Source Abbreviations

key Source
FRBMB Federal Reserve Monthly Bulletin
FRB Federal Reserve Board
SPF Survey of Professional Forecasters
MSPD Monthly Statement of the Public Debt1
SCB Survey of Current Business. Business Statistics (Biennial Supplement)
HMDA Home Mortgage Disclosure Act
SMLA HUD Survey of Mortgage Lending Activity
CFPB Consumer Financial Protection Bureau

The Capital Market: Stocks, Flows, and Intermediation

Capital Market Issuance

Identifier Definition & Notes Sources Start
corpbond_iss Gross Corporate Bond Issuance NBER:M10071USM311NNBR, FRBMB2 1900/1
mbs_iss Gross Agency MBS Issuance Bank of America, Ginnie Mae, FHLMC, FNMA, SIFMA 1978/1
agency_iss Gross Agency Debt Bond Issuance FHLMC, FNMA, Farm Credit Banks, FHLB 2008/1
fcbfc_iss Gross Farm Credit Banks Funding Corp Bond Issuance Farm Credit Banks 2002/1
fhlb_iss Gross Federal Home Loan Banks Bond Issuance FHLB 2008/1
fnma_debt_iss Gross Fannie Mae Debt Bond Issuance FNMA3 2006/1
fhlmc_debt_iss Gross Freddie Mac Debt Bond Issuance FHLMC4 1999/1
muni_iss Gross Total State and Local Govt Bond Issues Commercial and Financial Chronicle, FRBMB, FRB5 1900/1
muni_newcapital_iss Gross New Capital Issuance FRBMB, FRB 1919/1
muni_refunding_iss Gross Refunding Issuance FRBMB, FRB 1919/1
corpstock_iss Gross Corporate Equity Issuance NBER:M10029M144NNBR, FRBMB, FRB 1900/1
nfc_seo Nonfinancial Corporate Seasoned Equity Offerings FRB Enhanced Financial Accounts6 1994/1
nfc_ipo Nonfinancial Corporate Initial Public Offerings FRB Enhanced Financial Accounts 1994/1
cmbs_iss U.S. CMBS Issuance CMA Alert7 2000/1
nonus_cmbs_iss CMBS Issuance ex U.S. CMA Alert 2000/1
wld_cmbs_iss Global CMBS Issuance CMA Alert 2000/1
clo_iss U.S. Collateralized Loan Obligation Issuance ABA Alert8 1999/3
abs_iss U.S. Asset Backed Security Issuance ABA Alert 1999/3
nonus_abs_iss Asset Backed Security Issuance ex U.S, ABA Alert 1999/3
nonagency_mbs_iss U.S. Non-Agency MBS Issuance ABA Alert 1999/3
usbill_iss Gross Issuance of US Bills Hall, Payne, and Sargent (2018), Treasury Bulletin, SIFMA, Treasury Department9 1929/1
usnote_iss Gross Issuance of US Notes Hall, Payne, and Sargent (2018), SIFMA, Treasury Department 1900/1
usbond_iss Gross Issuance of US Bonds Hall, Payne, and Sargent (2018), SIFMA, Treasury Department 1900/1
ustotal_iss Gross Issuance of US Treasuries Hall, Payne, and Sargent (2018), Treasury Bulletin, SIFMA, Treasury Department 1900/1
ustotal_iss_sa Gross Issuance of US Treasuries, Seasonally Adjusted SIFMA, Treasury Department 1980/1
usbondandnotes_iss Gross Issuance of US Notes and Bonds Hall, Payne, and Sargent (2018), SIFMA, MSPD, Treasury Department 1900/1

U.S. Treasury and Agency Debt Outstanding

Note: For the Federal Agencies whereas issuance excluded discount notes, the outstanding amounts in the table below include short-term paper.

Identifier Definition & Notes Sources Start
fcbfc_out Farm Credit Banks Funding Corp debt outstanding FRBMB, https://www.farmcreditfunding.com/ffcb_live/activitySummary.html 1940/1
fhlb_out Federal Home Loan Banks debt outstanding FRBMB, FHLB http://www.fhlb-of.com/ofweb_userWeb/resources/fhlbanalystdata.xlsx 1940/1
fnma_out Federal National Mortgage Association debt outstanding FRMB, FNMA Monthly Volume Summary 1956/1
fhlmc_out Federal Home Loan Mortgage Corporation debt outstanding FRMB, FHLMC Monthly Volume Summary10 1971/1
tva_out Tennessee Valley Authority debt outstanding FRMB, Treasury Bulletin 1960/11
uscorpbonds_out Nonfinancial corporate business; corporate bonds NBER:M10083USM311NNBR, FRED:CBLBSNNCB 1900/1
usbills_out Bills Outstanding MSPD 1932/1
usbillsandcertif_out Bills and Certificates Outstanding MSPD 1900/1
usnotes_out Notes Outstanding MSPD 1900/1
usbonds_out Bonds Outstanding MSPD 1900/1
usnotesandbonds_out Notes and Bonds Outstanding MSPD 1900/1
usttotala_out Sum of Nominal Interest-Bearing Bills, Certificates, Notes, and Bonds Outstanding MSPD 1900/1
usgross_out Gross US Federal Debt Outstanding Hall, Payne, and Sargent (2018)11, Dallas Fed12 1900/1
usgf_to_gdp Gross US Federal Debt Outstanding divided by GDP MSPD 1900/1
usttotala_to_gdp Sum of Nominal Interest-Bearing Bills, Certificates, Notes, and Bonds Outstanding divided by GDP MSPD 1900/1
usnotesandbonds_to_gdp US Notes and Bonds Outstanding divided by GDP MSPD 1900/1
avgmatprivheld Average maturity of gross federal debt spliced with average maturity of privately held marketable Treasury securities Hall, Payne, and Sargent (2018), Treasury Bulletin 1900/1

Transactions

Identifier Definition & Notes Sources Start
pdtranagencyandmbs Primary Dealer Transactions in Agency Debt and MBS securities, avg monthly FRBMB, NYFED 1961/3
pdtran_agencymbs Primary Dealer Transactions in Agency MBS, avg monthly FRBMB, NYFED 1990/7
pdtran_agencydebt Primary Dealer Transactions in Agency Debt, avg monthly FRBMB, NYFED 1990/7
pdtran_agencydn Primary Dealer Transactions in Agency Discount Notes, avg monthly FRBMB, NYFED 1998/1
pdtran_agencycpn Primary Dealer Transactions in Agency Coupons, avg monthly FRBMB, NYFED 1998/1
pdtrantotal Primary Dealer Transactions in all Treasuries FRBMB, NYFED 1961/1
pdtrantbills Primary Dealer Transactions in T-bills FRBMB, NYFED 1976/11
pdtranl1 Primary Dealer Transactions in Treasuries less than 1yr FRBMB, NYFED 1961/1
pdtranl5 Primary Dealer Transactions in Treasuries less than 5yr FRBMB, NYFED 1961/1
pdtrang5 Primary Dealer Transactions in Treasuries greater than 5yr FRBMB, NYFED 1961/1
pdtran5to10 Primary Dealer Transactions in Treasuries between 5 and 10yrs FRBMB, NYFED 1961/1
pdtran10plus Primary Dealer Transactions in Treasuries greater than 10yrs FRBMB, NYFED 1961/1
nyse_vol NYSE Trading Volume daily average NYSE, SIFMA 1900/1

Primary Dealer Net Positions

Identifier Definition & Notes Sources Start
pd_npos_gse_and_mbs Primary Dealer net positions in Agency Debt and MBS securities FRBMB, NYFED 1960/9
pd_npos_mbs Primary Dealer net positions in Agency MBS securities FRBMB, NYFED 1990/7
pd_npos_gse Primary Dealer net positions in Agency Debt FRBMB, NYFED 1990/7
total_npos Primary Dealer net positions all Treasuries FRBMB, NYFED 1957/10
total_npos_to_gdp Primary Dealer net positions all Treasuries divided by nominal GDP FRBMB, NYFED 1957/10
total_npos_to_parpriv Primary Dealer net positions all Treasuries divided Par Privately held Treasuries Outstanding FRBMB, NYFED 1957/10
pd_npos_tbills Primary Dealer net positions in Tbills FRBMB, NYFED 1976/10
pd_npos_l1 Primary Dealer net positions in Treasuries less than 1yr FRBMB, NYFED 1957/10
pd_npos_g1 Primary Dealer net positions in Treasuries greater than 1yr FRBMB, NYFED 1957/10
pd_npos_g1l7 Primary Dealer net positions in Treasuries greater than 1yr but less than 7yr FRBMB, NYFED 1957/10
pd_npos_g7 Primary Dealer net positions in Treasuries greater than 7yr FRBMB, NYFED 1957/10
pd_npos_g10 Primary Dealer net positions Treasuries greater than 10yr FRBMB, NYFED 1969/9
netdur_npos Net Duration of Primary Dealer net positions in Treasuries FRBMB, NYFED 1957/10

