FRED-MD: A Monthly Database for Macroeconomic Research
نویسندگان
چکیده
This paper presents and describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires ”Big Data.” The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated in real-time using the FRED database. Second, it will be publicly accessible, facilitating the replication of empirical work. Third, it will relieve researchers from the task of data changes and revisions. This will be handled by the data desk at the Federal Reserve Bank of St. Louis. We show that factors extracted from our dataset share the same predictive content as those based on the various vintages of the so-called Stock-Watson data. In addition, we suggest that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology. JEL Classification: C30, C33, G11, G12.
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