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FRED-MD: A Monthly Database for Macroeconomic Research

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Abstract

This paper 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 monthly using the FRED database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our dataset share the same predictive content as those based on various vintages of the so-called Stock-Watson dataset. 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.

Suggested Citation

  • Michael W. McCracken & Serena Ng, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis.
    • Handle: RePEc:fip:fedlwp:2015-012
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    More about this item

    Keywords

    diffusion index; forecasting; big data; factors;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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