CMD-MD

Source Abbreviations

key	Source
FRBMB	Federal Reserve Monthly Bulletin
FRB	Federal Reserve Board
SPF	Survey of Professional Forecasters
MSPD	Monthly Statement of the Public Debt¹
SCB	Survey of Current Business. Business Statistics (Biennial Supplement)
HMDA	Home Mortgage Disclosure Act
SMLA	HUD Survey of Mortgage Lending Activity
CFPB	Consumer Financial Protection Bureau

The Capital Market: Stocks, Flows, and Intermediation

Capital Market Issuance

Identifier	Definition & Notes	Sources	Start
corpbond_iss	Gross Corporate Bond Issuance	NBER:M10071USM311NNBR, FRBMB²	1900/1
mbs_iss	Gross Agency MBS Issuance	Bank of America, Ginnie Mae, FHLMC, FNMA, SIFMA	1978/1
agency_iss	Gross Agency Debt Bond Issuance	FHLMC, FNMA, Farm Credit Banks, FHLB	2008/1
fcbfc_iss	Gross Farm Credit Banks Funding Corp Bond Issuance	Farm Credit Banks	2002/1
fhlb_iss	Gross Federal Home Loan Banks Bond Issuance	FHLB	2008/1
fnma_debt_iss	Gross Fannie Mae Debt Bond Issuance	FNMA³	2006/1
fhlmc_debt_iss	Gross Freddie Mac Debt Bond Issuance	FHLMC⁴	1999/1
muni_iss	Gross Total State and Local Govt Bond Issues	Commercial and Financial Chronicle, FRBMB, FRB⁵	1900/1
muni_newcapital_iss	Gross New Capital Issuance	FRBMB, FRB	1919/1
muni_refunding_iss	Gross Refunding Issuance	FRBMB, FRB	1919/1
corpstock_iss	Gross Corporate Equity Issuance	NBER:M10029M144NNBR, FRBMB, FRB	1900/1
nfc_seo	Nonfinancial Corporate Seasoned Equity Offerings	FRB Enhanced Financial Accounts⁶	1994/1
nfc_ipo	Nonfinancial Corporate Initial Public Offerings	FRB Enhanced Financial Accounts	1994/1
cmbs_iss	U.S. CMBS Issuance	CMA Alert⁷	2000/1
nonus_cmbs_iss	CMBS Issuance ex U.S.	CMA Alert	2000/1
wld_cmbs_iss	Global CMBS Issuance	CMA Alert	2000/1
clo_iss	U.S. Collateralized Loan Obligation Issuance	ABA Alert⁸	1999/3
abs_iss	U.S. Asset Backed Security Issuance	ABA Alert	1999/3
nonus_abs_iss	Asset Backed Security Issuance ex U.S,	ABA Alert	1999/3
nonagency_mbs_iss	U.S. Non-Agency MBS Issuance	ABA Alert	1999/3
usbill_iss	Gross Issuance of US Bills	Hall, Payne, and Sargent (2018), Treasury Bulletin, SIFMA, Treasury Department⁹	1929/1
usnote_iss	Gross Issuance of US Notes	Hall, Payne, and Sargent (2018), SIFMA, Treasury Department	1900/1
usbond_iss	Gross Issuance of US Bonds	Hall, Payne, and Sargent (2018), SIFMA, Treasury Department	1900/1
ustotal_iss	Gross Issuance of US Treasuries	Hall, Payne, and Sargent (2018), Treasury Bulletin, SIFMA, Treasury Department	1900/1
ustotal_iss_sa	Gross Issuance of US Treasuries, Seasonally Adjusted	SIFMA, Treasury Department	1980/1
usbondandnotes_iss	Gross Issuance of US Notes and Bonds	Hall, Payne, and Sargent (2018), SIFMA, MSPD, Treasury Department	1900/1

U.S. Treasury and Agency Debt Outstanding

Note: For the Federal Agencies whereas issuance excluded discount notes, the outstanding amounts in the table below include short-term paper.

Identifier	Definition & Notes	Sources	Start
fcbfc_out	Farm Credit Banks Funding Corp debt outstanding	FRBMB, https://www.farmcreditfunding.com/ffcb_live/activitySummary.html	1940/1
fhlb_out	Federal Home Loan Banks debt outstanding	FRBMB, FHLB http://www.fhlb-of.com/ofweb_userWeb/resources/fhlbanalystdata.xlsx	1940/1
fnma_out	Federal National Mortgage Association debt outstanding	FRMB, FNMA Monthly Volume Summary	1956/1
fhlmc_out	Federal Home Loan Mortgage Corporation debt outstanding	FRMB, FHLMC Monthly Volume Summary¹⁰	1971/1
tva_out	Tennessee Valley Authority debt outstanding	FRMB, Treasury Bulletin	1960/11
uscorpbonds_out	Nonfinancial corporate business; corporate bonds	NBER:M10083USM311NNBR, FRED:CBLBSNNCB	1900/1
usbills_out	Bills Outstanding	MSPD	1932/1
usbillsandcertif_out	Bills and Certificates Outstanding	MSPD	1900/1
usnotes_out	Notes Outstanding	MSPD	1900/1
usbonds_out	Bonds Outstanding	MSPD	1900/1
usnotesandbonds_out	Notes and Bonds Outstanding	MSPD	1900/1
usttotala_out	Sum of Nominal Interest-Bearing Bills, Certificates, Notes, and Bonds Outstanding	MSPD	1900/1
usgross_out	Gross US Federal Debt Outstanding	Hall, Payne, and Sargent (2018)¹¹, Dallas Fed¹²	1900/1
usgf_to_gdp	Gross US Federal Debt Outstanding divided by GDP	MSPD	1900/1
usttotala_to_gdp	Sum of Nominal Interest-Bearing Bills, Certificates, Notes, and Bonds Outstanding divided by GDP	MSPD	1900/1
usnotesandbonds_to_gdp	US Notes and Bonds Outstanding divided by GDP	MSPD	1900/1
avgmatprivheld	Average maturity of gross federal debt spliced with average maturity of privately held marketable Treasury securities	Hall, Payne, and Sargent (2018), Treasury Bulletin	1900/1

Transactions

Identifier	Definition & Notes	Sources	Start
pdtranagencyandmbs	Primary Dealer Transactions in Agency Debt and MBS securities, avg monthly	FRBMB, NYFED	1961/3
pdtran_agencymbs	Primary Dealer Transactions in Agency MBS, avg monthly	FRBMB, NYFED	1990/7
pdtran_agencydebt	Primary Dealer Transactions in Agency Debt, avg monthly	FRBMB, NYFED	1990/7
pdtran_agencydn	Primary Dealer Transactions in Agency Discount Notes, avg monthly	FRBMB, NYFED	1998/1
pdtran_agencycpn	Primary Dealer Transactions in Agency Coupons, avg monthly	FRBMB, NYFED	1998/1
pdtrantotal	Primary Dealer Transactions in all Treasuries	FRBMB, NYFED	1961/1
pdtrantbills	Primary Dealer Transactions in T-bills	FRBMB, NYFED	1976/11
pdtranl1	Primary Dealer Transactions in Treasuries less than 1yr	FRBMB, NYFED	1961/1
pdtranl5	Primary Dealer Transactions in Treasuries less than 5yr	FRBMB, NYFED	1961/1
pdtrang5	Primary Dealer Transactions in Treasuries greater than 5yr	FRBMB, NYFED	1961/1
pdtran5to10	Primary Dealer Transactions in Treasuries between 5 and 10yrs	FRBMB, NYFED	1961/1
pdtran10plus	Primary Dealer Transactions in Treasuries greater than 10yrs	FRBMB, NYFED	1961/1
nyse_vol	NYSE Trading Volume daily average	NYSE, SIFMA	1900/1

Primary Dealer Net Positions

Identifier	Definition & Notes	Sources	Start
pd_npos_gse_and_mbs	Primary Dealer net positions in Agency Debt and MBS securities	FRBMB, NYFED	1960/9
pd_npos_mbs	Primary Dealer net positions in Agency MBS securities	FRBMB, NYFED	1990/7
pd_npos_gse	Primary Dealer net positions in Agency Debt	FRBMB, NYFED	1990/7
total_npos	Primary Dealer net positions all Treasuries	FRBMB, NYFED	1957/10
total_npos_to_gdp	Primary Dealer net positions all Treasuries divided by nominal GDP	FRBMB, NYFED	1957/10
total_npos_to_parpriv	Primary Dealer net positions all Treasuries divided Par Privately held Treasuries Outstanding	FRBMB, NYFED	1957/10
pd_npos_tbills	Primary Dealer net positions in Tbills	FRBMB, NYFED	1976/10
pd_npos_l1	Primary Dealer net positions in Treasuries less than 1yr	FRBMB, NYFED	1957/10
pd_npos_g1	Primary Dealer net positions in Treasuries greater than 1yr	FRBMB, NYFED	1957/10
pd_npos_g1l7	Primary Dealer net positions in Treasuries greater than 1yr but less than 7yr	FRBMB, NYFED	1957/10
pd_npos_g7	Primary Dealer net positions in Treasuries greater than 7yr	FRBMB, NYFED	1957/10
pd_npos_g10	Primary Dealer net positions Treasuries greater than 10yr	FRBMB, NYFED	1969/9
netdur_npos	Net Duration of Primary Dealer net positions in Treasuries	FRBMB, NYFED	1957/10

