S&P Monthly Australian Consumer Price Indicator Methodology

Transcription

1 S&P Monthly Australian Consumer Price Indicator Methodology S&P Dow Jones Indices: Index Methodology January 2017

2 Table of Contents Introduction 2 Highlights 2 Index Construction 3 Data Sources 3 Calculation 3 Rounding Conventions 4 Index Data 5 Publication Schedule 5 Interpretation 5 History Availability 5 Index Governance 6 Index Committee 6 Quality Assurance 6 Internal Reviews of Methodology 6 Index Policy 8 Announcements 8 Calculations and Data Disruptions 8 Recalculation Policy 8 Expert Judgment 8 Index Dissemination 9 Tickers 9 FTP 9 Web site 9 S&P Dow Jones Indices Contact Information 10 Index Management 10 Business Development 10 Media Relations 10 Client Services 10 Disclaimer 11 S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 1

3 Introduction Highlights The S&P Monthly Australian Consumer Price Indicator (the indicator ) is a rules-based extrapolation of the Australian Consumer Price Index, published by the Australian Bureau of Statistics (ABS), and interpolates for the two months immediately prior to the subsequent quarter. This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each indicator governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the indicator continues to achieve its objective. S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 2

4 Index Construction Data Sources Data for the S&P Monthly Australian Consumer Price Indicator are obtained directly from the ABS Web site, and include the quarterly All Groups CPI index number (ABS CPI), All Groups CPI percentage change from corresponding quarter of previous year (ABS CPI YoY), and Trimmed mean percentage change from corresponding quarter of previous year (ABS Trimmed mean YoY). The Australian Consumer Price Index is compiled by the ABS for quarters ending on March 31 st, June 30 th, September 30 th, and December 31 st of each year. The data are typically released on the fourth Wednesday after the end of the reference quarter, depending on public holidays, but no later than the last Friday of the month after the end of the reference quarter, in the publication Consumer Price Index, Australia (cat. no ). Calculation The S&P Monthly Australian Consumer Price Indicator is calculated as follows: CP Indicator YoY = Trimmed mean YoY + Residual factor 1. The rolling last four actual ABS Trimmed mean YoY percentage changes are used to fit a quadratic polynomial function: f(x) = ax 2 + bb + c The subsequent quarterly S&P Trimmed mean YoY (S&P TM' t+1 ) is extrapolated from the fitted curve accordingly. 2. The Residual factor for quarter t+1 is approximated as the difference of the actual ABS CPI YoY and the actual ABS Trimmed mean YoY for quarter t. RF' t+1 = ABS CPI YoY t ABS TM t 3. The S&P CP Indicator YoY for quarter t+1 is estimated by the sum of the estimated S&P Trimmed mean and the residual factor. S&P CP Indicator YoY' t+1 = S&P TM' t+1 + RF' t+1 4. The S&P CP Indicator level for quarter t+1 is estimated as the actual ABS CPI level for quarter t-3 multiplied by sum of one and the S&P CP Indicator YoY for quarter t+1. S&P CP Indicator' t+1 = ABS CPI t-3 * (1+ S&P CP Indicator YoY' t+1 ) 5. The S&P CP Indicator level for the two months immediately prior to the end of quarter t+1 are estimated by linear interpolating between the actual ABS CPI level for quarter t and the estimated S&P CP Indicator level for quarter t The percentage change of CPI over the trailing 12 months (S&P CP Indicator YoY' m ) for each month is calculated as: S&P CP Indicator YoY' m =(S&P CP Indicator' m / ABS CPI m-12 ) -1 if month m-12 is a quarter end and ABS CPI m-12 is available OR S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 3

