RBA Annual Conference – 2003 The Australian Business Cycle: A Coincident Indicator Approach

Appendix A: Composition of Data Panels
Code(b) Sample Alternative indices
Q: BP1960 M: BP1980 Q: NBP1960 Q: BP1980 Q: NBP1980 M: NBP1980 MF: BP1980 MF: NBP1980
Notes: o indicates series included in index. The following abbreviations apply: c (calculation); d (deflated with interpolated quarterly deflator); a (seasonally adjusted by authors with X12); f (monthly series converted to quarterly frequency); m (level observed in mid-month of quarter); mqa (level observed in mid-month of quarter before June 1978, quarterly averages thereafter); s (series is spliced).
Q: BP1960 quarterly, balanced panel, 1960–2004
M: BP1980 monthly, balanced panel, 1980–2004
Q: NBP1960 quarterly, non-balanced panel, 1960–2004
Q: BP1980 quarterly, balanced panel, 1980–2004
Q: NBP1980 quarterly, non-balanced panel, 1980–2004
M: NBP1980 monthly, non-balanced panel, 1980–2004
MF: BP1980 mixed frequency, balanced panel, 1980–2004
MF: NBP1980 mixed frequency, non-balanced panel, 1980–2004
(b) Transformation codes (as in Stock and Watson 2002):
1: no transformation
2: first differenced
5: log first differenced
Total number of series in each panel     25 29 68 76 111 45 48 64
National accounts     6 0 22 13 23 0 7 7
Employment     2 8 8 13 20 13 8 13
Industrial production     4 0 24 12 24 0 4 4
Building and CAPEX     2 3 2 13 13 4 10 11
Internal trade     1 2 1 2 5 4 2 4
Overseas transactions     4 5 4 6 6 9 5 9
Prices     4 2 4 6 6 2 3 3
Private finance     2 7 3 9 12 11 7 11
Government finance     0 2 0 2 2 2 2 2
Quarterly
National accounts
Final consumption expenditure: households, sa 5 1959:Q3–2004:Q4 o   o o o      
GDP, sa 5 1959:Q3–2004:Q4 o   o o o   o o
GDP non-farm, sa 5 1959:Q3–2004:Q4     o o o   o o
GFCF total, sa 5 1959:Q3–2004:Q4     o   o      
GNE, sa 5 1959:Q3–2004:Q4 o   o o o   o o
GOS: total non-financial corporations, sa 5 1959:Q3–2004:Q4 o   o o o   o o
GOS: financial corporations, sa 5 1959:Q3–2004:Q4     o   o      
GOS: private non-financial corporations, sa 5 1959:Q3–2004:Q4     o   o      
GOS: public non-financial corporations, sa 5 1959:Q3–2004:Q4     o   o      
GOS: total corporations, sa 5 1959:Q3–2004:Q4     o   o      
Household disposable income, sa 5 1959:Q3–2004:Q4     o   o      
Household final consumption expenditure:                    
Cigarettes and tobacco, sa 5 1959:Q3–2004:Q4     o   o      
Clothing and footware, sa 5 1959:Q3–2004:Q4     o o o      
Food, sa 5 1959:Q3–2004:Q4     o o o      
Furnishing and HH equipment, sa 5 1959:Q3–2004:Q4     o o o      
Purchase of vehicles, sa 5 1959:Q3–2004:Q4     o   o      
Rent and other dwelling services, sa 5 1959:Q3–2004:Q4     o o o      
Industrial production, sa (c) 5 1974:Q3–2004:Q4       o o   o o
Private GFCF: dwellings: alterations and additions, sa 5 1959:Q3–2004:Q4     o   o      
Private GFCF: dwellings: new and used, sa 5 1959:Q3–2004:Q4     o   o      
Private GFCF: dwellings: total, sa 5 1959:Q3–2004:Q4 o   o o o   o o
Private GFCF: total, sa 5 1959:Q3–2004:Q4 o   o o o   o o
Private non-farm inventories to sales ratio, sa 2 1959:Q3–2004:Q4     o o o      
Employment
Civilian labour force participation rates: females, sa (c, mqa) 2 1966:Q3–2004:Q4     o o o      
Civilian labour force participation rates: males, sa (c, mqa) 2 1966:Q3–2004:Q4     o o o      
Employment: females, sa (s, a, mqa) 5 1949:Q3–2004:Q4 o   o          
Employment: males, sa (s, a, mqa) 5 1949:Q3–2004:Q4 o   o          
Employment: total, sa (s, a, mqa) 5 1949:Q3–2004:Q4     o o o      
Employment: full-time, sa 5 1978:Q2–2004:Q4       o o      