$NPOS^{Net\ Dur} = {{.5*NPOS^{TBILL}+1.5*NPOS^{L2}+2.5*NPOS^{G2L3}+4.5*NPOS^{G3L6}+6.5*NPOS^{G6L7}+9*NPOS^{G7L11}+14*NPOS^{G11}}\over{|NPOS|}}$

Primary Dealer Financing

Identifier	Definition & Notes	Sources	Start
repo_tsynom_on	Primary Dealer Repo O/N	FRBMB, NYFED	1980/9
repo_tsynom_term	Primary Dealer Repo Term	FRBMB, NYFED	1980/9
revrepo_tsynom_on	Primary Dealer Reverse Repo O/N	FRBMB, NYFED	1980/9
revrepo_tsynom_term	Primary Dealer Reverse Repo Term	FRBMB, NYFED	1980/9
repoandreversetotal	Primary Dealer sum of Reverse Repo and Repo	FRBMB, NYFED	1980/9
net_repo_on	Primary Dealer Net Repo O/N	FRBMB, NYFED	1980/9
net_repo_term	Primary Dealer Net Repo Term	FRBMB, NYFED	1980/9
net_repo	Primary Dealer Net Repo	FRBMB, NYFED	1963/10

Federal Reserve Treasury holdings by remaining maturity and class

Identifier	Definition & Notes	Sources	Start
fedhold_total	Fed Holdings of Treasury Securities	H.4.1	1914/12
fedl15d	Fed Holdings of Treasury Securities with maturity remaining of Less than 15 days	H.4.1	1941/1
fedl15to90d	Fed Holdings of Treasury Securities with maturity between 15 and 90 days	H.4.1	1941/1
fedl90to1y	Fed Holdings of Treasury Securities with maturity between 90 days and 1 year	H.4.1	1941/1
fedl1to5y	Fed Holdings of Treasury Securities with maturity remaining 1 and 5 years	H.4.1	1941/1
fedl5to10y	Fed Holdings of Treasury Securities with maturity remaining between 5 and 10 years	H.4.1	1941/1
fedgreater10y	Fed Holdings of Treasury Securities with maturity remaining of greater than 10 years	H.4.1	1941/1
fed_net_tsy_dur	Duration (in years) of Feds’ Treasury holdings	Calc	1941/1
fedhold_bills	Fed Holdings of Treasury Bills	H.4.1	1932/1
fedhold_notes	Fed Holdings of Treasury Notes	H.4.1	1919/1
fedhold_bonds	Fed Holdings of Treasury Bonds	H.4.1	1919/1
fedhold_certifandbills	Fed Holdings of Tbills and Certificates	H.4.1	1919/1
fedhold_notesandbonds	Fed Holdings of Treasury Notes and Bonds	H.4.1	1919/1

$Fed^{Net\ TSY\ Dur} = {{7.5*L15D+52.5*15Dto90D+227.5*90Dto1Y+1095*1to5Y+2737.5*5to10Y+7300*G10Y}\over{365*FED^{TSY}}}$

Bank Holdings

Identifier	Definition & Notes	Sources	Start
ldom_bank_tsy	Large domestic bank holdings of Treasuries	H.8	1919/1
ldom_bank_mbs	Large domestic bank holdings of Agency MBS	H.8	1996/1
all_bank_tsy_agency	All bank holdings of Treasuries and Agencies	H.8	1947/1

Expected Returns and Bond Yields

Bond Yields and Ex-post Returns

Identifier	Definition & Notes	Sources	Start
mort_rate	30-yr Mortgage Rate	FHLMC, M13045USM156NNBR	1949/1
muni_yield	Index of Yields of High Grade Municipal Bonds for United States & Bond Buyer 20 Index	Pre 1917/01: M13023USM156NNBR, after 1916/12: Bond Buyer	1900/1
aaa	Moody’s AAA and Frederick R. Macaulay	FRED M13021USM156NNBR, M1319AUSM156NNBR Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856, Frederick R. Macaulay	1900/1
baa	Moody’s BAA	FRED	1919/1
threem	3M Tbill	FRED	1929/1
one..twenty	1yr - 20yr Treasury Zero Coupon Yields	Stephen G. Cecchetti (1987); J. Huston McCulloch and Shiller (1987); and FRB	1929/1
rx2…rx30	Treasury rolling annual excess returns	calc	1930/1
ret3..ret30	Treasury rolling annual returns	calc	1930/1
rx_avg	Average of Treasury rolling annual excess returns for 2yr through 10yr, 15yr, 20yr,25yr, and 30yr, brought forward one-year	calc	1954/12
ret_avg	Average Treasury rolling annual returns 2yr through 10yr, 15yr, 20yr,25yr, and 30yr, brought forward one-year	calc
yield_avg	Average of Treasury yields for 1yr through 30yr	calc	1954/12
tsypi	Treasury price index $\ln{TSY^{MV}\over{TSY^{Par}}}$	Dallas Fed	1942/1
cp_rate	30 day Non-financial Commercial Paper yield	NBER, FRED	1900/1
fedfunds	Federal Funds rate	NBER, FRED	1928/4
h0	Spread between New Issue Seasoned Corporate Bonds	Homer, S. and Sylla, R.E., 1996
¹³	1900/1
h1	Spread Between the Yield on Homer’s Newly Issued Callable Aa Public Utilities and the Yield on Homer’s Seasoned Callable Aa Public Utility Bonds With Per Cent Coupon	Conard and Frankena (1967)¹⁴	1952/1
h2	Spread Between the Yield on New Callable Issues of Aa Public Utility Bonds, Homer Series, and the Yield on Seasoned Callable Aa Public Utility Bonds of Current Coupon	Conard and Frankena (1967)	1952/1
k1	Spread Between Yield on Kaplan Recently Issued Aa Corporate Bonds and Yield on Moody Seasoned Aa Corporate Bonds	Conard and Frankena (1967)	1952/1
m1	Spread Between Yield on Newly Issued Moody Aa Corporates and Yield on Seasoned Moody Aa Corporates	Conard and Frankena (1967)	1952/1
fiveotrsp	Spread between New Issue Seasoned 5-yr Treasuries	Treasury¹⁵, FRB	1971/1
tenotrsp	Spread between New Issue Seasoned 10-yr Treasuries	Treasury¹⁶, FRB	1971/1

Term Structure

one..twenty	Definition & Notes	Sources
1929/1 - 1949/12	Constant Maturity Yield Curve, (Table A-1)	Stephen G. Cecchetti (1987)¹⁷
1950/1 - 1961/5	Zero-coupon yield curve continuous compounding, (Table A-1)	Robert Shiller & J. Huston McCulloch (1987)¹⁸
1961/6 - Present	Zero-coupon yield curve continuous compounding, end of month	Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright (2006)¹⁹

Expected Returns

Identifier	Definition & Notes	Sources	Start
aaasurvrp	$E_t^{SPF}[AAA_{t+1}] - AAA_t$ $E_t^{SPF}[AAA_{t+1}]$ is interpolated to a monthly frequency	SPF, Moody’s	1981/9
exp_ret_ngdpcapita	yield_avg + 8*(yield_avg - taungdppercapita) - one	calc	1957/5
cond_slope_dist	Yield curve slope less predicted by taucorecpi	calc	1967/01
rpf	return predicting factor using trend core inflation	calc	1967/01
cond_level_dist	Actual level less predicted by trend core cpi	calc	1967/01
reg_slope	predicted yield curve slope using trend core cpi	calc	1967/01
cbar	average of regression fitting errors	calc	1967/01
y1_pred	predicted 1-yr Treasury using trend core cpi	calc	1967/01
ybar_pred	predicted level of rates using trend core cpi	calc	1967/01
cond_slope_dist_gdp	Yield curve slope less predicted by trend NGDP per capita	calc	1957/5
rpf_gdp	return predicting factor using trend NGDP per capita	calc	1957/5
cbar_gdp	average of regression fitting errors	calc	1957/5
cond_level_dist_gdp	Actual level less predicted by trend NGDP per capita	calc	1957/5
reg_slope_gdp	predicted yield curve slope using trend NGDP per capita	calc	1957/5
y1_pred_gdp	predicted one year Treasury using trend NGDP per capita	calc	1957/5
ybar_pred_gdp	predicted level of rates using trend NGDP per capita	calc	1957/5
y_ret_bar	average annual Treasury returns	calc	1954/12
y_bar	average level of rates	calc	1929/1
rpf_cp_isat	expected returns using an ISAT regression	calc	1969/1
rpf_cp_isat2	expected returns using an alternative ISAT regression	calc	1969/1

Mortgage Markets

Mortgage Originations

mort_orig	Definition & Notes	Sources
1900/1 - 1938/12	Monthly number of mortgages recorded in nine counties scaled to annual volume of mortgage loans made on 1-to-4 family nonfarm homes	Ernest M. Fisher (1951)²⁰
1939/1 - 1965/2	New Non-Farm Mortgages Recorded, $20,000 and Under for United States	Federal Home Loan Banks, M02173USM398NNBR
1965/3 - 1969/12	Total loans originated by Savings and Loans plus FHA Insured Mortgages plus VA Guaranteed Mortgages	SCB
1970/1 - 1995/12	Originations of Mortgage Loans for 1-4 Family Nonfarm homes	HUD SMLA²¹, Table 1
1996/1 - 2003/12	Originations of single-family mortgage loans	HMDA, Federal Reserve Bulletin 2017 Q3²²
2004/1 - 2004/12	Originations of single-family mortgage loans	HMDA, CFPB ²³
2005/1 - 2018/12	Originations of single-family mortgage loans	One of the three nationwide consumer reporting agencies, CFPB ²⁴

