RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies Appendix A: Data Sources, Definitions and Transformations

Terms of trade data

All terms of trade data were sourced from national statistical agencies, except for Canada, for which data were from the OECD. For Australia, Brazil, New Zealand and South Africa, published terms of trade indices were used. For Canada, we constructed a terms of trade index by dividing the exports of goods and services deflator by the imports of goods and services deflator. For Mexico, we constructed a terms of trade index by dividing the exports price index by the imports price index. The raw data for Australia, Canada, New Zealand and South Africa were quarterly. For Brazil and Mexico, we constructed a quarterly series using quarterly averages of monthly data. Samples and sources for the individual countries are:

Australia: sample – 1959:Q3–2011:Q2; source – ‘Australian National Accounts: National Income, Expenditure and Product’, Australian Bureau of Statistics Cat No 5206.0 (<www.abs.gov.au>)

Brazil: sample – 1978:Q1–2011:Q2; source – Institute for Applied Economic Research (<www.ipeadata.gov.br>)

Canada: sample – 1961:Q1–2011:Q2; source – OECD (<www.oecd.org>)

Mexico: sample – 1970:Q1–2011:Q2; source – Instituto Nacional de Estadística y Geografia (<www.inegi.org.mx>)

New Zealand: sample – 1957:Q1–2011:Q2; source – Statistics New Zealand (<www.stats.govt.nz>)

South Africa: sample – 1960:Q1–2011:Q2; source – South African Reserve Bank (<www.resbank.co.za>)

National accounts data

For all countries, data for gross domestic product and its components were sourced from the OECD ‘Economic Outlook Database’ (<www.oecd.org>). All national accounts data are HP-filtered using a smoothing parameter of 1,600.

Figure A1: Terms of Trade
(2000:Q1 = 100)
Figure A1: Terms of Trade
Figure A2: Terms of Trade
Band-pass filter
Figure A2: Terms of Trade