Employment: part-time, sa 5 1978:Q2–2004:Q4       o o      
Industrial disputes: working days lost, sa (a) 5 1976:Q3–2004:Q3         o      
Overtime in the manufacturing industry, sa (a, m) 5 1979:Q3–1999:Q2         o      
Total job vacancies: private sector, sa (m) 5 1979:Q2–2002:Q4       o o      
Total job vacancies: public sector, sa (m) 5 1979:Q2–2004:Q4       o o      
Total job vacancies, sa (s, a, m) 5 1966:Q1–2004Q4       o        
Unemployment rate: females, sa (c, mqa) 1 1966:Q3–2004:Q4     o o o      
Unemployment rate: males, sa (c, mqa) 1 1966:Q3–2004:Q4     o o o      
Wage and salary earners in civilian employment:                    
Building & construction: private, sa (a, m) 5 1983:Q3–2001:Q4         o      
Building & construction: public, sa (a, m) 5 1983:Q3–2004:Q4         o      
Government: persons, sa (a, m) 5 1983:Q3–2004:Q4         o      
Manufacturing: private, sa (a, m) 5 1983:Q3–2001:Q4         o      
Manufacturing: public, sa (a, m) 5 1983:Q3–2004:Q4         o      
Persons, sa (a, m) 5 1983:03–2001 :Q4         o      
Number receiving unemployment benefits: persons, sa (s, f) 5 1963:Q1–2004:Q4     o o o      
Industrial production
ACCI/Westpac Survey:                    
Actual level of capacity utilisation at which firms are working: net balance, nsa 1 1960:Q3–2004:Q4 o   o o o   o o
Capital expenditure on buildings: during next 12 mths net balance, nsa 1 1961:Q1–2004:Q4     o   o      
Capital expenditure on plant and machinery: during next 12 mths net balance, nsa 1 1961:Q1–2004:Q4     o   o      
Employment actual: change in past 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o   o      
Employment expected: change in next 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o   o      
Export deliveries actual: change in past 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
Export deliveries expected: change in next 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
General business situation expected: during next 6 mths net balance, nsa 1 1960:Q3–2004:Q4 o   o o o   o o
New orders actual: change in past 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
New orders expected: change in next 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
Output actual: change in past 3 mths net balance, nsa 1 1960:Q3–2004:Q4 o   o o o   o o
Output expected: change in next 3 mths net balance, nsa 1 1960:Q3–2004:Q4 o   o o o   o o
Overtime actual: change in past 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
Overtime expected: change in next 3 mths net balance, nsa 1 1960:Q3–2004:Q4     o o o      
Stocks, nsa (finished goods) actual: change in past 3 mths net balance 1 1960:Q3–2004:Q4     o o o      
Stocks, nsa (finished goods) expected: change in next 3 mths net balance 1 1960:Q3–2004:Q4     o o o      
Stocks, nsa (raw materials) actual: change in past 3 mths net balance 1 1960:Q3–2004:Q4     o   o      
Stocks, nsa (raw materials) expected: change in next 3 mths net balance 1 1960:Q3–2004:Q4     o   o      
Basic iron production, sa (a) 5 1956:Q1–2000:Q3     o   o      
Beer production, sa (a) 5 1956:Q1–2004:Q3     o   o      
Clay bricks production, sa (a) 5 1956:Q1–2004:Q3     o   o      
Electricity production, sa (a) 5 1956:Q1–2004:Q3     o   o      
Portland cement production, sa (a) 5 1956:Q1–2004:Q3     o   o      
Tobacco and cigarettes production, sa (a) 5 1956:Q1–2004:Q2     o   o      
Building and CAPEX
Capital: expenditure private new buildings & structures, sa 5 1969:Q3–2004:Q4       o o   o o
Capital: expenditure private new capital equipment, sa 5 1969:Q3–2004:Q4       o o   o o