Agency and GSE MBS Issuance

Identifier	Definition & Notes	Sources	Start
fhagross	FHA gross insurance of single-family homes (in millions)	SCB, HUD²⁵	1935/1
vagross	VA gross guarantees of single-family homes (in millions)	SCB, VA (private correspondence)	1947/1
gnma_iss	GNMA gross issuance of single-family MBS	H.16, Bank of America, GNMA²⁶	1978/1
fhlmc_iss	FHLMC gross issuance of single-family MBS	H.16, Bank of America, FHLMC²⁷, GNMA²⁸	1978/1
fnma_iss	FNMA gross issuance of single-family MBS	H.16, Bank of America, FNMA²⁹, GNMA	1978/1

FNMA Monthly Summary

Identifier	Definition & Notes	Sources	Start
fnma_mort_loans	FNMA Mortgage Loans in Portfolio	Table=1; col=2	2001/1
fnma_book_business	FNMA Book of Business	Table=1; col=3	2001/1
fnma_port_pur	FNMA Mortgage Portfolio Purchases	Table=2; col=1	2001/1
fnma_port_sales	FNMA Mortgage Portfolio Sales	Table=2; col=2	2001/1
fnma_port_liq	FNMA Mortgage Portfolio Liquidations	Table=2; col=3	2001/1
fnma_mort_hold	Retained Mortgage Portfolio Ending Balance	Table=2; col=4	2001/1
fnma_port_mbs	FNMA MBS in Portfolio	Table=3; col=1	2006/1
fnma_mbs_iss	FNMA MBS Issuance	Table=4; col=1	2001/1
fnma_mbs_liq	FNMA MBS Liquidations	Table=4; col=2	2001/1
fnma_net_mbs_out	FNMA MBS Outstanding x MBS in Portfolio	calc	2001/1

FHLMC Monthly Summary

Identifier	Definition & Notes	Sources	Start
fhlmc_port_pur	Total Mortgage Portfolio Purchases/Issuances³⁰	Table=1; col=1	2001/1
fhlmc_port_sales	Total Mortgage Portfolio Sales	Table=1; col=2	2001/1
fhlmc_port_liq	Total Mortgage Portfolio Liquidations	Table=1; col=3	2001/1
fhlmc_port_netch	Total Mortgage Portfolio Net Increase/Decrease	Table=1; col=4	2001/1
fhlmc_port_endbal	Total Mortgage Portfolio Ending Balance	Table=1; col=5	2001/1
fhlmc_port_ann_gr	Total Mortgage Portfolio Annualized Growth Rate	Table=1; col=6	2001/1
fhlmc_port_ann_liq	Total Mortgage Portfolio Annualized Liquidation Rate	Table=1; col=7	2001/1
fhlmc_mrip_pur	Mortgage Related Investments Portfolio Purchases	Table=2; col=1	2001/1
fhlmc_mrip_sales	Mortgage Related Investments Portfolio Sales	Table=2; col=2	2001/1
fhlmc_mrip_liq	Mortgage Related Investments Portfolio Liquidations	Table=2; col=3	2001/1
fhlmc_mrip_endbal	Mortgage Related Investments Portfolio Ending Balance	Table=2; col=4	2001/1
fhlmc_mrip_ann_gr	Mortgage Related Investments Portfolio Annualized Growth Rate	Table=2; col=5	2001/1
fhlmc_mrip_ann_liq	Mortgage Related Investments Portfolio Annualized Liquidation Rate	Table=2; col=6	2001/1
fhlmc_mripc_fhlmc	Total Freddie Mac MRS Held in Portfolio	Table=3; col=1	2003/1
fhlmc_mripc_xfhlmc	Total non-Freddie Mac MRS Held in Portfolio	Calc	2003/1
fhlmc_mripc_agency	Total non-Freddie Mac Agency MRS Held in Portfolio	Table=3; col=2	2003/1
fhlmc_mripc_xagency	Total non-Agency & non-Freddie MRS Held in Portfolio	Table=3; col=3	2003/1
fhlmc_mripc_mort_loans	Total Mortgage Loans Held in Portfolio	Table=3; col=4	2003/1
fhlmc_mrs_iss	Mortgage Related Securities Issuances³¹	Table=4; col=1	2001/1
fhlmc_mrs_liq	Mortgage Related Securities Liquidations	Table=4; col=2	2001/1
fhlmc_mrs_endbal	Mortgage Related Securities Ending Balance	Table=4; col=3	2001/1
fhlmc_mrs_ann_gr	Mortgage Related Securities Annualized Growth Rate	Table=4; col=4	2001/1
fhlmc_mrs_ann_liq	Mortgage Related Securities Annualized Liquidation Rate	Table=4; col=5	2001/1

GNMA Monthly Issuance Summary

Identifier	Definition & Notes	Sources	Start
gnma_gm1_sf_iss	Ginnie Mae 1 Issuance: Single Family	GNMA³²	2008/12
gnma_gm1_mf_cl_iss	Ginnie Mae 1 Issuance: Multi-Family CL/CS Pools	GNMA	2008/12
gnma_gm1_mf_pl_iss	Ginnie Mae 1 Issuance: Multi-Family PL Pools	GNMA	2008/12
gnma_gm1_mf_rx_iss	Ginnie Mae 1 Issuance: Multi-Family RX Pools	GNMA	2008/12
gnma_gm1_mf_pn_iss	Ginnie Mae 1 Issuance: Multi-Family PN Pools	GNMA	2008/12
gnma_gm1_mf_ls_iss	Ginnie Mae 1 Issuance: Multi-Family LS Pools	GNMA	2008/12
gnma_gm1_mf_lm_iss	Ginnie Mae 1 Issuance: Multi-Family LM Pools	GNMA	2008/12
gnma_gm1_mf_iss	Ginnie Mae 1 Issuance: Multi-Family Pools Total	GNMA	2008/12
gnma_gm1_iss	Ginnie Mae 1 Issuance: Single and Multi-Family Total	GNMA	2008/12
gnma_gm2_sfmi_iss	Ginnie Mae 2 Issuance: SF - Multiple Issuer	GNMA	2008/12
gnma_gm2_sfc_iss	Ginnie Mae 2 Issuance: SF - Custom	GNMA	2008/12
gnma_gm2_armmi_iss	Ginnie Mae 2 Issuance: ARM – Multiple Issuer	GNMA	2008/12
gnma_gm2_armc_iss	Ginnie Mae 2 Issuance: ARM - Custom	GNMA	2008/12
gnma_gm2_fha_iss	Ginnie Mae 2 Issuance: FHA Secure	GNMA	2008/12
gnma_gm2_jumbo_iss	Ginnie Mae 2 Issuance: Jumbo	GNMA	2008/12
gnma_gm2_hmbs_iss	Ginnie Mae 2 Issuance: HMBS	GNMA	2008/12
gnma_gm2_iss	Ginnie Mae 2 Issuance: Total	GNMA	2008/12
gnma_total_iss	Total Ginnie Mae I and II Issuance	GNMA	2008/12

GNMA Monthly UPB Summary

Identifier	Definition & Notes	Sources	Start
gnma_gm1_sf_out	Ginnie Mae 1 UPB: Single Family	GNMA³³	2008/12
gnma_gm1_mf_cl_out	Ginnie Mae 1 UPB: Multi-Family CL/CS Pools	GNMA	2008/12
gnma_gm1_mf_pl_out	Ginnie Mae 1 UPB: Multi-Family PL Pools	GNMA	2008/12
gnma_gm1_mf_rx_out	Ginnie Mae 1 UPB: Multi-Family RX Pools	GNMA	2008/12
gnma_gm1_mf_pn_out	Ginnie Mae 1 UPB: Multi-Family PN Pools	GNMA	2008/12
gnma_gm1_mf_ls_out	Ginnie Mae 1 UPB: Multi-Family LS Pools	GNMA	2008/12
gnma_gm1_mf_lm_out	Ginnie Mae 1 UPB: Multi-Family LM Pools	GNMA	2008/12
gnma_gm1_mf_out	Ginnie Mae 1 UPB: Multi-Family Pools Total	GNMA	2008/12
gnma_gm1_out	Ginnie Mae 1 UPB: Single and Multi-Family Total	GNMA	2008/12
gnma_gm2_sfmi_out	Ginnie Mae 2 UPB: SF - Multiple Issuer	GNMA	2008/12
gnma_gm2_sfc_out	Ginnie Mae 2 UPB: SF - Custom	GNMA	2008/12
gnma_gm2_armmi_out	Ginnie Mae 2 UPB: ARM – Multiple Issuer	GNMA	2008/12
gnma_gm2_armc_out	Ginnie Mae 2 UPB: ARM - Custom	GNMA	2008/12
gnma_gm2_fha_out	Ginnie Mae 2 UPB: FHA Secure	GNMA	2008/12
gnma_gm2_jumbo_out	Ginnie Mae 2 UPB: Jumbo	GNMA	2008/12
gnma_gm2_hmbs_out	Ginnie Mae 2 UPB: HMBS	GNMA	2008/12
gnma_gm2_out	Ginnie Mae 2 UPB: Total	GNMA	2008/12
gnma_total_out	Total Ginnie Mae I and II UPB	GNMA	2008/12

