000 53.76000 10.82000 54.13000 11.15000 56.06000 11.58000 57.37000 11.94000 58.73000 12.37000 60.76000 12.73000 61.90000 13.26000 63.34000 13.83000 65.11000 14.18000 67.86000 14.68000 69.86000 14.98000 68.99000 15.28000 69.79000 15.78000 73.54000 15.98000 76.32000 16.58000 79.96000 16.98000 72.61000 17.28000 73.75000 17.58000 77.15000 18.18000 80.47000 18.68000 78.96000 18.98000 79.95000 19.28000 81.29000 19.68000 82.98000 20.18000 85.04000 20.68000 83.86000 21.08000 84.62000 21.38000 87.18000 21.78000 88.95000 22.28000 91.51000 22.78000 93.83000 23.18000 91.28000 23.38000 94.33000 23.78000 95.88000 24.18000 97.77000 24.48000 98.58000 24.78000 99.21000 24.98000 98.06000 25.38000 99.67000 25.68000 100.9100 25.88000 102.3700 26.18000 103.1400 26.28000 103.7300 26.08000 103.0400 26.28000 102.5600 26.28000 103.7900 26.29000 103.5000 26.39000 105.7100 26.49000 106.8200 26.49000 107.5400 26.79000 108.0400 26.59000 108.0500 26.59000 108.4600 26.49000 108.6700 26.49000 108.6700 26.49000 108.3800 26.39000 109.5000 26.70000 * Board of Governors Old M1 and Currency * Source: Banking and Monetary Statistics 1941-1970, Table 1.1 * Series: Demand Deposits Adjusted and Currency NSA data(unit=input,org=obs) 1947:1 1959:1 obognsdd obognscu 85.2 26.7 83.3 26.5 82.9 26.5 82.7 26.4 83.4 26.4 84.5 26.4 84.9 26.4 85.5 26.4 86.5 26.8 86.9 26.7 87.8 26.7 89.1 26.8 89.5 26.4 87.2 26.2 85.7 26.1 84.5 25.9 84.4 25.8 85.0 25.9 85.3 26.0 85.6 26.0 86.2 26.1 86.6 26.2 86.8 26.2 88.1 26.2 88.0 25.7 85.9 25.5 84.9 25.5 84.0 25.5 84.2 25.5 84.8 25.4 84.7 25.5 84.9 25.4 85.5 25.4 86.0 25.5 86.6 25.4 88.4 25.5 88.9 25.1 87.4 25.0 86.8 25.1 86.4 25.1 86.9 25.0 88.0 24.9 88.5 25.0 89.3 24.9 90.1 25.0 91.2 25.1 91.8 25.2 93.4 25.4 94.5 25.0 92.5 25.0 92.3 25.0 91.0 25.0 91.2 25.1 92.4 25.3 91.9 25.6 92.7 25.7 94.1 25.9 95.2 26.1 97.0 26.3 99.2 26.6 100.0 26.2 98.0 26.1 97.4 26.2 96.1 26.2 96.4 26.3 97.7 26.5 96.9 26.7 97.4 26.8 98.9 26.8 99.7 27.0 100.9 27.5 103.0 27.8 103.1 27.4 100.8 27.3 100.3 27.4 99.3 27.4 99.2 27.5 100.1 27.6 99.2 27.8 99.2 27.8 100.0 27.9 100.9 27.9 101.8 28.0 103.9 28.2 104.6 27.7 102.3 27.5 101.4 27.4 99.8 27.4 100.7 27.4 101.6 27.4 101.3 27.5 101.5 27.4 102.6 27.5 103.9 27.6 105.4 27.7 107.7 27.9 109.0 27.4 107.3 27.2 105.8 27.3 105.5 27.3 105.4 27.4 106.1 27.5 105.7 27.7 105.3 27.7 106.4 27.8 107.2 27.9 107.7 28.1 110.2 28.4 111.2 27.9 108.4 27.6 107.5 27.7 107.5 27.7 106.3 27.7 107.3 27.8 106.5 28.1 106.0 28.0 107.3 28.1 108.0 28.2 109.1 28.4 111.5 28.8 112.1 28.2 109.3 27.9 108.2 27.9 108.1 28.0 107.2 28.0 107.7 28.2 