************************************************************************************************************** * Instructions for using the dataset collected and constructed for the NBER Macroeconomics Annual 2015 paper * * ``Trends and Cycles in China's Macroeconomy'' by Chun Chang, Kaiji Chen, Dan Waggoner, and Tao Zha. * * * * All quarterly series, bar interest rates and the reserve requirement ratio, are seasonally adjusted and * * all the series are constructed to cover as long a period as possible. * * * * Using this dataset should reference * * Chang C., K. Chen, D. Waggoner, and T. Zha, 2015, ``Trends and Cycles in China's Macroeconomy'', * * the NBER Macroeconomics Annual 2015, University of Chicago Press. * * * * For the detailed methodology of constructing this dataset, please reference * * Higgins P. and T. Zha, 2015, ``China's Macroeconomic Time Series: Methods and Implications'', * * Unpublished Manuscript, Federal Reserve Bank of Atlanta. * * * * The dataset will be revised, expanded, and updated on a biannual basis, which can be downloaded at * * https://www.frbatlanta.org/cqer.aspx. * * Contact: Tao Zha , Federal Reserve Bank of Atlanta. * * Copyright (c), 2015, Chun Chang, Kaiji Chen, Pat Higgins, Dan Waggoner, and Tao Zha. * ************************************************************************************************************** %--------------------------------------- The Matlab .mat data file ------------------------------------% The dataset ``data201504_ccwz_hz.mat'' contains the annual data ``ccwz_hz_data_a_struct'' and the quarterly data ``ccwz_hz_data_q_struct'' To access the data, type at the Matlab prompt ``load data201504_ccwz_hz'' and then ``ccwz_hz_data_a_struct.V'' or ``ccwz_hz_data_q_struct.V'', where V stands for a particular variable explained below. For example, ccwz_hz_data_a_struct.GDPDeflator gives the annual implicit price deflator for GDP and ccwz_hz_data_q_struct.GDPDeflator gives the quarterly implicit price deflator for GDP. Quarterly dates have the convention of 1998=1998Q1, 1998.25=1998Q2, 1998.50=1998Q3, 1998.75=1998Q4 etc. If you type at the Matlab prompt, for example, q_dates_data = ccwz_hz_data_q_struct.q_dates_data ; logrealHHC = ccwz_hz_data_q_struct.logrealHHC ; logrealBusI = ccwz_hz_data_q_struct.logrealBusI ; logrealLaborIncome = ccwz_hz_data_q_struct.logrealLaborIncome ; ratioNewLoansNFEST2GDP = ccwz_hz_data_q_struct.ratioNewLoansNFEST2GDP ; ratioNewLoansNFESTBF2GDP = ccwz_hz_data_q_struct.ratioNewLoansNFESTBF2GDP; [q_dates_data, logrealHHC, logrealBusI, logrealLaborIncome, ratioNewLoansNFEST2GDP, ratioNewLoansNFESTBF2GDP] you would see NaNs for many dates, meaning that there are no data for those quarters. %--------------------------------------- The .csv files read by Excel ------------------------------------% The annual data are in the .csv file ``data201504_ccwz_hz_annual.csv'', as explained below. The quarterly data are in the .csv file ``data201504_ccwz_hz_quarterly.csv'', as explained below. %==========================================================================================% %===================================== Annual Data ========================================% %==========================================================================================% %Some identities bar numerical rounding errors: % NominalGDP = NominalPrivC + NominalGovtC + NominalGCF+ NominalNetExports % NominalGCF = NominalInvty + NomalGFCF % NomalGFCF = NominalGovtGFCF + NominalPrivGFCF + NominalHHGFCF + NominalSOEexGovtGFCF + NominalNonSOEGFCF % NominalBusGFCF = NominalPrivGFCF + NominalSOEGFCF + NominalNonSOEGFCF ; % NominalNarOutput = NominalBusGFCF + NominalHHC % %yr_dates_data Annual dates (years) %CPI Consumer price index %FAIPriceIndex Fixed asset investmetn price index %GFCFPriceIndex Price index for gross fixed capital formation %GDPDeflator Implicit price deflator for GDP by value added %NominalGDPva GDP by value added (RMB billion) %NominalRetailGoodsC Retail sales of consumer goods (RMB billion) %NominalFAI Fixed asset investment (RMB billion) %NominalGDP GDP by expenditure (RMB billion) %NominalNetExports Net