FHA Insured Multifamily Mortgage Market

Identifier	Definition & Notes	Sources	Start
fha_mf_gross_endorse_force	FHA gross multifamily mortgage insurance in force	HUD³⁴	1935/1
fha_mf_prepay_rate	weighted gross prepayment rate	HUD	1935/1
fha_mf_debt_out	Debt outstanding	HUD	1935/1
fha_mf_cur_mort_rate_wtd	Current mortgage rate weighted by mortgage balance	HUD	1935/1
fha_mf_avg_mort_rate_out	Mortgage rate on outstanding mortgages	HUD	1935/1
fha_mf_units_gross_endors	New endorsements of mortgages by unit count	HUD	1935/1
fha_mf_total_mortgages_count	Total number of FHA insured MF mortgages	HUD	1935/1
fha_mf_iss_num	Total number of FHA new issues	HUD	1935/1
fha_mf_total_mortgages_count	Total number of FHA insured MF mortgages	HUD	1935/1
fha_mf_avgmat_wtd	Average Maturity	HUD	1935/1
fha_mf_avg_debt_per_unit	Average new debt per new unit	HUD	1935/1
fha_mf_total_units_in_force	Total units insured	HUD	1935/1

FNMA Multifamily Issuance

Identifier	Definition & Notes	Sources	Start
fnma_mf_mortloan_pur	FNMA Multifamily Loan Purchases	FNMA³⁵	2006/1
fnma_mf_dus_fixed_iss	Fixed-Rate DUS issuance	FNMA	2006/1
fnma_mf_dus_arm_iss	DUS ARM issuance	FNMA	2006/1
fnma_mf_nondus_iss	Non-DUS Multifamily issuance	FNMA	2006/1
fnma_mf_other_iss	Other Multifamily issuance	FNMA	2006/1
fnma_mf_mbs_iss	Total Multifamily MBS issuance	FNMA	2006/1
fnma_mf_total_pur_iss	Sum of MBS Issuance and Loan Purchases	FNMA	2006/1
fnma_mf_mbs_out	FNMA Multifamily MBS outstanding	FNMA	2006/1

Real Economic Data

Personal Income

Identifier	Definition & Notes	Sources	Start
pi	Personal Income, millions, SA, non-annualized, Interpolated	NBER, FRED	1921/1
dpi	Disposable Personal Income, millions, SA, non-annualized, Interpolated	NBER, FRED	1921/1
dpi_x_tp	Disposable income x transfer receipts, millions, SA, non-annualized, Interpolated	NBER, FRED	1929/1
pi_x_tp	Personal income x transfer receipts, millions, SA, non-annualized	NBER, FRED	1929/1
pi_dividends	Dividend Income, millions, SA, non-annualized	NBER, FRED	1919/1
pi_interestincome	Interest Income, millions, SA, non-annualized	NBER, FRED	1929/1
pi_proprietorsinc	Proprietors’ Income, millions, SA, non-annualized	NBER, FRED	1929/1
pi_rentinc	Rental Income, millions, SA, non-annualized, Interpolated	NBER, FRED	1919/1

Labor Markets

Identifier	Definition & Notes	Sources	Start
unempl	Total Unemployment	NBER, FRED, BLS	1930/1
empl	Total Nonfarm Payroll Employment	NBER, FRED	1900/1
empl_d12	12M change in Total Nonfarm Payroll Employment	NBER, FRED	1900/1
finding_rate	Job finding or Hiring rate	NBER, BLS, FRED,JOLTS	1910/1
quit_rate	Quit rate	NBER, BLS, FRED, JOLTS	1912/1
epop	Employment-to-population ratio	BLS	1948/1
lfpr	Labor force participation rate	BLS	1948/1
urate	Unemployment rate	BLS, NBER	1929/4
epop_ss	Flows Employment-to-population ratio	BLS	1968/3
lfpr_ss	Flows Labor force participation rate	BLS	1968/3
u_ss	Flows Unemployment rate	BLS	1968/3
epop_gap	Employment-to-population ratio gap, 9MMA	BLS	1968/3
lfpr_gap	Labor force participation rate gap, 9MMA	BLS	1968/3
urate_gap	Unemployment rate gap, 6MMA	BLS	1968/3
ic	Inital Claims for state unemployment insurance, monthly average	NBER, FRED	1945/8
wages	Average Hourly Private Earnings	NBER, FRED	1910/1
v	Nonfarm Job Openings	NBER, SCB, FRED, JOLTS	1919/1
vu	Nonfarm Job Openings-to-Unemployment ratio	NBER, SCB, FRED, JOLTS	1930/1
ismempl	ISM Employment index	Institute for Supply Management	1948/1

Auto

Identifier	Definition & Notes	Sources	Start
auto_credit	Total Auto Credit	NBER, FRED	1929/1
mv_sales	Total Auto and Truck Sales, SA	NBER, FRED	1913/1
passcar_sales	Total Passenger Car Sales, SA, outlier - adj	NBER, FRED	1913/1
truck_sales	Total Truck Sales, SA	NBER, FRED	1913/1
mv_prod	Total Auto and Truck Sales, SA	NBER, FRED	1913/1
truck_prod	Total Truck Assemblies, SA	NBER, FRED	1913/1
passcar_prod	Total Passenger Car Assemblied, SA	NBER, FRED	1913/1
passcar_price	Passenger Car Price Index	NBER, FRED	1913/1

Inflation

Identifier	Definition & Notes	Sources	Start
cpi	Consumer Price Index	FRED:CPIAUCNS, M04051USM324NNBR	1900/1
cpi_food	Consumer Price Index: Food	FRED:CPIUFDNS, M04061USM350NNBR	1900/1
farmprod	PPI for Farm Products	FRED:WPU01, M04058USM350NNBR	1900/1
metal	PPI for Metal and Metal Products	FRED:WPU10, M0466AUSM336NNBR	1900/1
fuel	PPI Fuels and Related Products & Power	FRED:PPIENG, M04H5AUSM336NNBR	1900/1
steelironscrap	PPI for Metals and Metal Products: Iron and Steel Scrap	FRED:WPU1012, M0442DUS16980M288NNBR	1900/1
lumber	PPI for Lumber and Wood Products: Lumber	FRED:WPU081, M0464AUSM336NNBR	1913/1
textiles	PPI for Textile Products and Apparel	FRED:WPU03, M04H4AUSM336NNBR	1900/1
wpi	Wholesale Commodities Price Index spliced with PPI All Commodities	Warren, G.F. and F.A. Pearson (1933) provided by David S. Jacks and FRED: PPIACO	1900/1

Real Estate and Construction

Identifier	Definition & Notes	Sources	Start
res_construct	Total Residential Construction	Dodge, Census	1915/1
construction	Total Construction	Dodge, Census	1900/1
nonres_construct	Total Nonresidential Construction	Dodge, Census	1915/1
highway_construct	Total Highway Construction	Dodge, Census	1939/1
public_construct	Total Public Construction	Dodge, Census	1939/1
priv_construct	Total Private Construction	Dodge, Census	1939/1
office_construct	Total Office Construction	Census	1972/1
home_auth_total	New Privately-Owned Housing Units Authorized, but Not Started	Census	1961/4
home_auth_oneunit	New Privately-Owned Housing Units Authorized, but Not Started:1-Unit Structures	Census	1968/1
home_auth_mf	New Privately-Owned Housing Units Authorized, but Not Started: 5+ Unit Structures	Census	1961/4
home_permit_total	Permits	Census	1961/4
home_permit_oneunit	Permits:1-Unit Structures	Census	1968/1
home_permit_mf	Permits: 5+ Unit Structures	Census	1961/4
home_starts_total	New Privately-Owned Housing Units Starts	Census	1939/1
home_starts_oneunit	New Privately-Owned Housing Units Starts:1-Unit Structures	Census	1940/1
home_starts_mf	New Privately-Owned Housing Units Starts: 5+ Unit Structures	Census	1961/4
home_comp_total	New Privately-Owned Housing Units Completd	Census	1961/4
home_comp_oneunit	New Privately-Owned Housing Units Completd:1-Unit Structures	Census	1968/1
home_comp_mf	New Privately-Owned Housing Units Completd: 5+ Unit Structures	Census	1961/4
home_undconst_total	New Privately-Owned Housing Units Under Construction	Census	1961/4
home_undconst_oneunit	New Privately-Owned Housing Units Under Construction:1-Unit Structures	Census	1968/1
home_undconst_mf	New Privately-Owned Housing Units Under Construction: 5+ Unit Structures	Census	1961/4
home_sales_new_oneunit	New Home Sales	Census	1961/4
home_forsale_inv_new	New Homes For Sale	Census	1968/1
home_new_months_supply	Months’ Supply of New Homes	Census	1961/4
home_new_sales_avg_price	Average Price of New Home Sale	Census	1961/4
home_new_sales_median_price	Median Price of New Home Sale	Census	1961/4
home_sales_new_dollarvol	Dollar volume of new home sales	Census	1968/1
hpi	Case/Shiller Home Price Index	Robert Shiller	1900/1
hpi_cons_f	Construction Cost Index (exc land) Fisher Deflator	Census³⁶	1964/1
hpi_cons_inc_land	Construction Cost Index (inc land)	Census³⁷	1963/3
exp_hpi_ret	Expected Home Price Return Indicator	Constructed	1975/1