107.2 28.4 107.2 28.3 107.7 28.4 107.9 28.4 108.6 28.6 110.4 28.9 110.6 28.2 108.5 27.9 107.4 27.9 108.4 28.0 107.6 28.1 109.1 28.3 108.5 28.5 109.2 28.5 110.4 28.5 111.5 28.6 113.2 28.8 115.5 29.2 116.9 28.6 * Board of Governors Old M1 and Currency * Source: Banking and Monetary Statistics 1941-1970, Table 1.1 * Series: Demand Deposits Adjusted and Currency SA data(unit=input,org=obs) 1947:1 1959:1 obogsadd obogsacu 82.8 26.7 83.0 26.7 83.7 26.7 84.5 26.6 85.1 26.6 85.5 26.6 85.7 26.5 86.1 26.5 86.3 26.7 86.4 26.5 86.8 26.5 86.7 26.4 87.0 26.4 86.8 26.3 86.4 26.2 86.3 26.1 86.0 26.0 86.0 26.0 86.2 26.0 86.2 26.0 86.2 26.0 86.1 26.0 85.9 26.0 85.8 25.8 85.5 25.7 85.5 25.7 85.6 25.7 85.6 25.7 85.8 25.7 85.7 25.6 85.7 25.5 85.6 25.5 85.6 25.3 85.6 25.3 85.8 25.2 86.0 25.1 86.4 25.1 86.9 25.1 87.3 25.2 88.0 25.3 88.5 25.2 89.0 25.1 89.6 25.0 90.1 24.9 90.3 24.9 90.8 24.9 90.9 24.9 91.2 25.0 91.7 25.0 92.0 25.1 92.4 25.2 92.6 25.2 92.8 25.3 93.2 25.4 93.4 25.6 93.8 25.7 94.5 25.8 95.1 26.0 96.0 26.0 96.5 26.1 96.9 26.2 97.3 26.3 97.5 26.4 97.6 26.4 98.0 26.5 98.4 26.7 98.6 26.7 98.9 26.8 99.4 26.9 99.7 27.0 99.9 27.2 100.1 27.3 99.9 27.4 99.9 27.5 100.4 27.6 100.7 27.7 100.7 27.7 100.7 27.7 100.8 27.8 100.9 27.8 100.8 27.8 100.9 27.8 100.9 27.8 101.1 27.7 101.3 27.7 101.5 27.7 101.6 27.6 101.0 27.6 102.1 27.6 102.3 27.5 102.8 27.5 103.2 27.5 103.5 27.4 104.1 27.4 104.7 27.4 104.9 27.4 105.6 27.4 106.4 27.5 106.0 27.5 106.3 27.5 107.0 27.6 106.8 27.6 107.2 27.7 107.0 27.7 107.3 27.7 107.4 27.8 107.1 27.8 107.4 27.8 107.7 27.9 107.7 27.9 107.8 27.9 108.1 27.9 107.9 27.9 108.1 27.9 108.0 28.0 107.8 28.0 108.2 28.0 108.2 28.0 108.4 28.1 108.7 28.2 108.6 28.2 108.6 28.2 108.7 28.2 108.7 28.2 108.8 28.2 108.6 28.3 108.7 28.3 108.8 28.3 108.4 28.3 108.2 28.3 108.0 28.3 107.6 28.3 107.2 28.3 107.9 28.2 108.3 28.2 108.7 28.2 109.2 28.3 110.1 28.3 110.0 28.4 110.7 28.4 111.1 28.5 111.6 28.5 112.4 28.5 112.6 28.6 113.5 28.7 * Series: Time Deposits Adjusted at Banks and Total Deposits at Nonbank Financial Institutions, SA * Source: Banking and Monetary Statistics, Tables 1.1 and 1.2 data(unit=input,org=obs,format='(f15.0,f15.0)') 1948:1 1959:1 tdasa nbfisa 35.50000 28.00000 35.70000 28.10000 35.70000 28.30000 35.70000 28.40000 35.70000 28.60000 35.80000 28.70000 35.80000 28.90000 35.90000 29.10000 35.90000 29.30000 35.90000 29.40000 36.00000 29.60000 36.00000 29.70000 36.10000 29.90000 36.10000 30.20000 36.10000 30.40000 36.20000 30.60000 36.30000 30.80000 36.40000 31.00000 36.40000 31.20000 36.40000 31.40000 36.40000 31.60000 