5 S&P CP Indicator YoY' m =(S&P CP Indicator' m / S&P CP Indicator' m-12 ) -1 if month m-12 is not a quarter end and ABS CPI m-12 is not available 7. The monthly percentage change of CPI (S&P CP Indicator MoM' m ) for each month is calculated as: where: S&P CP Indicator MoM' m =( S&P CP Indicator' m / S&P CP Indicator' m-1 ) -1 if month m-1 is not a quarter end OR S&P CP Indicator MoM' m =( S&P CP Indicator' m / ABS CPI m-1 ) -1 if month m-1 is a quarter end Trimmed mean = Underlying trend inflation S&P TM' t+1 = Estimated Trimmed mean for quarter t+1 RF' t+1 = Estimated residual factor for quarter t+1 ABS CPI YoY t ABS TM t = Actual CPI YoY for quarter t published by ABS = Actual Trimmed mean YoY for quarter t published by ABS S&P CP Indicator YoY' t+1 = Estimated Consumer Price Indicator YoY for quarter t+1 S&P CP Indicator' t+1 = Estimated CPI index number for quarter t+1 ABS CPI t-3 S&P CP Indicator YoY' m S&P CP Indicator' m ABS CPI m-12 S&P CP Indicator MoM' m ABS CPI m-1 = Actual CPI index number for quarter t-3 published by ABS = Estimated CPI percentage change over the trailing 12 months for month m = Estimated Consumer Price Indicator index number for month m = Actual CPI index number for month m-12 published by ABS = Estimated monthly Consumer Price Indicator percentage change for month m = Actual CPI index number for month m-1 published by ABS S&P CP Indicator' m-1 = Estimated Consumer Price Indicator index number for month m-1 S&P CP Indicator, S&P CP Indicator YoY', and S&P CP Indicator MoM' are calculated and published for every month. Rounding Conventions Numbers for the S&P Monthly Australian Consumer Price Indicator are always published to the reference precision of the Australian Consumer Price Index (All Groups CPI index number) published by the ABS. As such, numbers are always published to one decimal place. S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 4

6 Index Data Publication Schedule The S&P Monthly Australian Consumer Price Indicator is a monthly data series published on a quarterly basis. It is typically released on the Friday after the publication of the official quarterly Australian Consumer Price Index by the ABS, which is no later than the last Friday of the month after the end of the reference quarter. Interpretation The S&P Monthly Australian Consumer Price Indicator is constructed by applying curve fitting and linear interpolation techniques to historical Australian Consumer Price Index data officially released by the ABS. No data inputs are used other than official Australian Consumer Price Index historical data. Therefore the S&P Monthly Australian Consumer Price Indicator does not account for new price level developments for the upcoming quarter and is not a forecast of future official releases of the Australian Consumer Price Index by the ABS. History Availability Launch dates and first value dates are detailed in the table below. Indicator Launch Date First Value Date S&P Monthly Australian Consumer Price Indicator 01/27/ /31/2006 S&P Monthly Australian Consumer Price Indicator YoY 01/27/ /31/2006 S&P Monthly Australian Consumer Price Indicator MoM 01/27/ /31/2006 S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 5

7 Index Governance Index Committee The S&P Monthly Australian Consumer Price Indicator is maintained and governed by S&P Dow Jones Indices Asia Fixed Income Index Committee. All committee members are full-time professionals at S&P Dow Jones Indices. Meetings are held quarterly and whenever deemed appropriate. The Index Committee has discretion to determine how the S&P Monthly Australian Consumer Price Indicator is calculated and the data are validated. S&P Dow Jones Indices considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential. Quality Assurance S&P Dow Jones Indices maintains quality assurance processes and procedures for the calculation and maintenance of its indices that include a regularly scheduled meeting to review incidents or errors, if any, that occurred during the previous week and identify causes, determine repetitive issues and evaluate whether any long term changes are necessary (e.g. a change in process). Incidents and errors are tracked through S&P Dow Jones Indices internal system and significant matters are escalated, requiring, at times, an ad hoc meeting of the same group. Internal Reviews of Methodology Annual Review Process. In addition to its daily governance of indicators and maintenance of indicator methodologies, at least once within any 12 month period, the Index Committee reviews each indicator methodology to ensure the indicators continue to achieve the stated objective, and that the data and methodology remain effective. The annual review process includes the gathering of information on the appropriateness, representativeness, and effectiveness of the methodology from colleagues responsible for commercializing the indicators. Australian Consumer Price Index Revisions. In the event that the Australian Consumer Price Index published by the ABS is revised or rebased, the Index Committee will review the S&P Monthly Australian Consumer Price Indicator methodology to ensure it continues to meet its objectives. In the case that a Methodology is reviewed off cycle from the annual review, the Index Committee reserves the right to cancel the Annual Review if the requested review covers all the relevant issues. Consultation with Stakeholders. S&P Dow Jones Indices consults with stakeholders through continuous communication through its Product Management and Client Relations Teams. Additionally, in connection with its maintenance of indicator methodologies, the Index Committee may at times consult with investors, market participants, security issuers included in or potentially included in an indicator, or investment and financial experts. Typical consultations may include: Meetings of Advisory Panels where market participants, investors and financial experts are invited to attend Surveys by mail, or telephone Conference calls, or Face-to-face meetings S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 6

