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Found 31 dataset(s) matching "FRS research data".
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The Index of Common Inflation Expectations (CIE) pulls together a variety of measures that look at the inflation expectations of economic agents. Data dimensions include the type of economic...
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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 on those securities. Yield...
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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 standard affine Gaussian model with...
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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 Proceedings (P&P), an annual volume of...
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This dataset represents the estimated density of georeferenced sites within individual, local NHDPlusV2 catchments and upstream, contributing watersheds based on the EPA's Facility Registry...
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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 cross-border holdings of $12...
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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 type of security. We estimate...
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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' factor model is that its inference...
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The Supply Chain Bottleneck Sentiment (SCB Sentiment) index measures supply chain bottlenecks by analyzing narratives from the Federal Reserve's Beige Books using machine learning and natural...
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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.
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D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk premium, and TIPS liquidity...
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This dataset presents a social trust index based on average credit scores at the zip code level.
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Based on confidential supervisory data, this dataset estimates the degree of collateral re-use at the dealer level through their collateral multiplier: the ratio between a dealer's total secured...
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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 components: a component that...
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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 2017 the Alternative Reference...
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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 with how the FRB/US model...
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This dataset documents business cycle properties of the full cross-sectional distributions of U.S. stock returns and credit spreads from financial and nonfinancial firms. The skewness of returns...
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These data and code successfully reproduce nearly all cross-sectional stock return predictors. The 319 characteristics draw from previous meta-studies, but authors differ by comparing their...
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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 frequency, from 1961 to present.
