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data sources
Discounts and advances: from National Bureau of Economic Research (NBER) Macro History Online Database. Series is “Bills Discounted, Federal Reserve Banks” and is not seasonally adjusted; units are million of dollars. NBER documentation states that the data came from the following sources:
1914–28: Federal Reserve Board, Annual Report, 1928
1929–33: Federal Reserve Board, Annual Report, 1933
1934–41: Federal Reserve Board, Banking and Monetary Statistics, 1943
1942–69: Federal Reserve Bulletin
Quoting documentation: “Data are monthly averages of daily figures. Data represent discounts and advances mainly to member banks; at times some rediscounts for non-member banks are also included. Small amounts of loans on foreign gold which have been included with bills discounted in the 1934 Annual Report and in Banking and Monetary Statistics are excluded here, except in 1934.”
Gold stock: Data are from NBER Macro History Online Database. Series is “Monetary Gold Stock” and is not seasonally adjusted; units are billions of dollars. NBER documentation states that the data come from the Federal Reserve Bulletin and from Banking and Monetary Statistics. Figures for 1914 to July 1917 are end-of-month data; data for August 1917–70 are monthly averages of daily figures. Quoting documentation: “Between January 31, 1934 and February 1, 1934, the gold stock was increased 2.98 billion dollars, of which 2.81 billion was the increment resulting from reduction in the weight of the gold dollar and the remainder was gold which had been purchased by the Treasury previously but not added to the gold stock.”
Monetary base: Units are billions of dollars; data are seasonally adjusted. Data come from the following sources:
January 1914 to October 1914: Data are from Friedman and Schwartz, A Monetary History of the United States, 1867–1960, and are “High Powered Money.” Friedman and Schwartz document their definition as currency held by the public plus vault cash. Seasonal adjustment by Friedman and Schwartz.
November 1914 to December 1918: Data are from Friedman and Schwartz, A Monetary History of the United States, 1867–1960 and are “High Powered Money.” Friedman and Schwartz document their definition as currency held by the public plus vault cash plus bank deposits at Federal Reserve banks. Seasonal adjustment by Friedman and Schwartz.
January 1919 to March 1951: Data are from Anderson and Rasche 1999; Federal Reserve Bank of St. Louis. Series is adjusted by adding the dollar amount of reserves liberated or impounded by changes in reserve requirement ratios. The data are seasonally adjusted using the multiplicative procedure in Micro-TSP.
1959 to present: Data are from St. Louis Federal reserve bank’s Adjusted Monetary Base, seasonally adjusted by the St. Louis Federal Reserve bank.
M1: Units are billions of dollars; data are seasonally adjusted. Data come from the following sources:
1914–45: Data are from NBER Macro History Online Database. Series is “Adjusted Demand Deposits, All Commercial Banks, plus Currency Held by Public, Seasonally Adjusted.” Documentation states that the series was calculated by NBER as sum of “Adjusted Demand Deposits, All Banks” and “Currency Held by the Public.” Seasonal adjustment was performed by NBER. Quoting documentation: “Data for 1914–1917 and May 1921–1945 refer to figures for the Wednesday nearest the end of the month. Data for January 1918–April 1921 refer to the Friday nearest the end of the month.”
1946–47: Data are from NBER Macro History Online Database. Series is “Adjusted Demand Deposits, All Commercial Banks, plus Currency Held by Public, Seasonally Adjusted.” Documentation states that the series was calculated by NBER as sum of “Adjusted Demand Deposits, All Banks” and “Currency Held by the Public.” Documentation states that the data come from an unpublished Federal Reserve Board table; seasonal adjustment was performed by NBER. Quoting documentation: “Data represent middle of the month, being averages of two half-monthly figures that are based on daily figures.”
1948–58: Data are from NBER Macro History Online Database. Series is “Adjusted Demand Deposits, All Commercial Banks, plus Currency Held by Public, Seasonally Adjusted.” Documentation states that the data come from an unpublished Federal Reserve Board table; seasonal adjustment was performed by NBER. Quoting documentation: “Data represent middle of the month, being averages of two half-monthly figures that are based on daily figures.”
1959 to present: Data are from the St. Louis Federal Reserve bank’s FRED online database and are M1, seasonally adjusted. Seasonal adjustment by the Board of Governors.
Long-term interest rate: Data are from the St. Louis Federal Reserve
bank’s FRED online database and are “Long-Term U.S. Government Bond Yield (10 Years or More) Including Flower Bonds; Averages of Daily Figures.”