8 Stakeholders also have the ability to provide S&P Dow Jones Indices with input on its indices by contacting a representative of S&P Dow Jones Indices via phone, , or by completing a Client Services Request Form available on the S&P Dow Jones Indices Web site at All requests are reviewed and responded to by the S&P Dow Jones Indices Client Services team. Complaints Procedure. For any inquiry, comment, or complaint regarding the indices governed by this methodology, a Client Services Form can be found at S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 7

9 Index Policy Announcements Announcements of changes in indicator policy, indicator methodology, or other matters besides routine indicator publication are posted on S&P Dow Jones Indices web site at Calculations and Data Disruptions If a data source required for indicator calculation is unable to provide required data S&P Dow Jones Indices may decide to delay or not publish an indicator. Recalculation Policy S&P Dow Jones Indices reserves the right to recalculate an indicator under certain limited circumstances. S&P Dow Jones Indices may choose to recalculate and republish an indicator if it is found to be incorrect or inconsistent prior to the next publication. Any other restatement or recalculation of an indicator is only done under extraordinary circumstances to reduce or avoid possible market impact or disruption as solely determined by the Index Committee. Expert Judgment Use of Expert Judgment 1 for the indicators governed by this methodology may be employed in: a) Actions by the Index Committee to determine if an indicator value is sufficiently exceptional to warrant exclusion or re-computation, and/or b) Re-statements. 1 Expert Judgment specifically and exclusively refers to S&P Dow Jones Indices exercise of discretion with respect to its use of data in determining an indicator in the following context: Expert Judgment includes extrapolating data from prior or related transactions, adjusting data for factors that might influence the quality of data such as market events or impairment of a buyer or seller s credit quality, or weighing firm bids or offers greater than a particular concluded transaction. Other areas of discretion, such as methodology changes, are not, for the purposes of this document, considered Expert Judgment. S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 8

10 Index Dissemination S&P Australian Monthly Consumer Price Indicator values are available through S&P Dow Jones Indices Web site at major quote vendors (see codes below), numerous investment-oriented Web sites, and various print and electronic media. Tickers Indicator S&P Monthly Australian Consumer Price Indicator S&P Monthly Australian Consumer Price Indicator YoY S&P Monthly Australian Consumer Price Indicator MoM Bloomberg SPBACPI SPBACPIY SPBACPIM FTP Monthly values and related data are available via FTP subscription. For product information, please contact S&P Dow Jones Indices, Web site For further information, please refer to S&P Dow Jones Indices Web site at S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 9

11 S&P Dow Jones Indices Contact Information Index Management David M. Blitzer, Ph.D. Managing Director & Chairman of the Index Committee Business Development Heather Mcardle Director, Fixed Income Indices Michele Leung Director, Fixed Income Indices Media Relations Soogyung Jordan Communications Client Services S&P Dow Jones Indices: S&P Monthly Australian Consumer Price Indicator Methodology 10

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