exports by expenditure (RMB billion) %NominalHHC Household consumption by expenditure (RMB billion) %NominalGovtC Government consumption by expenditure (RMB billion) %NominalGCF Nominal gross capital formation (RMB billion) %NominalInvty Changes in inventories (RMB billion) %NominalGFCF Gross fixed capital formation with no inventories (RMB billion) %NominalGovtGFCF Gross fixed capital formation: government (RMB billion) %NominalPrivGFCF Gross fixed capital formation: private sector (RMB billion)---excluding government, households, SOEs, and other non-SOEs (joint ventures for example) %NominalHHGFCF Gross fixed capital formation: households (RMB billion) %NominalSOEGFCF Gross fixed capital formation: SOE (RMB billion) %NominalSOEexGovtGFCF Gross fixed capital formation: SOE excluding government (RMB billion) %NominalNonSOEGFCF Gross fixed capital formation: other non-SOE enterprises (RMB billion) %NominalBusGFCF Total business investment (gross fixed capital formation excluding household investment) %NominalNarOutput Narrow definition of output NominalBusGFCF + NominalHHC (investment + consumption) %RatioGFCFPrice2CPI Relative prices of investment goods (to CPI) %LaborIncomeShare Labor income as a share of total value added %DPI Disposable personal income (RMB billion) %DPIBeforeTax Disposable personal income before taxes (RMB billion) %SavingRate Saving rate (as a percent of total value added): total %HHSavingRate Saving rate (as a percent of total value added): households %GovtSavingRate Saving rate (as a percent of total value added): government %NFESavingRate Saving rate (as a percent of total value added): non-financial enterprises %FISavingRate Saving rate (as a percent of total value added): financial institutions %AvgNominalWage Aggregate average nominal wages %ratioNewSTLoan Total short-term new bank loans (including those to financial institutions) as a percent of GDP %ratioNewMLTLoan Total medium- and long-term new bank loans (including those to financial institutions) as a percent of GDP %ratioNewNFESTLoan Short-term new bank loans to non-financial enterprises as a percent of GDP %ratioNewNFEMLTLoan Medium- and long-term new bank loans to non-financial enterprises as a percent of GDP %logrealHHC log real household consumption by expenditure (deflated by CPI) %logrealGovtC log real government consumption by expenditure (deflated by CPI) %logrealGCF log real gross capital formation (deflated by GFCFPriceIndex) %logrealGFCF log real gross fixed capital formation (with no inventories) (deflated by GFCFPriceIndex) %=============================================================================================% %===================================== Quarterly Data ========================================% %=============================================================================================% %Some identities bar numerical rounding errors: % NominalGDP = NominalPrivC + NominalGovtC + NominalGCF+ NominalNetExports % NominalGCF = NominalInvty + NomalGFCF % NomalGFCF = NominalGovtGFCF + NominalPrivGFCF + NominalHHGFCF + NominalSOEexGovtGFCF + NominalNonSOEGFCF % NominalBusGFCF = NominalPrivGFCF + NominalSOEGFCF + NominalNonSOEGFCF ; % NominalNarOutput = NominalBusGFCF + NominalHHC % %q_dates_data Quarterly dates with the convention of 1998=1998Q1, 1998.25=1998Q2, 1998.50=1998Q3, 1998.75=1998Q4 etc. %CPI Consumer price index, 1984Q1-2014Q4 %RetailPriceIndex Retail Price Index, 1986Q1-2014Q4 %FAIPriceIndex Fixed asset investmetn price index, 1984Q1-2013Q4 %GFCFPriceIndex Price index for gross fixed capital formation, 1984Q1-2013Q4 %GDPDeflator Implicit price deflator for GDP by value added, 1992Q1-2014Q4 %NominalGDPva GDP by value added (RMB billion), 1992Q1-2014Q4 %NominalRetailGoodsC Retail sales of consumer goods (RMB billion), 1984Q1-2014Q4 %NominalFAI Fixed asset investment (RMB billion) by eliminating the 1994Q4 outlier, 1990Q1-2014Q4 %NominalFAIGovt Fixed asset investment: government (RMB billion), 1995Q1-2013Q4 %NominalFAIPriv Fixed asset investment: private sector exluding SOEs and other non-SOEs (RMB billion), 1995Q1-2013Q4 %NominalFAISOEexGovt Fixed asset