Commodities

Energy

Identifier	Definition & Notes	Sources	Start
refining_cu_sa	U.S. Percent Utilization of Refinery Operable Capacity, SA	SCB, EIA	1926/5
refining_cu_nsa	U.S. Percent Utilization of Refinery Operable Capacity, NSA	SCB, EIA	1926/5
energy_exp	Energy exports spliced with Mineral Fuels & Lubricants Exports (Domestic Exports HTS2, FAS)	EIA: TOTAL.TEEXVUS.M, SCB	1951/1
energy_imp	Energy imports spliced with Mineral Fuels & Lubricants Imports	EIA: TOTAL.TEIMVUS.M, SCB, Imports For Consumption HTS2, 27, Customs Value	1965/1
petrol_imp	Crude oil and Petroleum Products imports in millions of dollars, SITC3	EIA, SCB, Census	1938/1
petrol_exp	Crude oil and Petroleum Products exports in millions of dollars, SITC3	EIA, SCB, Census	1938/1
gas_stations	Advance Retail Sales: Gasoline Stations, SA	FRED:RSGASS, SCB, Census	1938/1
gas_stocks	Stocks of Finished Motor Gasoline, thousands of barrels	EIA: MGFSTUS1, SCB, FRED: M05F4AUSM387NNBR	1917/7
gas_exp	Exports of Finished Motor Gasoline, thousands of barrels	EIA: PET_W_EPM0F_EEX_NUS_Z00_MBBLD_W, SCB	1923/1
gas_imp	Imports of Finished Motor Gasoline, thousands of barrels	EIA: PET_W_EPM0F_IM0_NUS_Z00_MBBLD_W	1945/1
gas_prod	U.S. Refinery and Blender Net Production of Finished Motor Gasoline (Thousand Barrels)	EIA:MGFRPUS1, SCB, FRED:M01126USM387NNBR	1917/1
gas_cons	Domestic Consumption of Finished Motor Gasoline	EIA, SCB, FRED: M0127BUSM386NNBR	1917/8
gas_refinary	U.S. Total Gasoline Wholesale/Resale Price by Refiners	EIA: PET_EMA_EPM0_PWG_NUS_DPG_M, SCB, FRED	1918/1
gas_ny_spot	New York Harbor Conventional Gasoline Regular Spot Price FOB	EIA: PET_EER_EPMRU_PF4_Y35NY_DPG_W, SCB	1914/1
gas_retail	U.S. All Grades All Formulations Retail Gasoline Price	EIA: PET_EMM_EPM0_PTE_NUS_DPG_W, SCB	1924/1
crude_prod	Crude Oil Domestic Field production	EIA: PET_WCRFPUS2_W, SCB	1920/1
crude_exp	U.S. Exports of Crude Oil	EIA: PET_WCREXUS2_W, SCB	1920/1
crude_imp	U.S. Imports of Crude Oil	EIA: PET_WCRIMUS2_W, SCB	1920/1
crude_cons	Domestic Consumption of Crude Oil	EIA, SCB	1920/1
crude_cons_sa	Domestic Consumption of Crude Oil, SA	EIA, SCB	1920/1
crude_stocks	U.S. Ending Stocks of Crude Petroleum Oil	EIA, SCB	1918/1
crude_exp_val	Crude Petroleum export value	EIA	1920/1
crude_imp_val	Crude Petroleum import value	EIA	1920/1
crude_prod_val	U.S. Crude Oil field production value	EIA	1920/1
crude_price	Pennsylvania/Kansas/Oklahoma Oil prices spliced with WTI/ Brent spot price	NBER, FRED, SCB, EIA: DCOILBRENTEU	1900/1
crude_prod_gdp	U.S. Crude Oil field production-to-GDP	NBER, EIA	1920/1
crude_nx_gdp	Crude Petroleum trade balance-to-GDP	NBER, EIA	1920/1
nx_x_crude_gdp	NonPetroleum trade balance-to-GDP	NBER, EIA	1920/1
nx_x_crude	NonPetroleum trade balance	NBER, EIA	1920/1
crude_nx	Crude Petroleum trade balance	EIA	1920/1
residual_cons	Domestic Consumption of Residual Fuel Oil	EIA, SCB	1938/1
residual_imp	U.S. Imports of Residual Fuel Oil	EIA: PET_WREIMUS2_W, SCB	1936/1
residual_exp	U.S. Exports of Residual Fuel Oil	EIA: PET_WREEXUS2_W, SCB	1936/1
residual_price	U.S. Residual Fuel Oil Wholesale/Resale Price by Refiners	EIA: PET_EMA_EPPR_PWG_NUS_DPG_M, SCB	1923/1
residual_prod	U.S. Refiner and Blender Net Production of Residual Fuel Oil	EIA: PET_WRERPUS2_W, SCB	1932/1
residual_stocks	U.S. Ending Stocks of Residual Fuel Oil	EIA: PET_WRESTUS1_W, SCB	1936/1
distillate_cons	Domestic Consumption of Distillate Fuel Oil	EIA, SCB	1938/1
distillate_imp	U.S. Imports of Distillate Fuel Oil	EIA: PET_WDIIMUS2_W, SCB	1945/1
distillate_exp	U.S. Exports of Distillate Fuel Oil	EIA: PET_WDIEXUS2_W, SCB	1938/1
distillate_price	New York Harbor Ultra-Low Sulfur No 2 Diesel Spot Price	EIA: PET_EER_EPD2DXL0_PF4_Y35NY_DPG_D, SCB	1923/1
distillate_prod	U.S. Refiner and Blender Net Production of Distillate Fuel Oil	EIA: PET_WDIRPUS2_W, SCB	1932/1
distillate_stocks	U.S. Ending Stocks of Distillate Fuel Oil	EIA: PET_WDISTUS1_W, SCB	1932/1
fuel_cons	Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline Consumption, thousands of barrels	EIA, SCB	1938/1
fuel_exp	Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline exports, thousands of barrels	EIA, SCB	1938/1
fuel_imp	Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline imports, thousands of barrels	EIA, SCB	1945/1
fuel_prod	Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline production, thousands of barrels	EIA, SCB	1932/1
fuel_stocks	Sum of Crude Petroleum, Distillate, Residual Fuel Oil and Finished Motor Gasoline stocks, thousands of barrels	EIA, SCB	1936/1

Coal

Identifier	Definition & Notes	Sources	Start
coal_cons	Coal consumption, thousands of short-tons	EIA, SCB	1923/1
coal_exp	Coal exports, thousands of short-tons	EIA, SCB	1923/1
coal_imp	Coal imports, thousands of short-tons	EIA, SCB	1973/1
coal_prod	Coal production, thousands of short-tons	EIA, SCB	1905/1
coal_stocks	Coal stocks, thousands of short-tons	EIA, SCB	1923/1
coal_price	Coal Price	EIA, SCB	1906/1

Metal

Identifier	Definition & Notes	Sources	Start
copper_price	Copper Futures, Continuous Contract #1 (HG1) (Front Month)	Quandl: CHRIS/CME_HG1, NBER, FRED	1900/1
copper_imp	Copper Imports in millions of dollars,Imports For Consumption Customs Value SITC3 #682	SCB, Census	1923/1
copper_exp	Copper and Copper Products Exports in millions of dollars, Domestic Exports FAS HTS2 #74	SCB, Census	1923/1
alum_imp	Aluminum Imports in millions of dollars,Imports For Consumption Customs Value SITC3 #684	SCB, Census	1955/1
alum_exp	Aluminum Exports in millions of dollars,Domestic Exports FAS SITC3	SCB, Census	1971/1
steel_imp	Steel and Iron Imports in millions of dollars, Imports for Consumption CIF HTS2	SCB, Census	1923/1
steel_exp	Steel and Iron Exports in millions of dollars, Domestic Exports HTS2 #72	SCB, Census³⁸	1923/1