Capital: expenditure private total, sa 5 1969:Q3–2004:Q4       o o      
Commencements: private new houses excluding conversions, sa 5 1969:Q3–2004:Q4       o o      
Commencements: total new houses and flats excluding conversions, number, sa (s, a) 5 1959:Q1–2004:Q4 o   o o     o o
Commencements: total new houses and flats including conversions, number, sa 5 1980:Q3–2004:Q4         o      
Completed: private new houses excluding conversions, sa 5 1969:Q3–2004:Q4       o o      
Completed: total new houses and flats excluding conversions, number, sa (s, a) 5 1959:Q1–2004:Q4 o   o o     o o
Completed: total new houses and flats including conversions, number, sa 5 1980:Q3–2004:Q4         o      
Work done: private engineering construction, sa 5 1976:Q3–2004:Q4       o o   o o
Work done: private new houses and flats, sa 5 1974:Q3–2004:Q4       o o   o o
Work done: private non-residential buildings, sa 5 1974:Q3–2004:Q4       o o   o o
Work done: total buildings, sa 5 1974:Q3–2004:Q4       o o      
Work done: total new houses and flats, sa 5 1974:Q3–2004:Q4       o o      
Work done: total non-residential buildings, sa 5 1974:Q3–2004:Q4       o o      
Internal trade
Retail sales, all items excluding parts, petrol etc, sa (s) 5 1968:Q3–2004:Q4       o o      
Retail sales, all other goods excluding petrol, parts etc , sa (c) 5 1983:Q3–2004:Q4         o      
Retail sales, clothing and soft goods, household goods, sa 5 1983:Q3–2004:Q4         o      
Motor vehicle registrations: total, sa (f) 5 1980:Q1–2001:Q4         o      
Motor vehicle registrations: cars & station wagons, sa (s, a, f) 5 1959:Q3–2004:Q4 o   o o o      
Overseas transactions
Exports of wool and sheepskins, sa 5 1974:Q3–2004:Q4       o o      
Services imports, sa 5 1959:Q3–2004:Q4 o   o o o      
Total imports: goods, sa 5 1959:Q3–2004:Q4 o   o o o      
Total exports: goods, sa 5 1959:Q3–2004:Q4 o   o          
Rural exports, sa (a) 5 1974:Q3–2004:Q4       o o      
Non-rural exports, sa (a) 5 1974:Q3–2004:Q4       o o      
Services exports, sa 5 1959:Q3–2004:Q4 o   o o o      
Total arrivals, sa (a, f) 5 1977:Q1–2004:Q4       o o      
Total departures, sa (a, f) 5 1977:Q1–2004:Q4       o o      
Prices
CPI: all goods, nsa (s) 5 1959:Q3–2004:Q4 o   o o o   o o
CPI: food, nsa (c) 5 1969:Q3–2004:Q4       o o      
Export price index: goods & services credits IPD, sa (c) 5 1959:Q3–2004:Q4 o   o o o      
Import price index: goods and services debits IPD, sa (c) 5 1959:Q3–2004:Q4 o   o o o      
JP Morgan RER, nsa (f) 5 1970:Q1–2004:Q4       o o      
RBA commodity price index, nsa (f) 5 1959:Q3–2004:Q4 o   o o o      
Private finance
Official reserve assets, sa (a, f) 5 1969:Q3–2004:Q4       o o      
Credit: total (including securitisations), sa (f) 5 1976:Q3–2004:Q4       o o      
Government securities: 10-year Treasury bond yield, nsa (f) 2 1969:Q1–2004:Q4       o o      
Government securities: 5-year Treasury bond yield, nsa (f) 2 1972:Q3–2004:Q4         o      
90-day bank bill, nsa (f) 2 1969:Q3–2004:Q4       o o      
10-year–90-day spread, nsa (c, f) 1 1969:Q3–2004:Q4       o o      
Housing loans approved: total, number, sa (s, a, f) 5 1970:Q3–2004:Q4       o o      
Housing loans approved: new dwellings, number, sa (s, a, f) 5 1960:Q1–2004:Q4 o   o   o      
Bank assets: resident assets – residential loans and advances, sa (a, f) 5 1976:Q3–2004:Q4       o o      
Bank assets: resident assets – personal loans and advances, sa (a, f) 5 1976:Q3–2004:Q4         o      
Share prices, nsa (f) 5 1959:Q3–2004:Q4 o   o o o      
Volume of money – total: M3, sa (f) 5 1965:Q1–2004:Q4     o o o      
Government finance