\(NPOS^{Net\ Dur} = {{.5*NPOS^{TBILL}+1.5*NPOS^{L2}+2.5*NPOS^{G2L3}+4.5*NPOS^{G3L6}+6.5*NPOS^{G6L7}+9*NPOS^{G7L11}+14*NPOS^{G11}}\over{|NPOS|}}\)

Primary Dealer Financing

Identifier Definition & Notes Sources Start
repo_tsynom_on Primary Dealer Repo O/N FRBMB, NYFED 1980/9
repo_tsynom_term Primary Dealer Repo Term FRBMB, NYFED 1980/9
revrepo_tsynom_on Primary Dealer Reverse Repo O/N FRBMB, NYFED 1980/9
revrepo_tsynom_term Primary Dealer Reverse Repo Term FRBMB, NYFED 1980/9
repoandreversetotal Primary Dealer sum of Reverse Repo and Repo FRBMB, NYFED 1980/9
net_repo_on Primary Dealer Net Repo O/N FRBMB, NYFED 1980/9
net_repo_term Primary Dealer Net Repo Term FRBMB, NYFED 1980/9
net_repo Primary Dealer Net Repo FRBMB, NYFED 1963/10

Federal Reserve Treasury holdings by remaining maturity and class

Identifier Definition & Notes Sources Start
fedhold_total Fed Holdings of Treasury Securities H.4.1 1914/12
fedl15d Fed Holdings of Treasury Securities with maturity remaining of Less than 15 days H.4.1 1941/1
fedl15to90d Fed Holdings of Treasury Securities with maturity between 15 and 90 days H.4.1 1941/1
fedl90to1y Fed Holdings of Treasury Securities with maturity between 90 days and 1 year H.4.1 1941/1
fedl1to5y Fed Holdings of Treasury Securities with maturity remaining 1 and 5 years H.4.1 1941/1
fedl5to10y Fed Holdings of Treasury Securities with maturity remaining between 5 and 10 years H.4.1 1941/1
fedgreater10y Fed Holdings of Treasury Securities with maturity remaining of greater than 10 years H.4.1 1941/1
fed_net_tsy_dur Duration (in years) of Feds’ Treasury holdings Calc 1941/1
fedhold_bills Fed Holdings of Treasury Bills H.4.1 1932/1
fedhold_notes Fed Holdings of Treasury Notes H.4.1 1919/1
fedhold_bonds Fed Holdings of Treasury Bonds H.4.1 1919/1
fedhold_certifandbills Fed Holdings of Tbills and Certificates H.4.1 1919/1
fedhold_notesandbonds Fed Holdings of Treasury Notes and Bonds H.4.1 1919/1

\(Fed^{Net\ TSY\ Dur} = {{7.5*L15D+52.5*15Dto90D+227.5*90Dto1Y+1095*1to5Y+2737.5*5to10Y+7300*G10Y}\over{365*FED^{TSY}}}\)

Bank Holdings

Identifier Definition & Notes Sources Start
ldom_bank_tsy Large domestic bank holdings of Treasuries H.8 1919/1
ldom_bank_mbs Large domestic bank holdings of Agency MBS H.8 1996/1
all_bank_tsy_agency All bank holdings of Treasuries and Agencies H.8 1947/1

Expected Returns and Bond Yields

Bond Yields and Ex-post Returns

Identifier Definition & Notes Sources Start
mort_rate 30-yr Mortgage Rate FHLMC, M13045USM156NNBR 1949/1
muni_yield Index of Yields of High Grade Municipal Bonds for United States & Bond Buyer 20 Index Pre 1917/01: M13023USM156NNBR, after 1916/12: Bond Buyer 1900/1
aaa Moody’s AAA and Frederick R. Macaulay FRED M13021USM156NNBR, M1319AUSM156NNBR Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856, Frederick R. Macaulay 1900/1
baa Moody’s BAA FRED 1919/1
threem 3M Tbill FRED 1929/1
one..twenty 1yr - 20yr Treasury Zero Coupon Yields Stephen G. Cecchetti (1987); J. Huston McCulloch and Shiller (1987); and FRB 1929/1
rx2…rx30 Treasury rolling annual excess returns calc 1930/1
ret3..ret30 Treasury rolling annual returns calc 1930/1
rx_avg Average of Treasury rolling annual excess returns for 2yr through 10yr, 15yr, 20yr,25yr, and 30yr, brought forward one-year calc 1954/12
ret_avg Average Treasury rolling annual returns 2yr through 10yr, 15yr, 20yr,25yr, and 30yr, brought forward one-year calc
yield_avg Average of Treasury yields for 1yr through 30yr calc 1954/12
tsypi Treasury price index \(\ln{TSY^{MV}\over{TSY^{Par}}}\) Dallas Fed 1942/1
cp_rate 30 day Non-financial Commercial Paper yield NBER, FRED 1900/1
fedfunds Federal Funds rate NBER, FRED 1928/4
h0 Spread between New Issue Seasoned Corporate Bonds Homer, S. and Sylla, R.E., 1996
13 1900/1
h1 Spread Between the Yield on Homer’s Newly Issued Callable Aa Public Utilities and the Yield on Homer’s Seasoned Callable Aa Public Utility Bonds With Per Cent Coupon Conard and Frankena (1967)14 1952/1
h2 Spread Between the Yield on New Callable Issues of Aa Public Utility Bonds, Homer Series, and the Yield on Seasoned Callable Aa Public Utility Bonds of Current Coupon Conard and Frankena (1967) 1952/1
k1 Spread Between Yield on Kaplan Recently Issued Aa Corporate Bonds and Yield on Moody Seasoned Aa Corporate Bonds Conard and Frankena (1967) 1952/1
m1 Spread Between Yield on Newly Issued Moody Aa Corporates and Yield on Seasoned Moody Aa Corporates Conard and Frankena (1967) 1952/1
fiveotrsp Spread between New Issue Seasoned 5-yr Treasuries Treasury15, FRB 1971/1
tenotrsp Spread between New Issue Seasoned 10-yr Treasuries Treasury16, FRB 1971/1

Term Structure

one..twenty Definition & Notes Sources
1929/1 - 1949/12 Constant Maturity Yield Curve, (Table A-1) Stephen G. Cecchetti (1987)17
1950/1 - 1961/5 Zero-coupon yield curve continuous compounding, (Table A-1) Robert Shiller & J. Huston McCulloch (1987)18
1961/6 - Present Zero-coupon yield curve continuous compounding, end of month Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright (2006)19

Expected Returns

Identifier Definition & Notes Sources Start
aaasurvrp \(E_t^{SPF}[AAA_{t+1}] - AAA_t\) \(E_t^{SPF}[AAA_{t+1}]\) is interpolated to a monthly frequency SPF, Moody’s 1981/9
exp_ret_ngdpcapita yield_avg + 8*(yield_avg - taungdppercapita) - one calc 1957/5
cond_slope_dist Yield curve slope less predicted by taucorecpi calc 1967/01
rpf return predicting factor using trend core inflation calc 1967/01
cond_level_dist Actual level less predicted by trend core cpi calc 1967/01
reg_slope predicted yield curve slope using trend core cpi calc 1967/01
cbar average of regression fitting errors calc 1967/01
y1_pred predicted 1-yr Treasury using trend core cpi calc 1967/01
ybar_pred predicted level of rates using trend core cpi calc 1967/01
cond_slope_dist_gdp Yield curve slope less predicted by trend NGDP per capita calc 1957/5
rpf_gdp return predicting factor using trend NGDP per capita calc 1957/5
cbar_gdp average of regression fitting errors calc 1957/5
cond_level_dist_gdp Actual level less predicted by trend NGDP per capita calc 1957/5
reg_slope_gdp predicted yield curve slope using trend NGDP per capita calc 1957/5
y1_pred_gdp predicted one year Treasury using trend NGDP per capita calc 1957/5
ybar_pred_gdp predicted level of rates using trend NGDP per capita calc 1957/5
y_ret_bar average annual Treasury returns calc 1954/12
y_bar average level of rates calc 1929/1
rpf_cp_isat expected returns using an ISAT regression calc 1969/1
rpf_cp_isat2 expected returns using an alternative ISAT regression calc 1969/1