Agriculture & Meat

Identifier	Definition & Notes	Sources	Start
wheat_price	wheat prices	NBER, FRED	1900/1
agg_exp	Agricultural Exports	NBER, USDA³⁹	1914/7
agg_imp	Agricultural Imports	NBER, USDA	1938/1
beef_veal_prod	Beef and Veal Production, Thousands of lbs	NBER, SCB, USDA	1921/1
pork_prod	Pork production, Thousands of lbs	NBER, SCB, USDA	1921/1
beef_prod	Beef Production, Thousands of lbs	NBER, SCB, USDA	1921/1
meat_prod	Red-meat Production, Thousands of lbs	NBER, SCB, USDA	1921/1
lamb_prod	Lamb Production, Thousands of lbs	NBER, SCB, USDA	1921/1
veal_prod	Veal Production, Thousands of lbs	NBER, SCB, USDA	1921/1
beef_veal_stocks	Beef and Veal Stocks, Thousands of lbs	NBER, SCB, USDA	1915/12
pork_stocks	Pork Stocks, Thousands of lbs	NBER, SCB, USDA	1916/1
beef_stocks	Beef Stocks, Thousands of lbs	NBER, SCB, USDA	1915/12
meat_stocks	Red-meat Stocks, Thousands of lbs	NBER, SCB, USDA	1917/1
lamb_stocks	Lamb Stocks, Thousands of lbs	NBER, SCB, USDA	1917/1
veal_stocks	Veal Stocks, Thousands of lbs	NBER, SCB, USDA	1944/6
beef_veal_imp	Beef and Veal Imports, Thousands of lbs	NBER, SCB, USDA	1929/1
pork_imp	Pork Imports, Thousands of lbs	NBER, SCB, USDA	1929/1
meat_imp	Red-meat Imports, Thousands of lbs	NBER, SCB, USDA	1929/1
beef_veal_exp	Beef and Veal Exports, Thousands of lbs	NBER, SCB, USDA	1913/1
pork_exp	Pork Exports, Thousands of lbs	NBER, SCB, USDA	1913/1
meat_exp	Red-meat Exports, Thousands of lbs	NBER, SCB, USDA	1913/1
beef_veal_cons	Beef and Veal Consumption, Thousands of lbs	NBER, SCB, USDA	1916/1
pork_cons	Pork Consumption, Thousands of lbs	NBER, SCB, USDA	1916/1
meat_cons	Red-meat Consumption, Thousands of lbs	NBER, SCB, USDA	1916/1
meat_price	Red-meat Price Index	NBER, SCB, USDA	1913/1

Trade and International Database

Net Exports

For most series as related to services, annual data is interpolated from 1929-1960; quarterly data is interpolated from 1960-1991; monthly data used thereafter.

Identifier	Definition & Notes	Sources	Start
noncmd_nx	Goods Trade Balance excluding Energy, Agricultural goods, copper, steel and iron and aluminum	EIA; USDA; SCB; Census	1971/1
cmd_nx	Trade balance in Energy, Agricultural goods, copper, steel and iron and aluminum	EIA; USDA; SCB; Census	1971/1
nx_goods	Goods Trade Balance	NBER; Census	1901/1
nx_serv	Services Trade Balance	NBER; Census; FRED:Q07053USQ027NNBR, NETEXP, BOPGSTB; Council of Economic Advisors⁴⁰	1929/1
nx_goods_gdp	Goods Trade Balance to GDP	NBER; Census	1901/1
nx_serv_gdp	Services Trade Balance to GDP	NBER; Census; Council of Economic Advisors	1929/12
goods_imp	Goods Imports	NBER; FRED:M07028USM144NNBR, XTIMVA01USM664N, VALIMPUSM052N, IMP0015	1901/1
goods_exp	Goods Exports	NBER; FRED:M07023USM144NNBR, XTEXVA01USM664N, VALEXPUSM052N, EXP0015	1901/1
serv_imp	Service Imports	NBER; Census; FRED:BOPMSV,BOPSIMP; Council of Economic Advisors	1929/12
serv_exp	Service Exports	NBER; Census; FRED:BOPXSV,BOPSEXP; Council of Economic Advisors	1929/12
nx_to_gdp	Net exports of goods and services to GDP	NBER; SCB; Census; Council of Economic Advisors	1929/12
nx	Net exports of goods and services; Annual data is interpolated from 1929-1938; quarterly data is interpolated from 1939-1991; monthly data used thereafter.	NBER; SCB; Census; FRED: BOPGSTB; Council of Economic Advisors	1929/12

Foreign Purchases and Sales

Identifier	Definition & Notes	Sources	Start
st_liabs_to_for	Short-term liabilities of U.S. residents held by foreigners	TIC: bltype_history	1929/5
tbill_for_total	Foreign Holdings of Tbills	TIC: bltype_history	1950/1
tbill_foi_total	Foreign Official Holdings of Tbills	TIC: bltype_history	1961/1
tbill_priv_total	Private Foreign Holdings of Tbills	TIC: bltype_history	1961/1
tbill_net	Foreign Net purchases of Tbills	TIC: bltype_history	1950/2
tbill_foi_net	Foreign Official Net purchases of Tbills	TIC: bltype_history	1961/2
tbill_priv_net	Foreign Private Net purchases of Tbills	TIC: bltype_history	1961/2
total_net_frn	Net purchases of US and Foreign LT secs	TIC: s1_99996	1935/1
total_net_bond	Net purchases of US and Foreign Bonds	TIC: s1_99996	1943/1
total_net_stock	Net purchases of US and Foreign Stocks	TIC: s1_99996	1943/1
dom_ltsecs_pur	Gross purchases of US LT secs	TIC: s1_99996	1936/2
dom_ltsecs_sales	Gross sales of US LT secs	TIC: s1_99996	1936/2
dom_ltsecs_net	Net purchases of US LT secs	TIC: s1_99996	1935/1
corp_agency_bond_pur	Gross purchases of US Corp and Agency Bonds	TIC: s1_99996	1950/1
corp_agency_bond_sales	Gross sales of US Corp and Agency Bonds	TIC: s1_99996	1950/1
corp_agency_bond_net	Net purchases of US Corp and Agency Bonds	TIC: s1_99996	1950/1
corp_bond_pur	Gross purchases of US Corp Bonds	TIC: s1_99996	1977/1
corp_bond_sales	Gross sales of US Corp Bonds	TIC: s1_99996	1977/1
agency_gross_pur	Gross purchases of Agency Bonds	TIC: s1_99996	1977/1
agency_gross_sales	Gross sales of Agency Bonds	TIC: s1_99996	1977/1
frn_ltsecs_pur	Gross purchases of Foreign LT secs	TIC: s1_99996	1942/1
frn_ltsecs_sales	Gross sales of Foreign LT secs	TIC: s1_99996	1942/1
frn_ltsecs_net	Net purchases of Foreign LT secs	TIC: s1_99996	1935/1
dom_stocks_pur	Gross purchases of US Equities	TIC: s1_99996	1942/1
dom_stocks_sales	Gross sales of US Equities	TIC: s1_99996	1942/1
dom_stocks_net	Net purchases of US Equities	TIC: s1_99996	1942/1
dom_bonds_pur	Gross purchases of US Bonds	TIC: s1_99996	1942/1
dom_bonds_sales	Gross sales of US Bonds	TIC: s1_99996	1942/1
dom_bonds_net	Net purchases of US Bonds	TIC: s1_99996	1942/1
frn_bonds_pur	Gross purchases of Foreign Bonds	TIC: s1_99996	1943/1
frn_bonds_sales	Gross sales of Foreign Bonds	TIC: s1_99996	1943/1
frn_stocks_pur	Gross purchases of Foreign Stocks	TIC: s1_99996	1943/1
frn_stocks_sales	Gross sales of Foreign Stocks	TIC: s1_99996	1943/1
ust_sales	Gross sales of UST Notes and Bonds	TIC: s1_99996	1950/1
ust_pur	Gross purchases of UST Notes and Bonds	TIC: s1_99996	1950/1
ust_net	Net purchases of UST Notes and Bonds	TIC: s1_99996	1950/1
ust_foi_net	Net purchases by Foreign Official Institutions of US Notes and Bonds	TIC: s1_99996	1963/5
ust_other_frners_net	Net purchases of UST Notes and Bonds by Private	TIC: s1_99996	1963/5
ust_iro_net	Net purchases of UST Notes and Bonds by International and Regional Organizations	TIC: s1_99996	1962/11

Bilateral Trade

The trade database consists of bilateral trade flows with the United States.⁴¹ "_imp" denotes U.S. imports from that country; "_exp" denotes U.S. exports to that country.

Identifier	Region	Sources	Start
africa_imp	Africa	SCB, FT990, FRED⁴²	1920/1
asia_imp	Asia	SCB, FT990, FRED:IMP0016	1959/1
asia_and_oceania_imp	Asia and Oceania	SCB, FT990, FRED	1920/1
australia_and_oceania_imp	Australia and Oceania	SCB, FT990, FRED:IMP0018	1959/1
aud_imp	Australia	SCB, FT990, FRED:IMP6021	1938/1
europe_imp	Europe	SCB, FT990, FRED⁴³	1920/1
north_america_imp	North America	SCB, FT990, FRED:IMP0010	1923/1
central_and_south_america_imp	Central and South America	SCB, FT990, FRED:IMP0009	1923/1
can_imp	Canada	SCB, FT990, FRED:IMPCA	1920/1
mex_imp	Mexico	SCB, FT990, FRED:IMPMX	1923/1
south_america_imp	South America	SCB, FT990, FRED⁴⁴	1920/1
egy_imp	Egypt	SCB, FT990, FRED:IMP7290	1938/1
zar_imp	South Africa	SCB, FT990, FRED:IMP7910	1938/1
sgp_imp	Singapore	SCB, FT990, FRED:IMP5590	1959/1
chn_imp	China	SCB, FT990, FRED:IMPCH	1938/1
ind_imp	India	SCB, FT990, FRED:IMP5330	1938/1
pak_imp	Pakistan	SCB, FT990, FRED:IMP5350	1959/1
mal_imp	Malaysia	SCB, FT990, FRED:IMP5570	1947/1
idn_imp	Indonesia	SCB, FT990, FRED:IMP5600	1938/1
php_imp	Philippines	SCB, FT990, FRED:IMP5650	1938/1
jpn_imp	Japan	SCB, FT990, FRED:IMPJP	1920/1
fra_imp	France	SCB, FT990, FRED:IMPFR	1920/1
ger_imp	Germany	SCB, FT990, FRED:IMPGE	1920/1
ita_imp	Italy	SCB, FT990, FRED:IMP4759	1920/1
rus_imp	USSR/Russia	SCB, FT990, FRED:IMP4621	1938/1
gbr_imp	United Kingdom	SCB, FT990, FRED:IMPUK	1920/1
arg_imp	Argentina	SCB, FT990, FRED:IMP3570	1920/1
bra_imp	Brazil	SCB, FT990, FRED:IMP3510	1923/1
chl_imp	Chile	SCB, FT990, FRED:IMP3370	1923/1
col_imp	Colombia	SCB, FT990, FRED:IMP3010	1941/1
ven_imp	Venezuela	SCB, FT990, FRED:IMP3070	1941/1

