Velocity: NBER 14144 and Satisfaction

This is one of those posts where I don't so much have something to say as I have something to see for myself. I didn't think it through before I wrote it. I just had an idea and started investigating, making notes along the way. These are those notes. So if the thing is unreadable, don't say I didn't warn you.

If you can't read it, skip to the end to check out the graphs. I'm happy how they worked out. My suspicions were not unfounded.


This is new to me: using NBER data to chase down an answer.

The most interesting of the FRED Velocity series is the one that goes back into the 1800s. From the Notes on that series:

Data Were Computed From Wartime Current Prices Divided By Money Which Had Been Centered To June 30 For Each Year. Source: Simon Kuznets, NBER

This NBER data series a14187 appears on the NBER website in Chapter 14 at http://www.nber.org/databases/macrohistory/contents/chapter14.html.

NBER Indicator: a14187

I clicked the "Chapter 14" link, and came to a whole page of NBER links on Money and Banking. Searched for "a14187". Found one:

db

dat

doc

a14187

U.S. Velocity of Money Stock 1869-1966

The three "d..." links look to me to be database, data, and documentation. I clicked doc and found this:

"c           VAR 0075      14187 VELO TY 1R 869-966               MD= 1E-37   "
"c           REF 0075         LOC  636 WIDTH  9             DK  10 COL 71-79  "
"c                                                 EXP DEC=  3                "
"c                                                                            "
"c              VELOCITY OF MONEY STOCK                                       "
"c              -----------------------                                       "
"c                                                                            "
"c              NBER SERIES:  14187                                           "
"c              AREA COVERED:  U.S.                                           "
"c              UNITS:  RATIO                                                 "
"c              ANNUAL COVERAGE:  1869-1966                                   "
"c              QUARTERLY COVERAGE:  NONE                                     "
"c              MONTHLY COVERAGE:  NONE                                       "
"c              SEASONAL ADJUSTMENT:  NONE                                    "
"c              SOURCE:  SIMON KUZNETS, NBER                                  "
"c                                                                            "
"c              NOTES:  DATA WERE COMPUTED FROM WARTIME CURRENT PRICES        "
"c              DIVIDED BY MONEY WHICH HAD BEEN CENTERED TO JUNE 30 FOR EACH  "
"c              YEAR.                                                         "
"c                                                                            "
"c              CHECKED MANUALLY; NO CORRECTIONS NECESSARY.                   "
"c                                                                            "
"c           ...............................................................  "

Oh.

Okay...

I backed out of that and did another search, this time for MONEY STOCK. I found "U.S. Velocity of Money Stock 1869-1966" again, and then "U.S. Money Stock" series m14144a. This time, the doc file captured my attention. Here's the body of it:

MONEY STOCK, COMMERICAL BANKS PLUS CURRENCY HELD BY PUBLIC,
SEASONALLY ADJUSTED
-----------------------------------------------------------

NBER SERIES: 14144
AREA COVERED: U.S.
UNITS: BILLIONS OF DOLLARS
ANNUAL COVERAGE: NONE
QUARTERLY COVERAGE: NONE
MONTHLY COVERAGE: 05/1907-12/1946
SEASONAL ADJUSTMENT: SEASONALLY ADJUSTED BY NBER
SOURCE: DATA ARE COMPUTED BY NBER FROM THE SUM OF SERIES
14125 (CURRENCY HELD BY THE PUBLIC) AND SERIES 14145 (DEMAND
DEPOSITS ADJUSTED AND TIME DEPOSITS ALL COMMERICIAL BANKS);
SEE FRIEDMAN AND SCHWARTZ, MONETARY STATISTICS OF THE UNITED
STATES (NBER, 1970).

NOTES: SERIES 14144 IS PRESENTED HERE AS FOUR
VARIABLES--(1)--SEASONALLY ADJUSTED DATA, 1867-1906
(2)--SEASONALLY ADJUSTED DATA, 1907-1946 (3)--ORIGINAL
DATA, 1955-1969 (4)--SEASONALLY ADJUSTED DATA, 1947-1969.
DATA ARE FOR THE WEDNESDAY NEAREST THE END OF THE
MONTH.

Currency plus Demand Deposits plus Time Deposits... Friedman and Schwartz... four variables... data back to 1867 and forward to 1969... I can use this. I backed out of the doc and clicked the dat. Three columns of data: year, month, and value. In a textfile. Should be importable into a spreadsheet.