Mortgage Markets

Mortgage Originations

mort_orig Definition & Notes Sources
1900/1 - 1938/12 Monthly number of mortgages recorded in nine counties scaled to annual volume of mortgage loans made on 1-to-4 family nonfarm homes Ernest M. Fisher (1951)20
1939/1 - 1965/2 New Non-Farm Mortgages Recorded, $20,000 and Under for United States Federal Home Loan Banks, M02173USM398NNBR
1965/3 - 1969/12 Total loans originated by Savings and Loans plus FHA Insured Mortgages plus VA Guaranteed Mortgages SCB
1970/1 - 1995/12 Originations of Mortgage Loans for 1-4 Family Nonfarm homes HUD SMLA21, Table 1
1996/1 - 2003/12 Originations of single-family mortgage loans HMDA, Federal Reserve Bulletin 2017 Q322
2004/1 - 2004/12 Originations of single-family mortgage loans HMDA, CFPB 23
2005/1 - 2018/12 Originations of single-family mortgage loans One of the three nationwide consumer reporting agencies, CFPB 24

Agency and GSE MBS Issuance

Identifier Definition & Notes Sources Start
fhagross FHA gross insurance of single-family homes (in millions) SCB, HUD25 1935/1
vagross VA gross guarantees of single-family homes (in millions) SCB, VA (private correspondence) 1947/1
gnma_iss GNMA gross issuance of single-family MBS H.16, Bank of America, GNMA26 1978/1
fhlmc_iss FHLMC gross issuance of single-family MBS H.16, Bank of America, FHLMC27, GNMA28 1978/1
fnma_iss FNMA gross issuance of single-family MBS H.16, Bank of America, FNMA29, GNMA 1978/1

FNMA Monthly Summary

Identifier Definition & Notes Sources Start
fnma_mort_loans FNMA Mortgage Loans in Portfolio Table=1; col=2 2001/1
fnma_book_business FNMA Book of Business Table=1; col=3 2001/1
fnma_port_pur FNMA Mortgage Portfolio Purchases Table=2; col=1 2001/1
fnma_port_sales FNMA Mortgage Portfolio Sales Table=2; col=2 2001/1
fnma_port_liq FNMA Mortgage Portfolio Liquidations Table=2; col=3 2001/1
fnma_mort_hold Retained Mortgage Portfolio Ending Balance Table=2; col=4 2001/1
fnma_port_mbs FNMA MBS in Portfolio Table=3; col=1 2006/1
fnma_mbs_iss FNMA MBS Issuance Table=4; col=1 2001/1
fnma_mbs_liq FNMA MBS Liquidations Table=4; col=2 2001/1
fnma_net_mbs_out FNMA MBS Outstanding x MBS in Portfolio calc 2001/1

FHLMC Monthly Summary

Identifier Definition & Notes Sources Start
fhlmc_port_pur Total Mortgage Portfolio Purchases/Issuances30 Table=1; col=1 2001/1
fhlmc_port_sales Total Mortgage Portfolio Sales Table=1; col=2 2001/1
fhlmc_port_liq Total Mortgage Portfolio Liquidations Table=1; col=3 2001/1
fhlmc_port_netch Total Mortgage Portfolio Net Increase/Decrease Table=1; col=4 2001/1
fhlmc_port_endbal Total Mortgage Portfolio Ending Balance Table=1; col=5 2001/1
fhlmc_port_ann_gr Total Mortgage Portfolio Annualized Growth Rate Table=1; col=6 2001/1
fhlmc_port_ann_liq Total Mortgage Portfolio Annualized Liquidation Rate Table=1; col=7 2001/1
fhlmc_mrip_pur Mortgage Related Investments Portfolio Purchases Table=2; col=1 2001/1
fhlmc_mrip_sales Mortgage Related Investments Portfolio Sales Table=2; col=2 2001/1
fhlmc_mrip_liq Mortgage Related Investments Portfolio Liquidations Table=2; col=3 2001/1
fhlmc_mrip_endbal Mortgage Related Investments Portfolio Ending Balance Table=2; col=4 2001/1
fhlmc_mrip_ann_gr Mortgage Related Investments Portfolio Annualized Growth Rate Table=2; col=5 2001/1
fhlmc_mrip_ann_liq Mortgage Related Investments Portfolio Annualized Liquidation Rate Table=2; col=6 2001/1
fhlmc_mripc_fhlmc Total Freddie Mac MRS Held in Portfolio Table=3; col=1 2003/1
fhlmc_mripc_xfhlmc Total non-Freddie Mac MRS Held in Portfolio Calc 2003/1
fhlmc_mripc_agency Total non-Freddie Mac Agency MRS Held in Portfolio Table=3; col=2 2003/1
fhlmc_mripc_xagency Total non-Agency & non-Freddie MRS Held in Portfolio Table=3; col=3 2003/1
fhlmc_mripc_mort_loans Total Mortgage Loans Held in Portfolio Table=3; col=4 2003/1
fhlmc_mrs_iss Mortgage Related Securities Issuances31 Table=4; col=1 2001/1
fhlmc_mrs_liq Mortgage Related Securities Liquidations Table=4; col=2 2001/1
fhlmc_mrs_endbal Mortgage Related Securities Ending Balance Table=4; col=3 2001/1
fhlmc_mrs_ann_gr Mortgage Related Securities Annualized Growth Rate Table=4; col=4 2001/1
fhlmc_mrs_ann_liq Mortgage Related Securities Annualized Liquidation Rate Table=4; col=5 2001/1

GNMA Monthly Issuance Summary

Identifier Definition & Notes Sources Start
gnma_gm1_sf_iss Ginnie Mae 1 Issuance: Single Family GNMA32 2008/12
gnma_gm1_mf_cl_iss Ginnie Mae 1 Issuance: Multi-Family CL/CS Pools GNMA 2008/12
gnma_gm1_mf_pl_iss Ginnie Mae 1 Issuance: Multi-Family PL Pools GNMA 2008/12
gnma_gm1_mf_rx_iss Ginnie Mae 1 Issuance: Multi-Family RX Pools GNMA 2008/12
gnma_gm1_mf_pn_iss Ginnie Mae 1 Issuance: Multi-Family PN Pools GNMA 2008/12
gnma_gm1_mf_ls_iss Ginnie Mae 1 Issuance: Multi-Family LS Pools GNMA 2008/12
gnma_gm1_mf_lm_iss Ginnie Mae 1 Issuance: Multi-Family LM Pools GNMA 2008/12
gnma_gm1_mf_iss Ginnie Mae 1 Issuance: Multi-Family Pools Total GNMA 2008/12
gnma_gm1_iss Ginnie Mae 1 Issuance: Single and Multi-Family Total GNMA 2008/12
gnma_gm2_sfmi_iss Ginnie Mae 2 Issuance: SF - Multiple Issuer GNMA 2008/12
gnma_gm2_sfc_iss Ginnie Mae 2 Issuance: SF - Custom GNMA 2008/12
gnma_gm2_armmi_iss Ginnie Mae 2 Issuance: ARM – Multiple Issuer GNMA 2008/12
gnma_gm2_armc_iss Ginnie Mae 2 Issuance: ARM - Custom GNMA 2008/12
gnma_gm2_fha_iss Ginnie Mae 2 Issuance: FHA Secure GNMA 2008/12
gnma_gm2_jumbo_iss Ginnie Mae 2 Issuance: Jumbo GNMA 2008/12
gnma_gm2_hmbs_iss Ginnie Mae 2 Issuance: HMBS GNMA 2008/12
gnma_gm2_iss Ginnie Mae 2 Issuance: Total GNMA 2008/12
gnma_total_iss Total Ginnie Mae I and II Issuance GNMA 2008/12