Real U.S. Exchange Rate Pairs

Identifier	Definition & Notes	Sources	Start
arg_real	Argentina	BMS, RR, BIS, FED	1920/1
aud_real	Australia	BMS, RR, BIS, FED	1920/1
bra_real	Brazil	BMS, RR, BIS, FED	1920/1
cad_real	Canada	BMS, RR, BIS, FED	1920/1
che_real	Swiss Franc	BMS, RR, BIS, FED, SNB⁴⁵	1920/1
chl_real	Chile	BMS, RR, BIS, FED	1920/1
chn_real	China Franc	BMS, RR, BIS, FED	1920/1
esp_real	Spain	BMS, RR, BIS, FED, NBER	1920/1
fra_real	France	BMS, RR, BIS, FED, NBER	1920/1
gbp_real	U.K.	BMS, RR, BIS, FED, BOE	1920/1
ger_real	Germany	BMS, RR, BIS, FED, NBER	1920/1
ind_real	India	BMS, RR, BIS, FED	1920/1
ita_real	Italy	BMS, RR, BIS, FED	1920/1
jpn_real	Japan	BMS, RR, BIS, FED	1920/1
mex_real	Mexico	BMS, RR, BIS, FED	1920/1
nor_real	Norway	BMS, RR, BIS, FED	1920/1
nzl_real	New Zealand	BMS, RR, BIS, FED	1920/1
prt_real	Portugal	BMS, RR, BIS, FED	1920/1
swe_real	Sweden	Volume I: Exchange Rates, Prices, and Wages, 1277-2008⁴⁶, BIS, FED	1900/1
usa_real	United States	BMS, RR, BIS, FED	1920/1
zaf_real	South Africa	BMS, RR, BIS, FED	1920/1
real_fx	U.S. Real Trade-weighted exchange rate	BMS, RR, FED, BIS	1920/1
eurusd_real	Real EUR/USD effective exchange rate	BMS, RR, BIS, FED	1920/1

Long-term Bond Yields

Identifier	Definition & Notes	Sources	Start
aus_by	Australia	IMF, Yale, JST	1869/1
bel_by	Belgium	IMF, Yale, JST	1869/1
can_by	Canada	IMF, Yale, Canada Stats	1869/1
dnk_by	Denmark	IMF, Yale, JST	1869/1
fra_by	France	IMF, Yale, JST, NBER	1869/1
gbr_by	U.K.	IMF, Yale, BOE⁴⁷	1869/1
deu_by	Germany	IMF, Yale, JST	1869/1
ita_by	Italy	IMF, Yale, JST	1869/1
jpn_by	Japan	IMF, Yale, JST	1869/1
nld_by	Netherlands	IMF, Yale, JST	1869/1
nor_by	Norway	IMF, Yale, JST	1869/1
nzl_by	New Zealand	IMF, Yale, JST	1869/1
prt_by	Portugal	IMF, Yale, JST	1869/1
swe_by	Sweden	IMF, Yale, Central Bank	1869/1
usa_by	United States	IMF, Yale, JST	1869/1
zaf_by	South Africa	IMF, Yale, JST	1869/1

Global Consumer Price Indexes

Identifier	Definition & Notes	Sources	Start
arg_cpi	Argentina	CFS⁴⁸,RR, BIS	1920/1
aus_cpi	Australia	CFS,RR, BIS	1920/1
bra_cpi	Brazil	CFS,RR, BIS	1920/1
can_cpi	Canada	CFS,RR, BIS	1920/1
che_cpi	Swiss Franc	CFS,RR, BIS, SNB⁴⁹	1920/1
chl_cpi	Chile	CFS,RR, BIS	1920/1
chn_cpi	China Franc	CFS,RR, BIS	1920/1
esp_cpi	Spain	CFS,RR, BIS, NBER	1920/1
fra_cpi	France	CFS,RR, BIS, NBER	1920/1
gbr_cpi	U.K.	RR, BIS, BOE⁵⁰	1920/1
ger_cpi	Germany	CFS,RR, BIS, NBER	1920/1
ind_cpi	India	CFS,RR, BIS	1920/1
ita_cpi	Italy	CFS,RR, BIS	1920/1
jpn_cpi	Japan	CFS,RR, BIS	1920/1
mex_cpi	Mexico	CFS,RR, BIS	1920/1
nor_cpi	Norway	CFS,RR, BIS	1920/1
nzl_cpi	New Zealand	CFS,RR, BIS	1920/1
por_cpi	Portugal	CFS,RR, BIS	1929/3
swe_cpi	Sweden	Volume I: Exchange Rates, Prices, and Wages, 1277-2008⁵¹, BIS	1900/1
saf_cpi	South Africa	CFS,RR, BIS	1920/1

Demographic and Vitality

Identifier	Definition & Notes	Sources	Start
households	Number of Households	Census, FRED:TTLHHM156N	1955/4
pop	Population	Census	1900/1

Other Series

Identifier	Definition & Notes	Sources	Start
epu	Economic Policy Uncertainty	Baker, Bloom,and Davis	1900/1
ngdpm	Nominal GDP interpolated monthly and extended with NY Fed GDP tracker, in millions divided by 12	Gordon and Balke (1986)⁵² BEA, NY Fed	1900/1
rgdpm_d1	Real GDP growth, monthly annualized rate	The Brave-Butters-Kelley Indexes (BBKI)⁵³	1960/1
mzmsl	MZM Money Stock, Billions, SA	Federal Reserve Bank of St. Louis	1959/1
taungdppercapita	Trend Nominal GDP per capita	Capital Markets Data	1957/12
taucorecpi	Trend core CPI	Cieslak and Povala (2011)	1967/1
infexpst	Short-term inflation expectations - expectations of 1yr or less, interpolated	UMICH, Greenbook, SPF	1967/3
infexplt	Long-term inflation expectations - an average of 1yr ahead or greater inflation expectations. Lots of interpolation.	UMICH, Greenbook, SPF, Livingston Survey	1946/12
ismprices	ISM Price index	Institute for Supply Management	1948/1
ismnoinv	ISM New Orders index divided by Inventories index	Institute for Supply Management	1948/1
ism	ISM Manufacturing index	Institute for Supply Management	1948/1
coreinffactor	Core inflation factor	Gospodinov,N. and Ng, S., (2013)	1968/1
gz_spread	Corporate Bond Spread	Gilchrist, Simon, and Egon Zakrajšek. 2012	1973/1
ebp	excess bond premium	Gilchrist, Simon, and Egon Zakrajšek. 2012	1973/1
onset_sad	Monthly Onset (Seasonal Depression)	Jan Kamenta’s website	1900/1
cp	Commercial Paper Outstanding	FRMB	1919/1
cons_credit	Total Consumer Credit	NBER, FRED	1929/1
rsales	Nominal Retail Sales	NBER, FRED	1914/7
bsales	Nominal Manufacturing and Trade Sales	NBER, FRED, SCB	1939/1
sp_rsales	Stock Price to Retail Sales Ratio	NBER, FRED, Shiller	1914/7
sp_bsales	Stock Price to Business Sales Ratio	NBER, FRED, Shiller	1939/1
mergeacquis	Number of Mergers and Acquisitions - monthly average	Institute of Mergers, Acquisitions and Alliances (IMAA)⁵⁴, FTC⁵⁵	1900/1
mergeacquis_val	Dollar value of U.S. Mergers and Acquisitions - monthly average	Institute of Mergers, Acquisitions and Alliances (IMAA)⁵⁶	1988/1
tsy_oil_exp	Treasury holdings of Oil Exporters	calculated	1974/12

References

Cecchetti, Stephen G. “The case of the negative nominal interest rates: new estimates of the term structure of interest rates during the Great Depression.” Journal of Political Economy 96, no. 6 (1988): 1111-1141.
Cieslak, Anna, and Pavol Povala. “Expected returns in Treasury bonds.” The Review of Financial Studies 28.10 (2015): 2859-2901.
Gilchrist, Simon, and Egon Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” American Economic Review 102 (4): 1692-1720.
George Hall, Jonathan Payne, and Thomas J Sargent. United States Bond Data. 2018. URL https://github.com/jepayne/US-Federal-Debt-Public.
Gospodinov, N. and Ng, S., 2013. Commodity prices, convenience yields, and inflation. Review of Economics and Statistics, 95(1), pp.206-219.
Kamstra, M.J., Kramer, L.A. and Levi, M.D., 2014. Seasonal variation in Treasury returns.
McCracken, M.W. and Ng, S., 2016. FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics, 34(4), pp.574-589.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2017. “Macrofinancial History and the New Business Cycle Facts.” in NBER Macroeconomics Annual 2016, volume 31, edited by Martin Eichenbaum and Jonathan A. Parker. Chicago: University of Chicago Press.
Refet S. Gürkaynak, Brian Sack, and Jonathan H. Wright (2006), “The U.S. Treasury Yield Curve: 1961 to the Present,” Finance and Economics Discussion Series 2006-28, also published as Refet S. Gürkaynak, Brian Sack, and Jonathan H. Wright (2007), Journal of Monetary Economics, vol 54, pp2291-2304.
Sabol, Steven, The History of Foreign Transactions in U.S. Securities Markets (September 5, 2018). Available at SSRN: https://ssrn.com/abstract=3244333 or http://dx.doi.org/10.2139/ssrn.3244333
Samuel H. Williamson, ‘What Was the U.S. GDP Then?’ Measuring Worth, 2019.
Shiller, Robert J., and J. Huston McCulloch. “The term structure of interest rates.” Handbook of monetary economics 1 (1990): 627-722.
Warren, G.F. and F.A. Pearson (1933), Prices. New York: John Wiley and Sons.

