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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

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)


FRED-QD

FRED-QD Working Paper FRED-QD Updated Appendix

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

Quarterly Data Changes to FRED-QD