investment: SOEs excluding government (RMB billion), 1995Q1-2013Q4 %NominalFAINonSOE Fixed asset investment: other non-SOE enterprises (RMB billion), 1995Q1-2013Q4 %NominalGDP GDP by expenditure (RMB billion), 1992Q1-2013Q4 %NominalNetExports Net exports by expenditure (RMB billion), 1992Q1-2013Q4 %NominalExportsGoods Exports of goods reported by the Chinese customs (RMB million), 1992Q1-2014Q4 %NominalImportsGoods Imports of goods reported by the Chinese customs (RMB million), 1992Q1-2014Q4 %NominalHHC Household consumption by expenditure (RMB billion), 1990Q1-2013Q4 %NominalGovtC Government consumption by expenditure (RMB billion), 1990Q1-2013Q4 %NominalGCF Nominal gross capital formation (RMB billion), 1992Q1-2013Q4 %NominalInvty Changes in inventories (RMB billion), 1992Q1-2013Q4 %NominalGFCF Gross fixed capital formation with no inventories (RMB billion), 1990Q1-2013Q4 %NominalGovtGFCF Gross fixed capital formation: government (RMB billion), 1995Q1-2013Q4 %NominalPrivGFCF Gross fixed capital formation: private sector (RMB billion)---excluding government, households, SOEs, and other non-SOEs (joint ventures for example), , 1995Q1-2013Q4 %NominalHHGFCF Gross fixed capital formation: households (RMB billion), , 1992Q1-2013Q4 %NominalSOEGFCF Gross fixed capital formation: SOE (RMB billion), 1995Q1-2013Q4 %NominalSOEexGovtGFCF Gross fixed capital formation: SOE excluding government (RMB billion), 1995Q1-2013Q4 %NominalNonSOEGFCF Gross fixed capital formation: other non-SOE enterprises (RMB billion), 1995Q1-2013Q4 %NominalBusGFCF Total business investment (gross fixed capital formation excluding household investment), 1995Q1-2013Q4 %NominalNarOutput Narrow definition of output NominalBusGFCF + NominalHHC (investment + consumption), 1995Q1-2013Q4 %RatioGFCFPrice2CPI Relative prices of investment goods (to CPI), 1984Q1-2013Q4 %LaborIncome Interpolated labor income with extrapolation in early years, 1996Q1-2014Q3 %LaborIncomeShare Labor income as a share of total value added, 1996Q1-2014Q3 %LaborCompSumProvinces Sum of interpolated labor compensations across provinces according to the provincial GDP by income, 1996Q1-2012Q4 %DPI Interpolated disposable personal income with extrapolation in early years, 1996Q1-2014Q3 %AvgNominalWage Aggregate average nominal wages, 1986Q1-2014Q4 %ReserveMoney Reserve money (RMB billion), 1993Q2-2014Q4 %M0 M0 (RMB billion), 1990Q2-2014Q4 %M2 M0 (RMB billion), 1990Q2-2014Q4 %RRR Required reserve ratio, 1985Q1-2014Q4 %ARR Actual reserve ratio, 1993Q2-2014Q4 %ERR Excess reserve ratio, 1993Q2-2014Q4 %R3mDeposit Time deposits rate: 3 months, 1989Q2-2015Q1 %R1dRepo The spliced series of 1-day repo rate [CEIC ticker CMPAL] and 1-day chibor rate [CEIC ticker CMOAA], 1996Q1-2015Q1 %BankLoansTotal End-of-quarter financial institution loans outstanding: total, 1978Q4-2014Q4 %BankLoansST End-of-quarter financial institution loans outstanding: short-term, 1994Q1-2014Q4 %BankLoansMLT End-of-quarter financial institution loans outstanding: medium and long terms, 1994Q1-2014Q4 %NewBankLoansNFEST New bank loans to non-financial enterprises (RMB billion): short term, 1994Q1-2014Q4 %NewBankLoansNFESTBF New bank loans to non-financial enterprises (RMB billion): short term and bill financing, 1994Q1-2014Q4 %NewBankLoansNFEMLT New bank loans to non-financial enterprises (RMB billion): medium and long terms, 1995Q1-2014Q4 %--- The following series are used for the VAR analysis. %logrealHHC = log(NominalHHC) - log(CPI) ; %logrealBusI = log(NominalBusGFCF) - log(GFCFPriceIndex) ; %logrealHHC_nipa = log(NominalHHC) - log(GDPDeflator) ; %logrealBusI_nipa = log(NominalBusGFCF) - log(GDPDeflator) ; %logrealNarrowY_nipa = log(NominalNarOutput) - log(GDPDeflator) ; %logrealGDP_nipa = log(NominalGDP) - log(GDPDeflator) ; %logrealGDP_va = log(NominalGDPva) - log(GDPDeflator) ; %logrealLaborIncome = log(LaborIncome) - log(GDPDeflator) ; %logrealDPI = log(DPI) - log(GDPDeflator) ; %logM2 = log(M2) ; %ratioNewLoansNFEST2GDP = NewBankLoansNFEST ./ NominalGDP ; %ratioNewLoansNFESTBF2GDP = NewBankLoansNFESTBF ./ NominalGDP ; %ratioNewLoansNFEMLT2GDP = NewBankLoansNFEMLT ./ NominalGDP ;