The Bank of Canada commodity price index (BCPI) is a chain Fisher price index of the spot or transaction prices in U.S. dollars of 24 commodities produced in Canada and sold in world markets. Commodity weights are updated on an annual basis using recent commodity production and price data.
As presented in the July 2012 Monetary Policy Report, the index has been improved to incorporate more accurate commodity weights to better reflect recent Canadian commodity production. The basket of benchmark oil prices has also been expanded to better reflect the prices received by Canadian producers.
Crude Oil [WTI, Brent, Western Canada Crude1], Natural Gas, Coal
Potash, Aluminum, Gold, Nickel, Iron, Copper, Silver, Zinc, Lead
Lumber, Pulp, Newsprint
Cattle, Canola, Wheat, Hogs, Corn, Barley, Potatoes
The BCPI weights are constructed using primarily data from input-output (IO) tables computed by Statistics Canada, which are only available with a four-year lag (currently up to 2009). Other data sources are used when the IO disaggregation is insufficient to permit individual commodity value calculations.
In the previous methodology, the weights were held constant at their last historical values for those years where the input-output data were not yet available. The current BCPI methodology, as presented in the July 2012 Monetary Policy Report, projects individual commodity weights from the Input-Output reference year (currently 2009) through the last period in which full-year historical price data is available (currently 2012).
The weights are approximated using changes in Canadian commodity prices and proxies of commodity production volumes. Specifically, the percentage change in Canadian production value (from which the weights are derived) is approximated by the product of the annual percentage changes in the commodity price and the estimated Canadian production volume. Production volumes are proxied using available data from official sources, including Statistics Canada, National Resources Canada, and the National Energy Board.
In addition, weights for the current year are now estimated based on projected annual percentage changes in commodity prices. These weights are reassessed four times a year to reflect the most recent projection of commodity prices. Updated weights are published on the website the Thursday following the release of the Monetary Policy Report.
The weights of individual oil benchmarks are inferred over history from Statistics Canada’s total crude oil production values using the same methodology described above. Volume estimates are taken from the National Energy Board. Prior to 1996, the value shares of each crude oil component are held constant at their 1996 level. A complete breakdown of the historical crude oil component weights can be found in the “Weights Data” link displayed above.
The prices for many of the commodities in the index are the averages of daily data. Prices for some commodities are available only weekly (these are usually available several weeks after the reference period) or monthly (usually available two months after the reference period). When data for the reference period are not immediately available, the most recent available data are repeated until the actual data are received. The series are revised when the actual data become available.
Recent BCPI data are published in Table H9 of the monthly Bank of Canada Banking and Financial Statistics publication. The weekly series are the averages for the five business days ending with the Wednesday. The monthly series are the averages for all days in the month.