Commercial Bank Loans - Not Seas Adj

Source:
Board of Governors of the Federal Reserve

Release:
Commercial and Industrial Loans

Units:
Billions of U.S. Dollars

Frequency:
Weekly, Ending Wednesday

Available Through:
11/30/2021

Why Use:

The dollar amount of commercial and industrial loans given in a week measures the availability of capital in commercial banks and business' desire for extra capital. This indicates the stability and growth of the economy as a whole.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Boxcox variable will also perform well.

Grain Transformation:

Data is able to be distributed by time but not by geography. The roll up method used is Sum.

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Commercial Bank Loans - Not Seas Adj

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 1 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.13

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.23 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.93 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of -0.21 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.04 with a p-value of 0.00 inidcates the data is multimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
2.67
Box-cox
2.56
Log_b(x-a)
3.08
sqrt(x+a)
2.84
exp(x)
NA
arcsinh(x)
3.08
Yeo-Johnson
2.56
OrderNorm
1.18

Citation:

Board of Governors of the Federal Reserve System (US), Commercial and Industrial Loans, All Commercial Banks [TOTCINSA], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TOTCINSA, November 11, 2019.

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