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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:
Shera Dalin
mediainquiries@stls.frb.org
Phone: (314) 444-3911


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 papers shows that factors extracted from the FRED-MD and FRED-QD datasets share comparable information content to various vintages of so-called Stock-Watson datasets. These factor estimates are shown to be useful for forecasting a wide range of macroeconomic series. In addition, we find that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology.


FRED-MD

FRED-MD Working Paper FRED-MD Updated Appendix

FRED-Databases Matlab code (.zip )

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

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

R Package to read QD and MD data and compute factors (third-party software, external link)


FRED-QD

FRED-QD Working Paper FRED-QD Updated Appendix

The monthly and quarterly databases are listed below by release date.

Disclaimers: Software of third parties or links to third-party sites are included as a convenience to users. The Federal Reserve Bank of St. Louis is not responsible for the contents of any third-party software, linked site or any link contained in a linked site, and cannot attest to the accuracy of information provided by any such linked sites. You acknowledge and agree that your use of any third-party software or links is at your own risk. Linking to another web site or providing third-party software from this site does not constitute or imply a site or product endorsement, recommendation or favoring by the Federal Reserve Bank of St. Louis.