GNMA Monthly UPB Summary

Identifier Definition & Notes Sources Start
gnma_gm1_sf_out Ginnie Mae 1 UPB: Single Family GNMA33 2008/12
gnma_gm1_mf_cl_out Ginnie Mae 1 UPB: Multi-Family CL/CS Pools GNMA 2008/12
gnma_gm1_mf_pl_out Ginnie Mae 1 UPB: Multi-Family PL Pools GNMA 2008/12
gnma_gm1_mf_rx_out Ginnie Mae 1 UPB: Multi-Family RX Pools GNMA 2008/12
gnma_gm1_mf_pn_out Ginnie Mae 1 UPB: Multi-Family PN Pools GNMA 2008/12
gnma_gm1_mf_ls_out Ginnie Mae 1 UPB: Multi-Family LS Pools GNMA 2008/12
gnma_gm1_mf_lm_out Ginnie Mae 1 UPB: Multi-Family LM Pools GNMA 2008/12
gnma_gm1_mf_out Ginnie Mae 1 UPB: Multi-Family Pools Total GNMA 2008/12
gnma_gm1_out Ginnie Mae 1 UPB: Single and Multi-Family Total GNMA 2008/12
gnma_gm2_sfmi_out Ginnie Mae 2 UPB: SF - Multiple Issuer GNMA 2008/12
gnma_gm2_sfc_out Ginnie Mae 2 UPB: SF - Custom GNMA 2008/12
gnma_gm2_armmi_out Ginnie Mae 2 UPB: ARM – Multiple Issuer GNMA 2008/12
gnma_gm2_armc_out Ginnie Mae 2 UPB: ARM - Custom GNMA 2008/12
gnma_gm2_fha_out Ginnie Mae 2 UPB: FHA Secure GNMA 2008/12
gnma_gm2_jumbo_out Ginnie Mae 2 UPB: Jumbo GNMA 2008/12
gnma_gm2_hmbs_out Ginnie Mae 2 UPB: HMBS GNMA 2008/12
gnma_gm2_out Ginnie Mae 2 UPB: Total GNMA 2008/12
gnma_total_out Total Ginnie Mae I and II UPB GNMA 2008/12

FHA Insured Multifamily Mortgage Market

Identifier Definition & Notes Sources Start
fha_mf_gross_endorse_force FHA gross multifamily mortgage insurance in force HUD34 1935/1
fha_mf_prepay_rate weighted gross prepayment rate HUD 1935/1
fha_mf_debt_out Debt outstanding HUD 1935/1
fha_mf_cur_mort_rate_wtd Current mortgage rate weighted by mortgage balance HUD 1935/1
fha_mf_avg_mort_rate_out Mortgage rate on outstanding mortgages HUD 1935/1
fha_mf_units_gross_endors New endorsements of mortgages by unit count HUD 1935/1
fha_mf_total_mortgages_count Total number of FHA insured MF mortgages HUD 1935/1
fha_mf_iss_num Total number of FHA new issues HUD 1935/1
fha_mf_total_mortgages_count Total number of FHA insured MF mortgages HUD 1935/1
fha_mf_avgmat_wtd Average Maturity HUD 1935/1
fha_mf_avg_debt_per_unit Average new debt per new unit HUD 1935/1
fha_mf_total_units_in_force Total units insured HUD 1935/1

FNMA Multifamily Issuance

Identifier Definition & Notes Sources Start
fnma_mf_mortloan_pur FNMA Multifamily Loan Purchases FNMA35 2006/1
fnma_mf_dus_fixed_iss Fixed-Rate DUS issuance FNMA 2006/1
fnma_mf_dus_arm_iss DUS ARM issuance FNMA 2006/1
fnma_mf_nondus_iss Non-DUS Multifamily issuance FNMA 2006/1
fnma_mf_other_iss Other Multifamily issuance FNMA 2006/1
fnma_mf_mbs_iss Total Multifamily MBS issuance FNMA 2006/1
fnma_mf_total_pur_iss Sum of MBS Issuance and Loan Purchases FNMA 2006/1
fnma_mf_mbs_out FNMA Multifamily MBS outstanding FNMA 2006/1

Real Economic Data

Personal Income

Identifier Definition & Notes Sources Start
pi Personal Income, millions, SA, non-annualized, Interpolated NBER, FRED 1921/1
dpi Disposable Personal Income, millions, SA, non-annualized, Interpolated NBER, FRED 1921/1
dpi_x_tp Disposable income x transfer receipts, millions, SA, non-annualized, Interpolated NBER, FRED 1929/1
pi_x_tp Personal income x transfer receipts, millions, SA, non-annualized NBER, FRED 1929/1
pi_dividends Dividend Income, millions, SA, non-annualized NBER, FRED 1919/1
pi_interestincome Interest Income, millions, SA, non-annualized NBER, FRED 1929/1
pi_proprietorsinc Proprietors’ Income, millions, SA, non-annualized NBER, FRED 1929/1
pi_rentinc Rental Income, millions, SA, non-annualized, Interpolated NBER, FRED 1919/1

Labor Markets

Identifier Definition & Notes Sources Start
unempl Total Unemployment NBER, FRED, BLS 1930/1
empl Total Nonfarm Payroll Employment NBER, FRED 1900/1
empl_d12 12M change in Total Nonfarm Payroll Employment NBER, FRED 1900/1
finding_rate Job finding or Hiring rate NBER, BLS, FRED,JOLTS 1910/1
quit_rate Quit rate NBER, BLS, FRED, JOLTS 1912/1
epop Employment-to-population ratio BLS 1948/1
lfpr Labor force participation rate BLS 1948/1
urate Unemployment rate BLS, NBER 1929/4
epop_ss Flows Employment-to-population ratio BLS 1968/3
lfpr_ss Flows Labor force participation rate BLS 1968/3
u_ss Flows Unemployment rate BLS 1968/3
epop_gap Employment-to-population ratio gap, 9MMA BLS 1968/3
lfpr_gap Labor force participation rate gap, 9MMA BLS 1968/3
urate_gap Unemployment rate gap, 6MMA BLS 1968/3
ic Inital Claims for state unemployment insurance, monthly average NBER, FRED 1945/8
wages Average Hourly Private Earnings NBER, FRED 1910/1
v Nonfarm Job Openings NBER, SCB, FRED, JOLTS 1919/1
vu Nonfarm Job Openings-to-Unemployment ratio NBER, SCB, FRED, JOLTS 1930/1
ismempl ISM Employment index Institute for Supply Management 1948/1

Auto

Identifier Definition & Notes Sources Start
auto_credit Total Auto Credit NBER, FRED 1929/1
mv_sales Total Auto and Truck Sales, SA NBER, FRED 1913/1
passcar_sales Total Passenger Car Sales, SA, outlier - adj NBER, FRED 1913/1
truck_sales Total Truck Sales, SA NBER, FRED 1913/1
mv_prod Total Auto and Truck Sales, SA NBER, FRED 1913/1
truck_prod Total Truck Assemblies, SA NBER, FRED 1913/1
passcar_prod Total Passenger Car Assemblied, SA NBER, FRED 1913/1
passcar_price Passenger Car Price Index NBER, FRED 1913/1

Inflation

Identifier Definition & Notes Sources Start
cpi Consumer Price Index FRED:CPIAUCNS, M04051USM324NNBR 1900/1
cpi_food Consumer Price Index: Food FRED:CPIUFDNS, M04061USM350NNBR 1900/1
farmprod PPI for Farm Products FRED:WPU01, M04058USM350NNBR 1900/1
metal PPI for Metal and Metal Products FRED:WPU10, M0466AUSM336NNBR 1900/1
fuel PPI Fuels and Related Products & Power FRED:PPIENG, M04H5AUSM336NNBR 1900/1
steelironscrap PPI for Metals and Metal Products: Iron and Steel Scrap FRED:WPU1012, M0442DUS16980M288NNBR 1900/1
lumber PPI for Lumber and Wood Products: Lumber FRED:WPU081, M0464AUSM336NNBR 1913/1
textiles PPI for Textile Products and Apparel FRED:WPU03, M04H4AUSM336NNBR 1900/1
wpi Wholesale Commodities Price Index spliced with PPI All Commodities Warren, G.F. and F.A. Pearson (1933) provided by David S. Jacks and FRED: PPIACO 1900/1

