The Evolution of FRASER and AlFRED: St' Louis Fed Real Time Data Services

1
The Evolution of FRASER and AlFRED St. Louis
Fed Real Time Data Services

• Robert H. Rasche
• Federal Reserve Bank of St. Louis
• Views expressed are mine and do not necessarily
  reflect official positions of the Federal Reserve
  System.

2
Real-Time Data Initiatives

• FRASER Federal Reserve Archival System for
  Economic Research
• Electronic Image Archive of Economic Data and
  Source Materials
• AlFRED Archival FRED
• Real-time Data Base System for Macroeconomic Time
  Series

3
FRASER

• Electronic image archive of historic economic
  statistical publications (.pdf files)
• Organized chronologically and by subject
• Completed
• All Bank Statistics, Annual Statistical Digests,
  Banking and Monetary Statistics
• Economic Indicators
• Productivity and Costs Statistical Releases
• Capacity Utilization Statistical Releases
• Business Conditions Digest
• Economic Report of the President
• Reference materials from A. Meltzer, Volume 1
• Short-term Goals
• Survey of Current Business H.6 Money Releases
• Construction Review
• McChesney Martin Papers
• Future Additions
• Federal Reserve Bulletin (joint effort with BoG)
• Congressional Hearings and Testimony of FR
  Officials

4
http//fraser.stlouisfed.org/
5
(No Transcript)
6
(No Transcript)
7
(No Transcript)
8
(No Transcript)
9
(No Transcript)
10
(No Transcript)
11
(No Transcript)
12
(No Transcript)
13
AlFRED

• Extension of FRED
• http//alfred.stlouisfed.org
• Since FRED became Web-based in 1996, we have
  preserved real-time archive files (generally at
  weekly frequency.)
• Over that time period FRED has expanded from
  roughly 381 to 1175 U.S. macroeconomic time
  series (and 1881 regional series)
• Additional real-time archival data from NET and
  MT since 1967.

14
Measuring Valid Time

• Ideally want the release dates for each update of
  the series
• Have collected all NIPA release dates from 1948
• Have Employment release dates from 1950s
• Have IP release dates from 1927
• Have Productivity Costs, ECI release dates from
  beginning
• Have Money Stock (H.6) release dates from 1960
• Have Housing Starts release dates from 1950

15
Measuring Valid Time

• Protocol when release dates are not available
  from source agency
• Searchable Historical archive of NY Times and
  Wall Street Journal
• Has proved an extensive source of exact release
  dates.
• e.g. have confirmed exact date for all but one
  NIPA release date (5/18/62)
• Were able to pin down an interval of about a week
  for that release guessed based on the typical
  release timing.

16
Development Strategy

• Have now uploaded the FRED archive
• Real time histories of all the series contained
  in FRED since Dec 1996.
• Have not included daily data
• Typically Interest rates and exchange rates last
  since data generally dont revise (although
  publication errors are not unknown.)

17
Development Strategy

• Extended FRED archives back using NET and MT
  histories
• Series we have available
• Civilian and Payroll Employment (monthly) since
  Jan-66
• Industrial Production (monthly) since May-27
• Retail Sales (monthly) since 66
• Nominal Personal Income (Monthly) since Jan-66

18
A Tabular Guide to the NIPA Accounts in AlFRED

• August 2006

19
Blue complete history brown history in
process orange in FRED archive only
20
Blue complete history brown history in
process orange in FRED archive only
21
Blue complete history brown history in
process orange in FRED archive only
22
Blue complete history brown history in
process orange in FRED archive only
23
Blue complete history brown history in
process orange in FRED archive only
24
Blue complete history brown history in
process orange in FRED archive only
25
Blue complete history brown history in
process orange in FRED archive only
26
Blue complete history brown history in
process orange in FRED archive only
27
Blue complete history brown history in
process orange in FRED archive only
28
Blue complete history brown history in
process orange in FRED archive only
29
Blue complete history brown history in
process orange in FRED archive only
30
Blue complete history brown history in
process orange in FRED archive only
31
Blue complete history brown history in
process orange in FRED archive only
32
Blue complete history brown history in
process orange in FRED archive only
33
Blue complete history brown history in
process orange in FRED archive only
34
Blue complete history brown history in
process orange in FRED archive only
35
Blue complete history brown history in
process orange in FRED archive only
36
(No Transcript)
37
Blue complete history brown history in
process orange in FRED archive only
38
Blue complete history brown history in
process orange in FRED archive only
39
Blue complete history brown history in
process orange in FRED archive only
40
Blue complete history brown history in
process orange in FRED archive only
41
Blue complete history brown history in
process orange in FRED archive only
42
Development Strategy

• M1 (monthly data weekly valid time dates) since
  60
• M2 (monthly data weekly valid time dates) since
  62
• Real Personal Income (monthly) since Nov-76
• Real Manufacturing and Trade Sales since Dec-76
  with some gaps
• Output per hour private business sector since
  Mar-71 with some gaps

43
Development Strategy

• Output per hour nonfarm private business sector
  since Jun-68 with some gaps
• Compensation per hour nonfarm private business
  sector since Dec-72 with some gaps
• Unit labor Costs private business sector since
  Mar-71 with some gaps

44
Development Strategy

• Nominal Disposable Personal Income (monthly)
  since Dec-79
• Real Disposable Personal Income (monthly) since
  Dec-79
• Add additional series and/or extend scope of
  current FRED series
• As users, your Priorities???

45
Development Strategy

• Evolve the User Access and Download System
• Implement selection of a range of valid dates for
  a series.
• Loop over vintages for a specified list of series
  (i.e. recursive data sets)
• Unique source material citation string
  (replication)
• As users, what are your desired features??

46
879 National Series
47
(No Transcript)
48
(No Transcript)
49
(No Transcript)
50
Excel Output Files
51

• WP-2005-021A Marcelle Chauvet, and Jeremy M.
  Piger, "A Comparison of the Real-Time Performance
  of Business Cycle Dating Methods,"March 2005

52
Questions and Comments

• Contact
• webmaster_at_research.stlouisfed.org