18 datasets found
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Federal
A New Index to Measure U.S. Financial Conditions
Board of Governors of the Federal Reserve System —
An index that can be used to gauge broad financial conditions and assess how these conditions are related to future economic growth. The index is broadly consistent... -
Federal
Updating the Recession Risk and the Excess Bond Premium
Board of Governors of the Federal Reserve System —
The excess bond premium (EBP) is a measure of investor sentiment or risk appetite in the corporate bond market. A credit spread index can be decomposed into two... -
Federal
Indicative Forward-Looking SOFR Term Rates
Board of Governors of the Federal Reserve System —
This dataset includes indicative forward-looking term rates derived from end-of-day SOFR futures prices. It also includes compound averages of daily SOFR rates. In... -
Federal
Open Source Cross-Sectional Asset Pricing
Board of Governors of the Federal Reserve System —
These data and code successfully reproduce nearly all cross-sectional stock return predictors. The 319 characteristics draw from previous meta-studies, but authors... -
Federal
A Unified Measure of Fed Monetary Policy Shocks
Board of Governors of the Federal Reserve System —
A measure of Fed monetary policy shocks, as estimated in 'A Unified Measure of Fed Monetary Policy Shocks' by Chunya Bu, John Rogers, and Wenbin Wu. -
Federal
Yield Curve Models and Data - TIPS Yield Curve and Inflation Compensation
Board of Governors of the Federal Reserve System —
The yield curve, also called the term structure of interest rates, refers to the relationship between the remaining time-to-maturity of debt securities and the yield... -
Federal
Yield Curve Models and Data - Three-Factor Nominal Term Structure Model
Board of Governors of the Federal Reserve System —
This is a no-arbitrage dynamic term structure model, implemented as in Kim and Wright using the methodology of Kim and Orphanides . The underlying model is the... -
Federal
Index of Common Inflation Expectations
Board of Governors of the Federal Reserve System —
The Index of Common Inflation Expectations (CIE) pulls together a variety of measures that look at the inflation expectations of economic agents. Data dimensions... -
Federal
Your Friends, Your Credit: Social Capital Measures Derived from Social Media and the Credit Market
Board of Governors of the Federal Reserve System —
This dataset presents a social trust index based on average credit scores at the zip code level. -
Federal
What Drives U.S. Treasury Re-use?
Board of Governors of the Federal Reserve System —
Based on confidential supervisory data, this dataset estimates the degree of collateral re-use at the dealer level through their collateral multiplier: the ratio... -
Federal
Globalization and the Geography of Capital Flows
Board of Governors of the Federal Reserve System —
The U.S. cross-border securities portfolio is used as a case study to document the extent of distortions in traditional residence-based portfolio statistics. With... -
Federal
Yield Curve Models and Data - Nominal Yield Curve
Board of Governors of the Federal Reserve System —
These are nominal yield curves, obtained by fitting a parametric form to the prices of off-the-run nominal Treasury coupon securities. The data are available at daily... -
Federal
Tips from TIPS: Update and Discussions
Board of Governors of the Federal Reserve System —
D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk... -
Federal
Cross-Sectional Financial Conditions, Business Cycles and The Lending Channel
Board of Governors of the Federal Reserve System —
This dataset documents business cycle properties of the full cross-sectional distributions of U.S. stock returns and credit spreads from financial and nonfinancial... -
Federal
Measurement and Effects of Supply Chain Bottlenecks Using Natural Language Processing
Board of Governors of the Federal Reserve System —
The Supply Chain Bottleneck Sentiment (SCB Sentiment) index measures supply chain bottlenecks by analyzing narratives from the Federal Reserve's Beige Books using... -
Federal
Updating the Labor Market Conditions Index
Board of Governors of the Federal Reserve System —
The LMCI is derived from a dynamic factor model that extracts the primary common variation from 19 labor market indicators. One essential feature of the authors'... -
Federal
Changes in Women's Representation in Economics: New Data from the AEA Papers and Proceedings
Board of Governors of the Federal Reserve System —
This dataset sheds light on the evolution of published contributions of women economists over a 110-year period. The dataset is collected from the Papers and... -
Federal
Estimating U.S. Cross-Border Securities Flows: Ten Years of the TIC SLT
Board of Governors of the Federal Reserve System —
The TIC Form SLT collects monthly data on the market value of long-term cross-border securities holdings by country, type of foreign holder (official or private), and...
18 datasets found