Real Estate and Construction

Identifier Definition & Notes Sources Start
res_construct Total Residential Construction Dodge, Census 1915/1
construction Total Construction Dodge, Census 1900/1
nonres_construct Total Nonresidential Construction Dodge, Census 1915/1
highway_construct Total Highway Construction Dodge, Census 1939/1
public_construct Total Public Construction Dodge, Census 1939/1
priv_construct Total Private Construction Dodge, Census 1939/1
office_construct Total Office Construction Census 1972/1
home_auth_total New Privately-Owned Housing Units Authorized, but Not Started Census 1961/4
home_auth_oneunit New Privately-Owned Housing Units Authorized, but Not Started:1-Unit Structures Census 1968/1
home_auth_mf New Privately-Owned Housing Units Authorized, but Not Started: 5+ Unit Structures Census 1961/4
home_permit_total Permits Census 1961/4
home_permit_oneunit Permits:1-Unit Structures Census 1968/1
home_permit_mf Permits: 5+ Unit Structures Census 1961/4
home_starts_total New Privately-Owned Housing Units Starts Census 1939/1
home_starts_oneunit New Privately-Owned Housing Units Starts:1-Unit Structures Census 1940/1
home_starts_mf New Privately-Owned Housing Units Starts: 5+ Unit Structures Census 1961/4
home_comp_total New Privately-Owned Housing Units Completd Census 1961/4
home_comp_oneunit New Privately-Owned Housing Units Completd:1-Unit Structures Census 1968/1
home_comp_mf New Privately-Owned Housing Units Completd: 5+ Unit Structures Census 1961/4
home_undconst_total New Privately-Owned Housing Units Under Construction Census 1961/4
home_undconst_oneunit New Privately-Owned Housing Units Under Construction:1-Unit Structures Census 1968/1
home_undconst_mf New Privately-Owned Housing Units Under Construction: 5+ Unit Structures Census 1961/4
home_sales_new_oneunit New Home Sales Census 1961/4
home_forsale_inv_new New Homes For Sale Census 1968/1
home_new_months_supply Months’ Supply of New Homes Census 1961/4
home_new_sales_avg_price Average Price of New Home Sale Census 1961/4
home_new_sales_median_price Median Price of New Home Sale Census 1961/4
home_sales_new_dollarvol Dollar volume of new home sales Census 1968/1
hpi Case/Shiller Home Price Index Robert Shiller 1900/1
hpi_cons_f Construction Cost Index (exc land) Fisher Deflator Census36 1964/1
hpi_cons_inc_land Construction Cost Index (inc land) Census37 1963/3
exp_hpi_ret Expected Home Price Return Indicator Constructed 1975/1

Commodities

Energy

Identifier Definition & Notes Sources Start
refining_cu_sa U.S. Percent Utilization of Refinery Operable Capacity, SA SCB, EIA 1926/5
refining_cu_nsa U.S. Percent Utilization of Refinery Operable Capacity, NSA SCB, EIA 1926/5
energy_exp Energy exports spliced with Mineral Fuels & Lubricants Exports (Domestic Exports HTS2, FAS) EIA: TOTAL.TEEXVUS.M, SCB 1951/1
energy_imp Energy imports spliced with Mineral Fuels & Lubricants Imports EIA: TOTAL.TEIMVUS.M, SCB, Imports For Consumption HTS2, 27, Customs Value 1965/1
petrol_imp Crude oil and Petroleum Products imports in millions of dollars, SITC3 EIA, SCB, Census 1938/1
petrol_exp Crude oil and Petroleum Products exports in millions of dollars, SITC3 EIA, SCB, Census 1938/1
gas_stations Advance Retail Sales: Gasoline Stations, SA FRED:RSGASS, SCB, Census 1938/1
gas_stocks Stocks of Finished Motor Gasoline, thousands of barrels EIA: MGFSTUS1, SCB, FRED: M05F4AUSM387NNBR 1917/7
gas_exp Exports of Finished Motor Gasoline, thousands of barrels EIA: PET_W_EPM0F_EEX_NUS_Z00_MBBLD_W, SCB 1923/1
gas_imp Imports of Finished Motor Gasoline, thousands of barrels EIA: PET_W_EPM0F_IM0_NUS_Z00_MBBLD_W 1945/1
gas_prod U.S. Refinery and Blender Net Production of Finished Motor Gasoline (Thousand Barrels) EIA:MGFRPUS1, SCB, FRED:M01126USM387NNBR 1917/1
gas_cons Domestic Consumption of Finished Motor Gasoline EIA, SCB, FRED: M0127BUSM386NNBR 1917/8
gas_refinary U.S. Total Gasoline Wholesale/Resale Price by Refiners EIA: PET_EMA_EPM0_PWG_NUS_DPG_M, SCB, FRED 1918/1
gas_ny_spot New York Harbor Conventional Gasoline Regular Spot Price FOB EIA: PET_EER_EPMRU_PF4_Y35NY_DPG_W, SCB 1914/1
gas_retail U.S. All Grades All Formulations Retail Gasoline Price EIA: PET_EMM_EPM0_PTE_NUS_DPG_W, SCB 1924/1
crude_prod Crude Oil Domestic Field production EIA: PET_WCRFPUS2_W, SCB 1920/1
crude_exp U.S. Exports of Crude Oil EIA: PET_WCREXUS2_W, SCB 1920/1
crude_imp U.S. Imports of Crude Oil EIA: PET_WCRIMUS2_W, SCB 1920/1
crude_cons Domestic Consumption of Crude Oil EIA, SCB 1920/1
crude_cons_sa Domestic Consumption of Crude Oil, SA EIA, SCB 1920/1
crude_stocks U.S. Ending Stocks of Crude Petroleum Oil EIA, SCB 1918/1
crude_exp_val Crude Petroleum export value EIA 1920/1
crude_imp_val Crude Petroleum import value EIA 1920/1
crude_prod_val U.S. Crude Oil field production value EIA 1920/1
crude_price Pennsylvania/Kansas/Oklahoma Oil prices spliced with WTI/ Brent spot price NBER, FRED, SCB, EIA: DCOILBRENTEU 1900/1
crude_prod_gdp U.S. Crude Oil field production-to-GDP NBER, EIA 1920/1
crude_nx_gdp Crude Petroleum trade balance-to-GDP NBER, EIA 1920/1
nx_x_crude_gdp NonPetroleum trade balance-to-GDP NBER, EIA 1920/1
nx_x_crude NonPetroleum trade balance NBER, EIA 1920/1
crude_nx Crude Petroleum trade balance EIA 1920/1
residual_cons Domestic Consumption of Residual Fuel Oil EIA, SCB 1938/1
residual_imp U.S. Imports of Residual Fuel Oil EIA: PET_WREIMUS2_W, SCB 1936/1
residual_exp U.S. Exports of Residual Fuel Oil EIA: PET_WREEXUS2_W, SCB 1936/1
residual_price U.S. Residual Fuel Oil Wholesale/Resale Price by Refiners EIA: PET_EMA_EPPR_PWG_NUS_DPG_M, SCB 1923/1
residual_prod U.S. Refiner and Blender Net Production of Residual Fuel Oil EIA: PET_WRERPUS2_W, SCB 1932/1
residual_stocks U.S. Ending Stocks of Residual Fuel Oil EIA: PET_WRESTUS1_W, SCB 1936/1
distillate_cons Domestic Consumption of Distillate Fuel Oil EIA, SCB 1938/1
distillate_imp U.S. Imports of Distillate Fuel Oil EIA: PET_WDIIMUS2_W, SCB 1945/1
distillate_exp U.S. Exports of Distillate Fuel Oil EIA: PET_WDIEXUS2_W, SCB 1938/1
distillate_price New York Harbor Ultra-Low Sulfur No 2 Diesel Spot Price EIA: PET_EER_EPD2DXL0_PF4_Y35NY_DPG_D, SCB 1923/1
distillate_prod U.S. Refiner and Blender Net Production of Distillate Fuel Oil EIA: PET_WDIRPUS2_W, SCB 1932/1
distillate_stocks U.S. Ending Stocks of Distillate Fuel Oil EIA: PET_WDISTUS1_W, SCB 1932/1
fuel_cons Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline Consumption, thousands of barrels EIA, SCB 1938/1
fuel_exp Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline exports, thousands of barrels EIA, SCB 1938/1
fuel_imp Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline imports, thousands of barrels EIA, SCB 1945/1
fuel_prod Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline production, thousands of barrels EIA, SCB 1932/1
fuel_stocks Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline stocks, thousands of barrels EIA, SCB 1936/1

Coal

Identifier Definition & Notes Sources Start
coal_cons Coal consumption, thousands of short-tons EIA, SCB 1923/1
coal_exp Coal exports, thousands of short-tons EIA, SCB 1923/1
coal_imp Coal imports, thousands of short-tons EIA, SCB 1973/1
coal_prod Coal production, thousands of short-tons EIA, SCB 1905/1
coal_stocks Coal stocks, thousands of short-tons EIA, SCB 1923/1
coal_price Coal Price EIA, SCB 1906/1

