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Michael W. McCracken

Assistant Vice-President

Education

Ph.D. Economics
University of Wisconsin-Madison
1998

B.S. Mathematics
University of Kansas
1989

Contact Info

Phone: (314) 444-8594
Fax: (314) 444-8731

Research Division
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442

For media inquiries contact:
Laura Taylor
mediainquiries@stls.frb.org
Office: (314) 444-8783
Cell: (314) 313-4613


FRED-MD and FRED-QD: Monthly and Quarterly Databases for Macroeconomic Research

FRED-MD and FRED-QD are large macroeconomic databases designed for the empirical analysis of “big data.” The datasets of monthly and quarterly observations mimic the coverage of datasets already used in the literature, but they add three appealing features. They are updated in real-time through the FRED database. They are publicly accessible, facilitating the replication of empirical work. And they relieve the researcher of the task of incorporating data changes and revisions (a task accomplished by the data desk at the Federal Reserve Bank of St. Louis).

The accompanying paper shows that factors extracted from the FRED-MD dataset share the same predictive content as those based on the various vintages of the so-called Stock-Watson data. In addition, it suggests that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology.

Working Paper FRED-MD Updated Appendix

The monthly and quarterly databases are listed below by release date. MATLAB code is also available to analyze the data.

FRED-Databases code (.zip )

Historical Vintages of FRED-MD 1999-08 to 2014-12 (.zip 45 MB)

All Post-2015 Vintages of FRED-MD (.zip)

A beta-version of FRED-QD has been published. FRED-QD is a quarterly frequency companion to FRED-MD. It is designed to emulate the dataset used in "Disentangling the Channels of the 2007-2009 Recession" by Stock and Watson (2012, NBER WP No. 18094) but also contains several additional series. Comments or suggestions are welcome.

FRED-QD Appendix

Monthly Data Changes to FRED-MD
Quarterly Data

 




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