36.40000 31.80000 36.40000 31.90000 36.40000 32.10000 36.40000 32.40000 36.60000 32.70000 36.60000 32.90000 36.70000 33.20000 36.90000 33.40000 36.90000 33.60000 36.80000 33.80000 36.70000 33.80000 36.60000 33.90000 36.50000 34.10000 36.60000 34.30000 36.70000 34.50000 36.70000 34.70000 36.60000 34.80000 36.60000 35.00000 36.70000 35.20000 36.80000 35.40000 36.90000 35.70000 37.20000 36.10000 37.40000 36.30000 37.70000 36.60000 37.80000 36.90000 38.00000 37.30000 38.20000 37.60000 38.40000 38.20000 38.70000 38.60000 38.90000 39.00000 39.10000 39.30000 39.30000 39.70000 39.50000 40.10000 39.70000 40.50000 40.00000 41.00000 40.30000 41.50000 40.50000 42.00000 40.90000 42.40000 41.10000 42.80000 41.40000 43.30000 41.60000 43.80000 41.90000 44.20000 42.10000 44.70000 42.40000 45.20000 42.60000 45.70000 42.90000 46.20000 43.20000 46.70000 43.50000 47.20000 43.90000 47.70000 44.20000 48.20000 44.50000 48.60000 44.80000 49.10000 45.20000 49.60000 45.60000 50.20000 46.10000 50.70000 46.50000 51.20000 46.80000 51.80000 47.30000 52.30000 47.80000 52.90000 47.90000 53.50000 48.10000 54.10000 48.20000 54.60000 48.30000 55.20000 48.50000 55.80000 48.70000 56.40000 48.80000 57.00000 49.00000 57.50000 49.00000 58.10000 49.20000 58.70000 49.30000 59.30000 49.30000 59.90000 49.60000 60.50000 49.70000 61.10000 49.90000 61.70000 50.00000 62.30000 49.90000 62.90000 49.90000 63.50000 50.10000 64.10000 50.30000 64.70000 50.40000 65.30000 50.70000 65.90000 50.90000 66.00000 51.20000 67.20000 51.50000 67.70000 51.60000 68.30000 51.80000 68.90000 51.90000 69.50000 52.60000 70.10000 53.10000 70.70000 53.70000 71.20000 54.00000 71.70000 54.50000 72.30000 54.80000 73.00000 55.30000 73.50000 55.70000 74.00000 56.10000 74.60000 56.60000 75.10000 57.00000 75.70000 57.40000 76.40000 57.60000 77.10000 59.20000 77.50000 60.50000 78.20000 61.50000 79.00000 62.30000 79.70000 63.20000 80.40000 64.00000 81.10000 64.60000 81.80000 64.80000 82.60000 64.90000 83.40000 65.20000 84.10000 65.40000 84.80000 66.30000 85.50000 * Compute Seasonal Factors 1947-1958 set sfdd 1947:1 1959:1 = obogsadd/obognsdd set sfcu 1947:1 1959:1 = obogsacu/obognscu * Adjust old BOG currency for Travelers Checks per Rasche[1987] set obogsacu 1947:1 1959:1 = 1.00697*obogsacu set obognscu 1947:1 1959:1 = obogsacu/sfcu * Adjust old BOG demand deposits per Rasche[1987] set obognsdd 1947:1 1959:1 = obognsdd - 3.5 set obogsadd 1947:1 1959:1 = obognsdd*sfdd set obogsam1 1947:1 1959:1 = obogsadd+obogsacu set obognsm1 1947:1 1959:1 = obognscu+obognsdd /* * Sample code to write Output