Metal

Identifier Definition & Notes Sources Start
copper_price Copper Futures, Continuous Contract #1 (HG1) (Front Month) Quandl: CHRIS/CME_HG1, NBER, FRED 1900/1
copper_imp Copper Imports in millions of dollars,Imports For Consumption Customs Value SITC3 #682 SCB, Census 1923/1
copper_exp Copper and Copper Products Exports in millions of dollars, Domestic Exports FAS HTS2 #74 SCB, Census 1923/1
alum_imp Aluminum Imports in millions of dollars,Imports For Consumption Customs Value SITC3 #684 SCB, Census 1955/1
alum_exp Aluminum Exports in millions of dollars,Domestic Exports FAS SITC3 SCB, Census 1971/1
steel_imp Steel and Iron Imports in millions of dollars, Imports for Consumption CIF HTS2 SCB, Census 1923/1
steel_exp Steel and Iron Exports in millions of dollars, Domestic Exports HTS2 #72 SCB, Census38 1923/1

Agriculture & Meat

Identifier Definition & Notes Sources Start
wheat_price wheat prices NBER, FRED 1900/1
agg_exp Agricultural Exports NBER, USDA39 1914/7
agg_imp Agricultural Imports NBER, USDA 1938/1
beef_veal_prod Beef and Veal Production, Thousands of lbs NBER, SCB, USDA 1921/1
pork_prod Pork production, Thousands of lbs NBER, SCB, USDA 1921/1
beef_prod Beef Production, Thousands of lbs NBER, SCB, USDA 1921/1
meat_prod Red-meat Production, Thousands of lbs NBER, SCB, USDA 1921/1
lamb_prod Lamb Production, Thousands of lbs NBER, SCB, USDA 1921/1
veal_prod Veal Production, Thousands of lbs NBER, SCB, USDA 1921/1
beef_veal_stocks Beef and Veal Stocks, Thousands of lbs NBER, SCB, USDA 1915/12
pork_stocks Pork Stocks, Thousands of lbs NBER, SCB, USDA 1916/1
beef_stocks Beef Stocks, Thousands of lbs NBER, SCB, USDA 1915/12
meat_stocks Red-meat Stocks, Thousands of lbs NBER, SCB, USDA 1917/1
lamb_stocks Lamb Stocks, Thousands of lbs NBER, SCB, USDA 1917/1
veal_stocks Veal Stocks, Thousands of lbs NBER, SCB, USDA 1944/6
beef_veal_imp Beef and Veal Imports, Thousands of lbs NBER, SCB, USDA 1929/1
pork_imp Pork Imports, Thousands of lbs NBER, SCB, USDA 1929/1
meat_imp Red-meat Imports, Thousands of lbs NBER, SCB, USDA 1929/1
beef_veal_exp Beef and Veal Exports, Thousands of lbs NBER, SCB, USDA 1913/1
pork_exp Pork Exports, Thousands of lbs NBER, SCB, USDA 1913/1
meat_exp Red-meat Exports, Thousands of lbs NBER, SCB, USDA 1913/1
beef_veal_cons Beef and Veal Consumption, Thousands of lbs NBER, SCB, USDA 1916/1
pork_cons Pork Consumption, Thousands of lbs NBER, SCB, USDA 1916/1
meat_cons Red-meat Consumption, Thousands of lbs NBER, SCB, USDA 1916/1
meat_price Red-meat Price Index NBER, SCB, USDA 1913/1

Trade and International Database

Net Exports

For most series as related to services, annual data is interpolated from 1929-1960; quarterly data is interpolated from 1960-1991; monthly data used thereafter.

Identifier Definition & Notes Sources Start
noncmd_nx Goods Trade Balance excluding Energy, Agricultural goods, copper, steel and iron and aluminum EIA; USDA; SCB; Census 1971/1
cmd_nx Trade balance in Energy, Agricultural goods, copper, steel and iron and aluminum EIA; USDA; SCB; Census 1971/1
nx_goods Goods Trade Balance NBER; Census 1901/1
nx_serv Services Trade Balance NBER; Census; FRED:Q07053USQ027NNBR, NETEXP, BOPGSTB; Council of Economic Advisors40 1929/1
nx_goods_gdp Goods Trade Balance to GDP NBER; Census 1901/1
nx_serv_gdp Services Trade Balance to GDP NBER; Census; Council of Economic Advisors 1929/12
goods_imp Goods Imports NBER; FRED:M07028USM144NNBR, XTIMVA01USM664N, VALIMPUSM052N, IMP0015 1901/1
goods_exp Goods Exports NBER; FRED:M07023USM144NNBR, XTEXVA01USM664N, VALEXPUSM052N, EXP0015 1901/1
serv_imp Service Imports NBER; Census; FRED:BOPMSV,BOPSIMP; Council of Economic Advisors 1929/12
serv_exp Service Exports NBER; Census; FRED:BOPXSV,BOPSEXP; Council of Economic Advisors 1929/12
nx_to_gdp Net exports of goods and services to GDP NBER; SCB; Census; Council of Economic Advisors 1929/12
nx Net exports of goods and services; Annual data is interpolated from 1929-1938; quarterly data is interpolated from 1939-1991; monthly data used thereafter. NBER; SCB; Census; FRED: BOPGSTB; Council of Economic Advisors 1929/12

Foreign Purchases and Sales

Identifier Definition & Notes Sources Start
st_liabs_to_for Short-term liabilities of U.S. residents held by foreigners TIC: bltype_history 1929/5
tbill_for_total Foreign Holdings of Tbills TIC: bltype_history 1950/1
tbill_foi_total Foreign Official Holdings of Tbills TIC: bltype_history 1961/1
tbill_priv_total Private Foreign Holdings of Tbills TIC: bltype_history 1961/1
tbill_net Foreign Net purchases of Tbills TIC: bltype_history 1950/2
tbill_foi_net Foreign Official Net purchases of Tbills TIC: bltype_history 1961/2
tbill_priv_net Foreign Private Net purchases of Tbills TIC: bltype_history 1961/2
total_net_frn Net purchases of US and Foreign LT secs TIC: s1_99996 1935/1
total_net_bond Net purchases of US and Foreign Bonds TIC: s1_99996 1943/1
total_net_stock Net purchases of US and Foreign Stocks TIC: s1_99996 1943/1
dom_ltsecs_pur Gross purchases of US LT secs TIC: s1_99996 1936/2
dom_ltsecs_sales Gross sales of US LT secs TIC: s1_99996 1936/2
dom_ltsecs_net Net purchases of US LT secs TIC: s1_99996 1935/1
corp_agency_bond_pur Gross purchases of US Corp and Agency Bonds TIC: s1_99996 1950/1
corp_agency_bond_sales Gross sales of US Corp and Agency Bonds TIC: s1_99996 1950/1
corp_agency_bond_net Net purchases of US Corp and Agency Bonds TIC: s1_99996 1950/1
corp_bond_pur Gross purchases of US Corp Bonds TIC: s1_99996 1977/1
corp_bond_sales Gross sales of US Corp Bonds TIC: s1_99996 1977/1
agency_gross_pur Gross purchases of Agency Bonds TIC: s1_99996 1977/1
agency_gross_sales Gross sales of Agency Bonds TIC: s1_99996 1977/1
frn_ltsecs_pur Gross purchases of Foreign LT secs TIC: s1_99996 1942/1
frn_ltsecs_sales Gross sales of Foreign LT secs TIC: s1_99996 1942/1
frn_ltsecs_net Net purchases of Foreign LT secs TIC: s1_99996 1935/1
dom_stocks_pur Gross purchases of US Equities TIC: s1_99996 1942/1
dom_stocks_sales Gross sales of US Equities TIC: s1_99996 1942/1
dom_stocks_net Net purchases of US Equities TIC: s1_99996 1942/1
dom_bonds_pur Gross purchases of US Bonds TIC: s1_99996 1942/1
dom_bonds_sales Gross sales of US Bonds TIC: s1_99996 1942/1
dom_bonds_net Net purchases of US Bonds TIC: s1_99996 1942/1
frn_bonds_pur Gross purchases of Foreign Bonds TIC: s1_99996 1943/1
frn_bonds_sales Gross sales of Foreign Bonds TIC: s1_99996 1943/1
frn_stocks_pur Gross purchases of Foreign Stocks TIC: s1_99996 1943/1
frn_stocks_sales Gross sales of Foreign Stocks TIC: s1_99996 1943/1
ust_sales Gross sales of UST Notes and Bonds TIC: s1_99996 1950/1
ust_pur Gross purchases of UST Notes and Bonds TIC: s1_99996 1950/1
ust_net Net purchases of UST Notes and Bonds TIC: s1_99996 1950/1
ust_foi_net Net purchases by Foreign Official Institutions of US Notes and Bonds TIC: s1_99996 1963/5
ust_other_frners_net Net purchases of UST Notes and Bonds by Private TIC: s1_99996 1963/5
ust_iro_net Net purchases of UST Notes and Bonds by International and Regional Organizations TIC: s1_99996 1962/11

Bilateral Trade

The trade database consists of bilateral trade flows with the United States.41 "_imp" denotes U.S. imports from that country; "_exp" denotes U.S. exports to that country.

