M1 Money Stock - Seas Adj

Source:
Board of Governors of Fed Reserve System

Release:
Money Stock Measures

Units:
Billions of Dollars, Seasonally Adjusted

Frequency:
Weekly, ending Monday

Available Through:
02/07/2021

Why Use:

M1 is a narrow measure of the money supply that includes physical currency, demand deposits, traveler’s checks, and other checkable deposits. This is indicative of readily accessible income and assets in the US.

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 Yeo Johnson variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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M1 Money Stock - 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 -0.18

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.37 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.95 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of -0.13 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.03 with a p-value of 0.01 inidcates the data is multimodal

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

No transform
2.15
Box-cox
2.13
Log_b(x-a)
2.47
sqrt(x+a)
2.25
exp(x)
NA
arcsinh(x)
2.47
Yeo-Johnson
2.13
OrderNorm
1.17

Citation:

Board of Governors of the Federal Reserve System (US), M1 Money Stock [M1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/M1, December 19, 2019.

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