to an external data file open copy a:m1nsa_sa.dat copy(org=obs,dates) 1947:1 1959:1 $ obognscu obognsdd obognsm1 obogsacu obogsadd obogsam1 close copy */ * print 1947:1 1958:12 obognscu obognsdd obognsm1 obogsacu obogsadd obogsam1 compute ratiom1 = obogsam1(1947:1)/fsm1(1947:1) compute ratiocu = obogsacu(1947:1)/fscur(1947:1) set fscur_a 1929:1 1946:12 = fscur*ratiocu set fsm1_a 1929:1 1946:12 = fsm1*ratiom1 * Board of Governors New M1, Currency, M2 and M3,SA Monthly, 1959:1 to 1961:1 * these data are used to splice the series at 1959 * The user can add Board of Governors data for later dates, as desired data(unit=input,org=obs) 1959:1 1961:1 nbogcur nbogm1 nbogm2 nbogm3 28.50 138.90 286.60 288.80 28.60 139.40 287.70 289.90 28.60 139.70 289.20 291.40 28.60 139.70 290.10 292.30 28.70 140.70 292.20 294.40 28.90 141.20 294.10 296.30 28.80 141.70 295.20 297.40 28.90 141.90 296.40 298.50 28.90 141.00 296.70 298.80 28.80 140.50 296.50 298.50 28.80 140.40 297.10 299.10 28.80 140.00 297.80 299.70 28.80 140.00 298.20 300.10 28.80 139.90 298.50 300.40 28.80 139.80 299.40 301.40 28.80 139.60 300.10 302.20 28.80 139.60 300.90 303.00 28.80 139.60 302.30 304.50 28.70 140.20 304.10 306.40 28.70 141.30 306.90 309.30 28.80 141.20 308.40 311.00 28.80 140.90 309.50 312.20 28.80 140.90 310.90 313.60 28.70 140.70 312.40 315.20 28.70 141.10 314.10 317.10 set curmon 1929:1 1946:12 = fscur_a set m1mon 1929:1 1946:12 = fsm1_a set curmon 1947:1 1958:12 = obogsacu set curmon_n 1947:1 1958:12 = obognscu set curmon 1959:1 1961:1 = nbogcur set m1mon 1947:1 1958:12 = obogsam1 set m1mon_n 1947:1 1958:12 = obognsm1 set m1mon 1959:1 1961:1 = nbogm1 set oldm2 1948:1 1959:1 = m1mon+tdasa+nbfisa compute ratiom2 = nbogm2(1959:1)/oldm2(1959:1) compute ratiom3 = nbogm3(1959:1)/oldm2(1959:1) smpl 1948:1 1958:12 set m2mon / = oldm2*ratiom2 set m3mon / = oldm2*ratiom3 smpl 1959:1 1961:1 set m2mon / = nbogm2 set m3mon / = nbogm3 set cursa / = curmon set m1sa / = m1mon set m2sa / = m2mon set m3sa / = m3mon /* * Code to generate ascii files open copy m1sa.txt copy(org=obs,dates) 1929:1 1961:1 cursa m1sa close copy open copy m2sa.txt copy(org=obs,dates) 1948:1 1961:1 m2sa m3sa close copy */ /* * Sample code to generate Excel files open copy m1sa.xls copy(org=obs,format=xls,dates) 1929:1 1961:1 cursa m1sa close copy open copy m2sa.xls copy(org=obs,format=xls,dates) 1948:1 1961:1 m2sa m3sa close copy */ /* * Sample code to store data in Rats datasets DEDIT historical.rat store cursa m1sa m2sa m3sa SAVE QUIT */ display "End of Historical Aggregates Program"