Identifier Region Sources Start
africa_imp Africa SCB, FT990, FRED42 1920/1
asia_imp Asia SCB, FT990, FRED:IMP0016 1959/1
asia_and_oceania_imp Asia and Oceania SCB, FT990, FRED 1920/1
australia_and_oceania_imp Australia and Oceania SCB, FT990, FRED:IMP0018 1959/1
aud_imp Australia SCB, FT990, FRED:IMP6021 1938/1
europe_imp Europe SCB, FT990, FRED43 1920/1
north_america_imp North America SCB, FT990, FRED:IMP0010 1923/1
central_and_south_america_imp Central and South America SCB, FT990, FRED:IMP0009 1923/1
can_imp Canada SCB, FT990, FRED:IMPCA 1920/1
mex_imp Mexico SCB, FT990, FRED:IMPMX 1923/1
south_america_imp South America SCB, FT990, FRED44 1920/1
egy_imp Egypt SCB, FT990, FRED:IMP7290 1938/1
zar_imp South Africa SCB, FT990, FRED:IMP7910 1938/1
sgp_imp Singapore SCB, FT990, FRED:IMP5590 1959/1
chn_imp China SCB, FT990, FRED:IMPCH 1938/1
ind_imp India SCB, FT990, FRED:IMP5330 1938/1
pak_imp Pakistan SCB, FT990, FRED:IMP5350 1959/1
mal_imp Malaysia SCB, FT990, FRED:IMP5570 1947/1
idn_imp Indonesia SCB, FT990, FRED:IMP5600 1938/1
php_imp Philippines SCB, FT990, FRED:IMP5650 1938/1
jpn_imp Japan SCB, FT990, FRED:IMPJP 1920/1
fra_imp France SCB, FT990, FRED:IMPFR 1920/1
ger_imp Germany SCB, FT990, FRED:IMPGE 1920/1
ita_imp Italy SCB, FT990, FRED:IMP4759 1920/1
rus_imp USSR/Russia SCB, FT990, FRED:IMP4621 1938/1
gbr_imp United Kingdom SCB, FT990, FRED:IMPUK 1920/1
arg_imp Argentina SCB, FT990, FRED:IMP3570 1920/1
bra_imp Brazil SCB, FT990, FRED:IMP3510 1923/1
chl_imp Chile SCB, FT990, FRED:IMP3370 1923/1
col_imp Colombia SCB, FT990, FRED:IMP3010 1941/1
ven_imp Venezuela SCB, FT990, FRED:IMP3070 1941/1

Real U.S. Exchange Rate Pairs

Identifier Definition & Notes Sources Start
arg_real Argentina BMS, RR, BIS, FED 1920/1
aud_real Australia BMS, RR, BIS, FED 1920/1
bra_real Brazil BMS, RR, BIS, FED 1920/1
cad_real Canada BMS, RR, BIS, FED 1920/1
che_real Swiss Franc BMS, RR, BIS, FED, SNB45 1920/1
chl_real Chile BMS, RR, BIS, FED 1920/1
chn_real China Franc BMS, RR, BIS, FED 1920/1
esp_real Spain BMS, RR, BIS, FED, NBER 1920/1
fra_real France BMS, RR, BIS, FED, NBER 1920/1
gbp_real U.K. BMS, RR, BIS, FED, BOE 1920/1
ger_real Germany BMS, RR, BIS, FED, NBER 1920/1
ind_real India BMS, RR, BIS, FED 1920/1
ita_real Italy BMS, RR, BIS, FED 1920/1
jpn_real Japan BMS, RR, BIS, FED 1920/1
mex_real Mexico BMS, RR, BIS, FED 1920/1
nor_real Norway BMS, RR, BIS, FED 1920/1
nzl_real New Zealand BMS, RR, BIS, FED 1920/1
prt_real Portugal BMS, RR, BIS, FED 1920/1
swe_real Sweden Volume I: Exchange Rates, Prices, and Wages, 1277-200846, BIS, FED 1900/1
usa_real United States BMS, RR, BIS, FED 1920/1
zaf_real South Africa BMS, RR, BIS, FED 1920/1
real_fx U.S. Real Trade-weighted exchange rate BMS, RR, FED, BIS 1920/1
eurusd_real Real EUR/USD effective exchange rate BMS, RR, BIS, FED 1920/1

Long-term Bond Yields

Identifier Definition & Notes Sources Start
aus_by Australia IMF, Yale, JST 1869/1
bel_by Belgium IMF, Yale, JST 1869/1
can_by Canada IMF, Yale, Canada Stats 1869/1
dnk_by Denmark IMF, Yale, JST 1869/1
fra_by France IMF, Yale, JST, NBER 1869/1
gbr_by U.K. IMF, Yale, BOE47 1869/1
deu_by Germany IMF, Yale, JST 1869/1
ita_by Italy IMF, Yale, JST 1869/1
jpn_by Japan IMF, Yale, JST 1869/1
nld_by Netherlands IMF, Yale, JST 1869/1
nor_by Norway IMF, Yale, JST 1869/1
nzl_by New Zealand IMF, Yale, JST 1869/1
prt_by Portugal IMF, Yale, JST 1869/1
swe_by Sweden IMF, Yale, Central Bank 1869/1
usa_by United States IMF, Yale, JST 1869/1
zaf_by South Africa IMF, Yale, JST 1869/1

Global Consumer Price Indexes

Identifier Definition & Notes Sources Start
arg_cpi Argentina CFS48,RR, BIS 1920/1
aus_cpi Australia CFS,RR, BIS 1920/1
bra_cpi Brazil CFS,RR, BIS 1920/1
can_cpi Canada CFS,RR, BIS 1920/1
che_cpi Swiss Franc CFS,RR, BIS, SNB49 1920/1
chl_cpi Chile CFS,RR, BIS 1920/1
chn_cpi China Franc CFS,RR, BIS 1920/1
esp_cpi Spain CFS,RR, BIS, NBER 1920/1
fra_cpi France CFS,RR, BIS, NBER 1920/1
gbr_cpi U.K. RR, BIS, BOE50 1920/1
ger_cpi Germany CFS,RR, BIS, NBER 1920/1
ind_cpi India CFS,RR, BIS 1920/1
ita_cpi Italy CFS,RR, BIS 1920/1
jpn_cpi Japan CFS,RR, BIS 1920/1
mex_cpi Mexico CFS,RR, BIS 1920/1
nor_cpi Norway CFS,RR, BIS 1920/1
nzl_cpi New Zealand CFS,RR, BIS 1920/1
por_cpi Portugal CFS,RR, BIS 1929/3
swe_cpi Sweden Volume I: Exchange Rates, Prices, and Wages, 1277-200851, BIS 1900/1
saf_cpi South Africa CFS,RR, BIS 1920/1

Demographic and Vitality

Identifier Definition & Notes Sources Start
households Number of Households Census, FRED:TTLHHM156N 1955/4
pop Population Census 1900/1

Other Series

Identifier Definition & Notes Sources Start
epu Economic Policy Uncertainty Baker, Bloom,and Davis 1900/1
ngdpm Nominal GDP interpolated monthly and extended with NY Fed GDP tracker, in millions divided by 12 Gordon and Balke (1986)52 BEA, NY Fed 1900/1
rgdpm_d1 Real GDP growth, monthly annualized rate The Brave-Butters-Kelley Indexes (BBKI)53 1960/1
mzmsl MZM Money Stock, Billions, SA Federal Reserve Bank of St. Louis 1959/1
taungdppercapita Trend Nominal GDP per capita Capital Markets Data 1957/12
taucorecpi Trend core CPI Cieslak and Povala (2011) 1967/1
infexpst Short-term inflation expectations - expectations of 1yr or less, interpolated UMICH, Greenbook, SPF 1967/3
infexplt Long-term inflation expectations - an average of 1yr ahead or greater inflation expectations. Lots of interpolation. UMICH, Greenbook, SPF, Livingston Survey 1946/12
ismprices ISM Price index Institute for Supply Management 1948/1
ismnoinv ISM New Orders index divided by Inventories index Institute for Supply Management 1948/1
ism ISM Manufacturing index Institute for Supply Management 1948/1
coreinffactor Core inflation factor Gospodinov,N. and Ng, S., (2013) 1968/1
gz_spread Corporate Bond Spread Gilchrist, Simon, and Egon Zakrajšek. 2012 1973/1
ebp excess bond premium Gilchrist, Simon, and Egon Zakrajšek. 2012 1973/1
onset_sad Monthly Onset (Seasonal Depression) Jan Kamenta’s website 1900/1
cp Commercial Paper Outstanding FRMB 1919/1
cons_credit Total Consumer Credit NBER, FRED 1929/1
rsales Nominal Retail Sales NBER, FRED 1914/7
bsales Nominal Manufacturing and Trade Sales NBER, FRED, SCB 1939/1
sp_rsales Stock Price to Retail Sales Ratio NBER, FRED, Shiller 1914/7
sp_bsales Stock Price to Business Sales Ratio NBER, FRED, Shiller 1939/1
mergeacquis Number of Mergers and Acquisitions - monthly average Institute of Mergers, Acquisitions and Alliances (IMAA)54, FTC55 1900/1
mergeacquis_val Dollar value of U.S. Mergers and Acquisitions - monthly average Institute of Mergers, Acquisitions and Alliances (IMAA)56 1988/1
tsy_oil_exp Treasury holdings of Oil Exporters calculated 1974/12

