FredMDQD

FredMDQD simplifies the process of working with Fred MD or Fred QD data.

Fred MD and Fred QD are curated sets of monthly and quarterly indicators by Michael W. McCracken at the Federal Reserve Bank of St. Louis. Fred MD comprises 126 monthly indicators, while Fred QD consists of 245 quarterly indicators.Observations start in January 1959 for Fred MD and in Q1 1959 for Fred QD.

FredMDQD offers straightforward methods to load Fred MD/QD data. The simplest approach loads the most recent version of either dataset.

using FredMDQD
using DataFrames

fmd = FredMD()  # Loads most recent version of Fred MD
fqd = FredQD()  # Loads most recent version of Fred QD

The returned objects contain:

• original::DataFrame: Untouched Fred MD/QD data.
• transformed::DataFrame: Data transformed according to McCracken's recommended stationarity adjustments.
• tcodes::Vector{Int}: Transformation codes for each variable except the date. More information on transformation codes can be found using @doc FredMDQD.fred_transform

For loading specific vintage data, provide a date as an argument:

using Dates

d = Date("2022/03", dateformat"yyyy/mm")
fmd = FredMD(d)
fqd = FredQD(d)

Manual downloads of Fred MD/QD data can be loaded using file paths:

path_md = "path to manual download of Fred MD"
path_qd = "path to manual download of Fred QD"
fmd = FredMD(path_md)
fqd = FredQD(path_qd)

Fred MD/QD use abbreviations for variables that are not always intuitive. To find the meaning behind an abbreviation, or to find an abbreviation corresponding to a specific indicator, the seach_appendix function can be used. search_appendix searches through the Fred MD/QD appendices to find a specific search term. For example, Fred MD includes the indicator 'DPCERA3M086SBEA'. To find the meaning behind this indicator, run

search_appendix(:MD, "DPCERA3M086SBEA")

This returns a DataFrame of search results matching the search criteria. The indicator 'DPCERA3M086SBEA' corresponds to "Real personal consumption expenditures".

Similarly, to find an indicator in Fred QD corresponding to house prices, search for 'house' to see if any such indicators exist.

search_appendix(:QD, "house")

The search results indicate that Fred QD includes USSTHPI corresponding to "All-Transactions House Price Index for the United States (Index 1980 Q1=100)".

For additional details, visit the official Fred MD/QD website.