Firefox let me save each dat page easily and//... Oh, there are only three 14144 pages, and nothing going back into the 1800s. Hm.

I searched around a bit. No luck. Well that's disappointing. Okay. I'll go with what I found.

OpenOffice opened the DAT file in Writer. Crap. Maybe I can copy and paste it to the spreadsheet?

Nope, not in a useful way. I need import...

Maybe Insert sheet from file??? Fixed width... Detect special numbers... OK...

YES!

Rename the worksheet before importing the others...

Okay, got 'em all. That went quick. Now document the data. (There is no header info in the NBER DAT files.) Copy a few lines from the NBER page... Paste to the Blogger "Compose" editor...

db	dat	doc	m14144a	U.S. Money Stock, Commerical Banks Plus Currency Held By Public, Seasonally Adjusted 05/1907-12/1946
db	dat	doc	m14144b	U.S. Demand Deposits, Adjusted Time Deposits, All Commericial Banks, Plus Currency Held By the Public 01/1955-09/1969
db	dat	doc	m14144c	U.S. Demand Deposits, Adjusted Time Deposits, All Commercial Banks, Plus Currency Held By the Public, Seasonally Adjusted 01/1947-09/1969

... the thing comes out as a fully formatted table. Sweet. Sometimes stuff just works. I gave it the border and white background to dress it up.

I don't think I need the "m14144b" file; the other two are both seasonally adjusted, and "b" doesn't say it is. Anyway file "a" takes me from 1907 to the end of 1946, and file "c" picks up at the beginning of 1947 and goes to 1969. Hm, I started my senior year in college, 1969.

Damn. I wish I had the numbers back to 1867.


File m14144a. How to get annual data from these monthly numbers? Move the file to Excel and use VBA? No.

Why do I care? Can I use monthlies? No. The GDP data will be quarterly or annual.

Just do some calculation that pulls out annual numbers.

... Okay, that works. I figured the average of 12 monthly values to get an annual number. Then I just added 12 to the starting row-number to to figure the next year's annual value. I used the same method to calculate my year values. If I didn't get nice round year-numbers, I'd know I had something wrong. Everything came out okay.

Now do the same for file C...

... I did it for file B also. Hey, you never know. I might need it. Okay, now I want to copy the three sets of annual data all onto the same worksheet, and then go round up some GDP data so I can calculate Velocity and compare it to FRED's Velocity of Money Stock for United States.

Graph #1: The NBER MONEY STOCK Data

NBER's "A" file (blue) and "C" file (red) fit together and cover the whole 1908-1968 period. There's a gap between the two lines because the blue ends in 1946 and the red starts in 1947. That gap'll disappear when I treat the two datasets as one data series.

NBER's file "B" (dashed green) starts in 1955 and follows the same path as the red data. I don't need the "B" data.

I divided MeasuringWorth's US GDP numbers by NBER's money stock numbers to figure velocity in red on Graph #2. For comparison I took FRED's velocity that goes back to the 1800s, in blue:

Graph #2:FRED's A14187USA163NNBR (blue) and NBER's m14144 series (red) in Velocity Calculations

The red one looks like my gold one yesterday, the Historical Statistics M2 Velocity, the one where I said

To my eye the gold and blue are very similar, as if the blue line was produced in part by revising the gold line.

I think I was right about that.

On the research.stlouisfed.org page, down near the bottom there's a bunch of links for My Account and About and Services and more. Among the links for Research is Monetary Aggregates. If you follow that link you find these notes:

We often receive requests for monetary aggregates data that cover time periods prior to January 1959, the beginning date for the Board of Governors currently published monetary aggregates. Various data are available for these years, but not all data are consistent with the current definitions of the Board's monetary aggregates. This section discusses available data. The problem is not one of finding data; the problem is one of constructing monetary aggregates that are consistent with currently published definitions.

FRED probably revised the NBER data to make it "consistent".

The NBER numbers are older; FRED's were revised in 2012. So I wanted to see FRED's numbers relative to NBER's, to see how the numbers were changed.

Graph #3: FRED's number as a share of NBER's number

High and dry until the Depression; then the FRED velocity starts falling away.

We're looking at velocity numbers, GDP divided by money stock. To make velocity fall (taking GDP as a given) we'd have to increase the money number. So Graph #3 shows FRED's money numbers are higher than NBER's.