References

Cecchetti, Stephen G. “The case of the negative nominal interest rates: new estimates of the term structure of interest rates during the Great Depression.” Journal of Political Economy 96, no. 6 (1988): 1111-1141.

Cieslak, Anna, and Pavol Povala. “Expected returns in Treasury bonds.” The Review of Financial Studies 28.10 (2015): 2859-2901.

Gilchrist, Simon, and Egon Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” American Economic Review 102 (4): 1692-1720.

George Hall, Jonathan Payne, and Thomas J Sargent. United States Bond Data. 2018. URL https://github.com/jepayne/US-Federal-Debt-Public.

Gospodinov, N. and Ng, S., 2013. Commodity prices, convenience yields, and inflation. Review of Economics and Statistics, 95(1), pp.206-219.

Kamstra, M.J., Kramer, L.A. and Levi, M.D., 2014. Seasonal variation in Treasury returns.

McCracken, M.W. and Ng, S., 2016. FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics, 34(4), pp.574-589.

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  1. :https://www.treasurydirect.gov/govt/reports/pd/mspd/mspd.htm↩

  2. :https://www.federalreserve.gov/data/corpsecure/current.htm↩

  3. :https://www.fanniemae.com/portal/funding-the-market/debt/reports/index.html↩

  4. :http://www.freddiemac.com/debt/data/cgi-bin/debtissuancebymonth.cgi?order=TD&year=2020&curr=↩

  5. :https://www.federalreserve.gov/data/govsecure/current.htm↩

  6. :https://www.federalreserve.gov/releases/efa/efa-project-equity-issuance-retirement.htm↩

  7. :https://www.cmalert.com↩

  8. :https://www.abalert.com↩

  9. :https://home.treasury.gov/data/investor-class-auction-allotments↩

  10. :http://www.freddiemac.com/debt/securities-data/↩

  11. :https://github.com/jepayne/US-Federal-Debt-Public↩

  12. :https://www.dallasfed.org/~/media/documents/research/govdebt.xlsx↩

  13. : Homer, S. and Sylla, R.E., 1996. A history of interest rates. Rutgers University Press.↩

  14. :https://www.nber.org/chapters/c1211.pdf ↩

  15. :https://home.treasury.gov/data/treasury-coupon-issues-and-corporate-bond-yield-curves/treasury-coupon-issues↩

  16. :https://home.treasury.gov/data/treasury-coupon-issues-and-corporate-bond-yield-curves/treasury-coupon-issues↩

  17. :https://www.nber.org/papers/w2472.pdf↩

  18. :https://www.nber.org/papers/w2341.pdf↩

  19. :https://www.federalreserve.gov/data/nominal-yield-curve.htm↩

  20. :https://www.nber.org/chapters/c3184.pdf and https://www.nber.org/chapters/c3180.pdf↩

  21. :https://catalog.archives.gov/search?q=:&f.parentNaId=624419&f.level=fileUnit&sort=naIdSort%20asc&rows=100&offset=100↩

  22. :https://www.federalreserve.gov/publications/files/HMDA_data_94-16.CSV↩

  23. :https://www.consumerfinance.gov/documents/6492/bcfp_hmda_2017-mortgage-market-activity-trends_tables.xlsx↩

  24. :https://www.consumerfinance.gov/data-research/consumer-credit-trends/mortgages/origination-activity/↩

  25. :https://www.hud.gov/program_offices/housing/hsgrroom/fhaprodrpt↩

  26. :https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_issuance_reports.aspx↩

  27. :http://www.freddiemac.com/investors/financials/monthly-volume-summaries.html↩

  28. :https://www.ginniemae.gov/data_and_reports/reporting/Pages/global_market_analysis.aspx↩

  29. :http://www.fanniemae.com/portal/about-fm/investor-relations/monthly-summary.html↩

  30. :“No idea” where the Federal Reserve Bulletin numbers came from↩

  31. :FHLMC Mortgage “sales” - this is how it is labelled in the Federal Reserve Monthly Bulletin, However the number used in that publication corresponds to issuance. From the Monthly Volume Summary: “Issuances. Consists of: (a) guaranteed securities issued by Freddie Mac where the underlying collateral are mortgage loans or mortgage-backed securities; and (b) Other mortgage-related guarantees include tax-exempt multifamily housing revenue bonds, HFA bonds, and credit-related commitments with respect to single-family mortgage loans.”↩

  32. :https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_issuance_reports.aspx↩

  33. :https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_rpb_reports.aspx↩

  34. :https://www.hud.gov/program_offices/housing/comp/rpts/mfh/mf_f47t and https://www.hud.gov/program_offices/housing/comp/rpts/mfh/mf_f47↩

  35. :https://www.fanniemae.com/resources/file/mbs/xls/fannie-mae-multifamily-monthly-issuances-report.xlsx↩

  36. :https://www.census.gov/construction/nrs/xls/price_uc_cust.xls↩

  37. :https://www.census.gov/construction/nrs/xls/price_sold_cust.xls↩

  38. :https://dataweb.usitc.gov↩

  39. :https://www.ers.usda.gov/data-products/foreign-agricultural-trade-of-the-united-states-fatus/us-agricultural-trade-data-update/↩

  40. : Council of Economic Advisers (U.S.) , United States. Congress. Joint Economic Committee, 1956- and United States. Office of Federal Statistical Policy and Standards. “U.S. Exports and Imports of Goods and Services,” in Council of Economic Advisers (U.S.) , United States. Congress. Joint Economic Committee, 1956- and United States. Office of Federal Statistical Policy and Standards. “1962,” Supplement to Economic Indicators (1962) : 89-93. https://fraser.stlouisfed.org/title/177/item/5399/toc/129470, accessed on August 2, 2020.↩

  41. : See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3245138 for more information about data coverage and definitions↩

  42. : see https://research.stlouisfed.org/pdl/1028 for the list of codes for African nations↩

  43. : see https://research.stlouisfed.org/pdl/1029 for the list of codes for European nations↩

  44. : see https://research.stlouisfed.org/pdl/1193 for the list of codes for South America↩

  45. :https://www.snb.ch/en/iabout/stat/statrep/statpubdis/id/statpub_histz_arch#t2↩

  46. :https://www.riksbank.se/globalassets/media/forskning/monetar-statistik/volym1/7.pdf↩

  47. :https://www.bankofengland.co.uk/-/media/boe/files/statistics/research-datasets/a-millennium-of-macroeconomic-data-for-the-uk.xlsx?la=en&hash=73ABBFB603A709FEEB1FD349B1C61F11527F1DE4↩

  48. :http://www.centerforfinancialstability.org/hfs.php↩

  49. :https://www.snb.ch/en/iabout/stat/statrep/statpubdis/id/statpub_histz_arch#t2↩

  50. :https://www.bankofengland.co.uk/-/media/boe/files/statistics/research-datasets/a-millennium-of-macroeconomic-data-for-the-uk.xlsx?la=en&hash=73ABBFB603A709FEEB1FD349B1C61F11527F1DE4↩

  51. :https://www.riksbank.se/globalassets/media/forskning/monetar-statistik/volym1/7.pdf↩

  52. :https://www.nber.org/data/abc/↩

  53. :https://www.chicagofed.org/publications/bbki/index↩

  54. :https://imaa-institute.org/m-and-a-us-united-states/↩

  55. :https://www.ftc.gov/policy/reports/policy-reports/annual-competition-reports↩

  56. :https://imaa-institute.org/m-and-a-us-united-states/↩