45-921 – Business Forecasting with Time Series Models
Library resource guide to finding quarterly and monthly historical data
If you’re off campus, login here first to use the databases.
- International Financial Statistics (from the IMF) - thousands of data points on international finance, including balance of payments, liquidity, money and banking, exchange rates, interest rates, prices, production, transactions, national accounts, and population. Important hint: when starting in this database, and also whenever you think it needs a reset, click first on "Options" and then "Restore to system default settings." You will also want to set your "Retrieval Period" - both the years and the intervals (yearly, quarterly or monthly) which is located under the "Log off" link in the upper left. Then, click on "Browse" to select your initial criteria. When you do, you will see all available variables - check off all the codes you want, click on the plus sign (after the word "Series") and then on "Retrieve." You can create a spreadsheet of whatever you have selected.
- LexisNexis Statistical Datasets - thousands of datasets in a wide range of categories; for countries other than the U.S., open the "International" category. When you select a specific variable, you'll see frequency (yearly, monthly, weekly or daily) and time span at the top. Tools for mapping, graphing, analysis and exporting are available. For the source of each data element, click on "Citations."
- WRDS - a uniform web interface to current and historical datasets in finance, economics and banking, from multiple sources. Some of those are: Standard & Poor’s Compustat, the Center for Research in Security Prices (CRSP,) Mergent, Dow Jones, the Federal Reserve, and the Chicago Board of Options Exchange.
Some other sources:
- FRED - Federal Reserve Economic Data - 20,318 U.S. economic time series from 25 sources. Click on "Updates" to search by frequency and starting date.
- Bureau of Labor Statistics - prices, employment, pay, productivity, etc.
- Bureau of Economic Analysis - US production, consumption, investment, exports/imports, income and saving, industry input-output accounts, foreign direct investment and balance of payments, etc.
- Manufacturers' Shipments, Inventories and Orders - monthly data from 1958 on economic conditions in the domestic
manufacturing sector - detailed product listing.
- Bank for International Settlements (BIS) - international banking, derivatives, securities, exchange rates, debt, etc.
- Yahoo Finance - daily, weekly, monthly historical prices for stocks, funds, indexes
- National Bureau for Economic Research (NBER) - many historical datasets of all kinds used by the NBER, such as "the 1947-2005 quarterly job flow series for US Manufacturing."
- International Economic Statistics Database (St. Louis Fed) - worldwide economic indicators, linking to original sources.
- OANDA Foreign Exchange Rates - daily rates for 164 currencies (and gold, silver and platinum) from1990 to the present.
- US Historical Climatology Network - daily and monthly climate observations.
- Econstats - aggregator of international official datasets
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