Time Series

Some macroeconomic time series I have used in the past.


A .csv file with a monthly data set of the ECB's asset purchase programmes from July 2009 to July 2016: APP_data_monthly.csv
See the Section codes for an R code of how the data set is created. The series can be summarised in the following graph:

US Spreads and Defaults

A .csv file containing US data from 85Q1 to 12Q4 - real GDP, GDP deflator, hours worked, nonfinancial firm bankruptcies (delinquency rates by the Fed) and the Gilchrist/Zakrajsek credit spreads for nonfinancial sector (as available on Simon Gilchrist's homepage): Spreads_default_US_data.csv, Spreads_default_US_data.mat

External links

Gilchrist/Zakrajšek credit spreads for the US on Simon Gilchrist's homepage
Gilchrist/Mojon credit spreads for the EA on Banque de France WP site Barakchian/Crowe (2013, JME) data on IMF homepage