:https://www.treasurydirect.gov/govt/reports/pd/mspd/mspd.htm ↩
:https://www.federalreserve.gov/data/corpsecure/current.htm ↩
:https://www.fanniemae.com/portal/funding-the-market/debt/reports/index.html ↩
:http://www.freddiemac.com/debt/data/cgi-bin/debtissuancebymonth.cgi?order=TD&year=2020&curr=↩
:https://www.federalreserve.gov/data/govsecure/current.htm ↩
:https://www.federalreserve.gov/releases/efa/efa-project-equity-issuance-retirement.htm ↩
:https://www.cmalert.com ↩
:https://www.abalert.com ↩
:https://home.treasury.gov/data/investor-class-auction-allotments ↩
:http://www.freddiemac.com/debt/securities-data/↩
:https://github.com/jepayne/US-Federal-Debt-Public ↩
:https://www.dallasfed.org/~/media/documents/research/govdebt.xlsx ↩
: Homer, S. and Sylla, R.E., 1996. A history of interest rates. Rutgers University Press.↩
:https://www.nber.org/chapters/c1211.pdf <!-- [^tips]::https://www.federalreserve.gov/data/yield-curve-tables/feds200805.csv

↩

:https://home.treasury.gov/data/treasury-coupon-issues-and-corporate-bond-yield-curves/treasury-coupon-issues ↩

:https://www.nber.org/papers/w2472.pdf ↩

:https://www.nber.org/papers/w2341.pdf ↩

:https://www.federalreserve.gov/data/nominal-yield-curve.htm ↩

:https://www.nber.org/chapters/c3184.pdf and https://www.nber.org/chapters/c3180.pdf ↩

:https://catalog.archives.gov/search?q=:&f.parentNaId=624419&f.level=fileUnit&sort=naIdSort%20asc&rows=100&offset=100↩

:https://www.federalreserve.gov/publications/files/HMDA_data_94-16.CSV ↩

:https://www.consumerfinance.gov/documents/6492/bcfp_hmda_2017-mortgage-market-activity-trends_tables.xlsx ↩

:https://www.consumerfinance.gov/data-research/consumer-credit-trends/mortgages/origination-activity/↩

:https://www.hud.gov/program_offices/housing/hsgrroom/fhaprodrpt ↩

:https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_issuance_reports.aspx ↩

:http://www.freddiemac.com/investors/financials/monthly-volume-summaries.html ↩

:https://www.ginniemae.gov/data_and_reports/reporting/Pages/global_market_analysis.aspx ↩

:http://www.fanniemae.com/portal/about-fm/investor-relations/monthly-summary.html ↩

:“No idea” where the Federal Reserve Bulletin numbers came from↩

:FHLMC Mortgage “sales” - this is how it is labelled in the Federal Reserve Monthly Bulletin, However the number used in that publication corresponds to issuance. From the Monthly Volume Summary: “Issuances. Consists of: (a) guaranteed securities issued by Freddie Mac where the underlying collateral are mortgage loans or mortgage-backed securities; and (b) Other mortgage-related guarantees include tax-exempt multifamily housing revenue bonds, HFA bonds, and credit-related commitments with respect to single-family mortgage loans.”↩

:https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_issuance_reports.aspx ↩

:https://www.ginniemae.gov/data_and_reports/reporting/Pages/monthly_rpb_reports.aspx ↩

:https://www.hud.gov/program_offices/housing/comp/rpts/mfh/mf_f47t and https://www.hud.gov/program_offices/housing/comp/rpts/mfh/mf_f47 ↩

:https://www.fanniemae.com/resources/file/mbs/xls/fannie-mae-multifamily-monthly-issuances-report.xlsx ↩

:https://www.census.gov/construction/nrs/xls/price_uc_cust.xls ↩

:https://www.census.gov/construction/nrs/xls/price_sold_cust.xls ↩

:https://dataweb.usitc.gov ↩

:https://www.ers.usda.gov/data-products/foreign-agricultural-trade-of-the-united-states-fatus/us-agricultural-trade-data-update/↩

: Council of Economic Advisers (U.S.) , United States. Congress. Joint Economic Committee, 1956- and United States. Office of Federal Statistical Policy and Standards. “U.S. Exports and Imports of Goods and Services,” in Council of Economic Advisers (U.S.) , United States. Congress. Joint Economic Committee, 1956- and United States. Office of Federal Statistical Policy and Standards. “1962,” Supplement to Economic Indicators (1962) : 89-93. https://fraser.stlouisfed.org/title/177/item/5399/toc/129470, accessed on August 2, 2020.↩

: See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3245138 for more information about data coverage and definitions↩

: see https://research.stlouisfed.org/pdl/1028 for the list of codes for African nations↩

: see https://research.stlouisfed.org/pdl/1029 for the list of codes for European nations↩

: see https://research.stlouisfed.org/pdl/1193 for the list of codes for South America↩

:https://www.snb.ch/en/iabout/stat/statrep/statpubdis/id/statpub_histz_arch#t2 ↩

:https://www.riksbank.se/globalassets/media/forskning/monetar-statistik/volym1/7.pdf ↩

:https://www.bankofengland.co.uk/-/media/boe/files/statistics/research-datasets/a-millennium-of-macroeconomic-data-for-the-uk.xlsx?la=en&hash=73ABBFB603A709FEEB1FD349B1C61F11527F1DE4 ↩

:http://www.centerforfinancialstability.org/hfs.php ↩

:https://www.snb.ch/en/iabout/stat/statrep/statpubdis/id/statpub_histz_arch#t2 ↩

:https://www.bankofengland.co.uk/-/media/boe/files/statistics/research-datasets/a-millennium-of-macroeconomic-data-for-the-uk.xlsx?la=en&hash=73ABBFB603A709FEEB1FD349B1C61F11527F1DE4 ↩

:https://www.riksbank.se/globalassets/media/forskning/monetar-statistik/volym1/7.pdf ↩

:https://www.nber.org/data/abc/↩

:https://www.chicagofed.org/publications/bbki/index ↩

:https://imaa-institute.org/m-and-a-us-united-states/↩

:https://www.ftc.gov/policy/reports/policy-reports/annual-competition-reports ↩

:https://imaa-institute.org/m-and-a-us-united-states/↩

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Identifier	Definition & Notes	Sources	Start
aaasurvrp	\(E_t^{SPF}[AAA_{t+1}] - AAA_t\) \(E_t^{SPF}[AAA_{t+1}]\) is interpolated to a monthly frequency	SPF, Moody’s	1981/9
exp_ret_ngdpcapita	yield_avg + 8*(yield_avg - taungdppercapita) - one	calc	1957/5
cond_slope_dist	Yield curve slope less predicted by taucorecpi	calc	1967/01
rpf	return predicting factor using trend core inflation	calc	1967/01
cond_level_dist	Actual level less predicted by trend core cpi	calc	1967/01
reg_slope	predicted yield curve slope using trend core cpi	calc	1967/01
cbar	average of regression fitting errors	calc	1967/01
y1_pred	predicted 1-yr Treasury using trend core cpi	calc	1967/01
ybar_pred	predicted level of rates using trend core cpi	calc	1967/01
cond_slope_dist_gdp	Yield curve slope less predicted by trend NGDP per capita	calc	1957/5
rpf_gdp	return predicting factor using trend NGDP per capita	calc	1957/5
cbar_gdp	average of regression fitting errors	calc	1957/5
cond_level_dist_gdp	Actual level less predicted by trend NGDP per capita	calc	1957/5
reg_slope_gdp	predicted yield curve slope using trend NGDP per capita	calc	1957/5
y1_pred_gdp	predicted one year Treasury using trend NGDP per capita	calc	1957/5
ybar_pred_gdp	predicted level of rates using trend NGDP per capita	calc	1957/5
y_ret_bar	average annual Treasury returns	calc	1954/12
y_bar	average level of rates	calc	1929/1
rpf_cp_isat	expected returns using an ISAT regression	calc	1969/1
rpf_cp_isat2	expected returns using an alternative ISAT regression	calc	1969/1