CMD-MD: A Monthly Database for Macro-financial Research

I have released a new database centered around the capital markets. The Capital Markets Data monthly database, or CMD-MD, is a leap forward in the right direction for research centered around bond markets.  It is similar to FRED-MD which is the Federal Reserves' monthly economic database. The important distinction is that FRED-MD contains mostly economic data and financial data sourced from FRED,  whereas CMD-MD is primarily focused on capital markets data.

CMD-MD is a unique dataset. Although some of the series used in CMD-MD is sourced from FRED, the vast majority are not.  In fact, capital markets data tends to be widely dispersed and getting ones hands on long-time series is quite difficult. 

There used to be a large focus on this type of data (note Ayers and Hickman's work for the NBER).
Today the focus is much less so, but the work still remains important. 

CMD-MD is the most unique source of capital markets data since the glory days of the NBER.  It consists of 178 series.  For a full list of the series included please click here. 

Three highlights of the database include:
1. Foreign net purchases of long-term securities beginning in 1936
2. Capital market issuance (Equities, Corporate bonds, Treasuries, State and Local bonds, Agency MBS) beginning in 1900
3. Primary Dealer net positioning, financing and transactions beginning in 1960

This data is not readily available anywhere else.

Other capital markets series include:
4. Federal Reserve holdings of Treasuries by maturity bucket and class beginning in 1919
5. US Government debt and corporate bonds outstanding since 1900
6. Excess Treasury returns since 1929

Lastly, there are series pertaining to fixed-income valuation such as survey expected inflation, trend nominal GDP per capita, trend core CPI, and monthly onset.

I hope that you enjoy and cite the database, and if all goes well I plan on updating it every month.  To download CMD-MD please visit the data download section of the blog.

I am currently looking for work so if you know of any open positions out there please reach out!

Steven



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