Australian Government revenues, sa (m, a, f) 5 1973:Q4–2004:Q4       o o      
Australian Government expenses, sa (m, a, f) 5 1973:Q4–2004:Q4       o o      
Monthly
Employment
Employment, sa 5 1978:M2–2004:M12   o       o o o
Employment: full-time, sa 5 1978:M2–2004:M12   o       o o o
Employment: part-time, sa 5 1978:M2–2004:M12   o       o o o
Industrial disputes: working days lost, sa (a) 5 1976:M6–2003:M12           o   o
Number receiving unemployment benefits: persons, sa 5 1976:M7–2004:M12   o       o o o
Participation rate, sa 2 1978:M2–2004:M12   o       o o o
Total arrivals, sa (a) 5 1977:M1–2004:M12   o       o o o
Total departures, sa (a) 5 1977:M1–2004:M12   o       o o o
Unemployment rate, sa 2 1978:M2–2004:M12   o       o o o
Wage and salary earners in civilian employment:                    
Government: persons, sa 5 1983:M1–2001:M12           o   o
Private: persons, sa 5 1983:M1–2001:M12           o   o
Building & construction: total, sa 5 1983:M1–2001:M12           o   o
Manufacturing: total, sa 5 1983:M1–2001:M12           o   o
Building and CAPEX
Approvals: private new houses and flats, number, sa 5 1965:M1–2004:M12           o   o
Approvals: total residential buildings, value, sa (d) 5 1978:M1–2004:M12   o       o o o
Approvals: total new houses and flats, number, sa (s, a) 5 1959:M9–2004:M12   o       o o o
Approvals: total non-residential buildings, value, sa (s, a, d) 5 1978:M3–2004:M12   o       o o o
Internal trade
Motor vehicle registrations: total, spliced to sales at 2002:M1, sa (s) 5 1980:M1–2004:M12           o   o
Motor vehicle registrations: cars & station wagons, sa (s, a) 5 1959:M1–2004:M12   o       o o o
Retail sales excluding petrol, parts etc, sa (s, a, d) 5 1968:M9–2004:M12   o       o o o
WMI consumer sentiment index, sa (m) 1 1974:M9–2004:M12           o   o
Overseas transactions
Capital goods imports, sa (d) 5 1985:M9–2004:M12           o   o
Consumption goods imports, sa (d) 5 1985:M9–2004:M12           o   o
Exports of wool and sheepskins, sa (a, d) 5 1977:M7–2004:M12           o   o
Intermediate goods imports excluding RBA gold, sa (d) 5 1985:M9–2004:M12           o   o
Non-industrial transport equipment imports, sa (a, d) 5 1985:M9–2004:M12           o   o
Services imports, sa (d) 5 1971:M7–2004:M12   o       o o o
Rural goods exports, sa (d) 5 1977:M7–2004:M12   o       o o o
Non-rural goods exports, sa (d) 5 1974:M9–2004:M12   o       o o o
Services exports, sa (d) 5 1971:M7–2004:M12   o       o o o
Prices
JP Morgan RER, nsa 5 1970:M1–2004:M12   o       o o o
RBA commodity price index, nsa (s) 5 1959:M9–2004:M12   o       o o o
Private finance
Official reserve assets, nsa 5 1969:M7–2004:M12           o   o
Credit: total (incl securitisations), sa 5 1976:M9–2004:M12   o       o o o
Government securities: 10-year Treasury bond yield, nsa 2 1969:M7–2004:M12   o       o o o
90-day bank bill, nsa 2 1969:M6–2004:M12   o       o o o
10-year–90-day spread, nsa (c) 1 1969:M7–2004:M12   o       o o o
Housing loans approved: total, number, sa 5 1975:M1–2004:M12   o       o o o
Housing loans approved: new dwellings, number, sa (s, a) 5 1960:M1–2004:M12           o   o
Bank assets: resident assets – residential loans and advances, sa (a) 5 1976:M8–2004:M12           o   o
Bank assets: resident assets – personal loans and advances, sa (a) 5 1976:M8–2004:M12           o   o
Share prices, nsa 5 1947:M7–2004:M12   o       o o o
Volume of money – total: M3, sa 5 1965:M3–2004:M12   o       o o o
Government finance
Australian Government revenues, sa (m, a) 5 1973:M8–2004:M12   o       o o o
Australian Government expenses, sa (m, a) 5 1973:M8–2004:M12   o       o o o