MOM vs YOY rates in inflation

MOM_YOY.R

a <- read.csv("Data.csv")

# Pretty functions to compute the MOM and YOY inflation rates

mom.inf <- function(series){
  x <- rep(NA,length(series))
  for(i in 2:length(series))x[i] <- ((series[i] - series[i-1])/series[i-1])*100
  return(x)
}

yoy.inf <- function(series){
  y <- rep(NA,length(series))
  for(i in 13:length(series))y[i] <- ((series[i] - series[i-12])/series[i-1])*100
  return(y)
}

a$MOM <- mom.inf(a$CPI)
a$YOY <- yoy.inf(a$CPI)

a$MOM_SA <- mom.inf(a$CPI_SA)
a$YOY_SA <- yoy.inf(a$CPI_SA)

# Plotting the MOM and YOY inflation rates

plot(a$YOY,type="l",col="red", ylim=c(-2,18),xlab="Time", ylab="Inflation rate",
     main="M-O-M and Y-O-Y Inflation rates with no seasonal adjustment")
lines(a$MOM,type="l")
legend("topright",c("MOM infltion rate","YOY inflation rate"),col=c("black","red")
       ,cex=0.7, lwd=2)


# Plotting the MOM and YOY seasonally adjusted inflation rates

plot(a$YOY_SA,type="l",col="red", ylim=c(-2,18),xlab="Time", ylab="Inflation rate",
     main="M-O-M and Y-O-Y Inflation rates with seasonal adjustment")
lines(a$MOM_SA,type="l")
legend("topright",c("MOM infltion rate","YOY inflation rate"),col=c("black","red")
       ,cex=0.7, lwd=2)


# Plotting the YOY adjusted and unadjusted inflation rates

plot(a$YOY_SA,type="l",col="red",xlab="Time", ylab="Inflation rate",
     main="Y-O-Y Inflation rates")
lines(a$YOY,type="l")
legend("topright",c("Y-O-Y seasonally adjusted","Y-O-Y seasonally unadjusted"),
       col=c("black","red") ,cex=0.7, lwd=2)

# Plotting the MOM adjusted and unadjusted inflation rates

plot(a$MOM_SA,type="l",col="red",xlab="Time", ylim = c(-2,6), ylab="Inflation rate",
     main="M-O-M Inflation rates")
lines(a$MOM,type="l")
legend("topright",c("M-O-M seasonally adjusted","M-O-M seasonally unadjusted"),
       col=c("black","red") ,cex=0.7, lwd=2)

# Unit root test

library(tseries)

adf.test(a$YOY[13:length(a$YOY)])
adf.test(a$MOM[2:length(a$MOM)])

adf.test(a$YOY_SA[13:length(a$YOY_SA)])
adf.test(a$MOM_SA[2:length(a$MOM_SA)])

# Summary statistics

var(a$YOY[13:length(a$YOY)])
var(a$MOM[2:length(a$MOM)])

var(a$YOY_SA[13:length(a$YOY_SA)])
var(a$MOM_SA[2:length(a$MOM_SA)])