Commercial paper rate, 1914 to January 1937: Data are from the NBER Macro History Online Database. Series is “Commercial Paper Rates, New York City.” NBER documentation states that the data come from F. R. MacAulay, The Movement of Interest Rates, Bond Yields, and Stock Prices in the U.S. since 1856, NBER no. 33 (New York: National Bureau of Economic Research 1938).
February 1937–42: Data are from the NBER Macro History Online Database. Series is “Commercial Paper Rates, New York City.” NBER documentation states that the data were computed by the NBER using weekly data from Bank and Quotation Record, Commercial and Financial Chronicle.
1943 to March 1971: Data are from Board of Governors.
The documentation states that the data represent prime sixty- to ninety-day double-name commercial paper rates for 1914 to 1934 and prime four- to six-month double and single names 1924 to March 1971.
April 1971 to present: Data are from the St. Louis Federal Reserve bank’s FRED online database and are defined as the thirty-day prime commercial rate, average of daily figures.
Term spread: Calculated as the difference between the Treasury bond rate and the commercial paper rate.
Discount rate: Discount rate. Series represents the following:
November 1914–21: Data are from NBER Macro History Online Database and are “Discount Rates, Federal Reserve Bank of New York”; documentation states that the data come from Discount Rates of Federal Reserve Banks, 1914–1921, Federal Reserve Board.
1922–41: Data are from NBER Macro History Online Database and are “Discount Rates, Federal Reserve Bank of New York; documentation states that the data come from Federal Reserve Board annual reports.
1942 to July 1969: Data are from NBER Macro History Online Database and are “Discount Rates, Federal Reserve Bank of New York; documentation states that the data come from the Federal Reserve Bulletin. Quoting documentation: “Data are computed by NBER by taking simple averages of rates for commercial, agricultural, and livestock paper, and weighting them by the number of days each rate was in force. Data are for all classes and maturities of discount bills.”
August 1969 to present: Transformed data from the St. Louis Federal Reserve bank’s FRED online database. Original data are “Discount Rate Changes (Date and Rate).” Data are transformed by weighting the rates by the number of days each rate was in force.
Aaa rate: Data are from the St. Louis Federal Reserve bank’s FRED online database and are “Corporate Aaa Bond Rate, Average of Daily Figures.”
Acceptances: Banker’s acceptance rates. From the following sources:
1917–40: Data are from the NBER Macro History Online Database and are “Banker’s Acceptance Rates, New York City.” Quoting documentation: “Data represent prime bankers’ acceptances, ninety days. Data for 1917–1950 are averages of weekly prevailing rates calculated on the basis of frequency of a single rate or a range of rates occurring during the month.”
1941 to present: Data are from the St. Louis Federal Reserve bank’s FRED online data base and are “Bankers Acceptance Rates, Ninety Days.”
Time spread: Calculated as the difference between the Aaa rate and the banker’s acceptance rate.
Baa rate: Data are from the St. Louis Federal Reserve bank’s FRED online database and are “Corporate Baa Bond Rate, Average of Daily Figures.”
Risk spread: Calculated as the difference between the Baa rate and the Aaa rate.
Real GNP: data are from the following sources:
1914–46: Data are from Balke and Gordon (1986). Since Balke and Gordon’s data do not correspond to official data that were revised subsequent to their publication, real GNP was calculated as Balke and Gordon’s nominal GNP deflated by a revision of their deflator as described below.
1947 to present: Data are from the St. Louis Federal Reserve bank’s FRED online database. Nominal GNP was deflated by the GNP deflator as described below.
Deflator: Data from the following sources.
1914–46: Data are a revision of data from Balke and Gordon (1986). Since Balke and Gordon’s data do not correspond to official data that were revised subsequent to their publication, inflation rates were calculated (as log ratios) using the data. Using 1946.4 to 1947.1 as a splicing point, a new series was then calculated from official data by iterating backward using Balke and Gordon’s inflation rates.
1947 to present: Data are from the St. Louis Federal Reserve bank’s FRED online database and are the GNP deflator.
Index of industrial production, monthly January 1919 to March 1951, seasonally adjusted. From Board of Governors Web site.
Consumer price index, monthly, January 1914 to March 1951, not seasonally adjusted. From Bureau of Labor Statistics Web site.
index
A History of the Federal Reserve, Volume 1 Page 111