Federal Reserve Economic Data

FRED provides not only data, but also a data release calendar. The calendar shows the dates and times of economic announcements from the US government and other sources. Simply click on “Release Calendar” on the FRED home page.

The default for the release calendar is the release data for the current week. But you can easily go back in time to find historical data in these releases: Use the radio button to choose weeks and months and the dropdown list to choose years. You can also select a specific type of release with that pulldown menu.

Example 1: If you select, say, the year 2022 and the month of March, and you leave the pulldown menu set to its default of “All Releases,” then you’ll see a calendar of all the releases for each day in March 2022. Click on the releases link on a particular day in the calendar, and links for the releases on that day will appear below the calendar.

Example 2: If you select March 2022 but select “Gross Domestic Product” (GDP) from the pulldown menu, you’ll see all the GDP releases for that month. Turns out, there was only one GDP release that month: at 7:30 AM, Central Time, March 30, 2022. Click the link on March 30, 2022, on the calendar to see information below the calendar. The link on the left goes to the historical GDP data series page, which provides both nominal and real GDP measures and breakdowns of GDP by personal and government categories. The status column on the right displays the term “Updated,” which indicates this FRED series has indeed been updated with this March 30, 2020, data release.

There are at least a few reasons why you might want to know about the dates of data releases.

Newly released data can move financial markets and generate news stories. If you look at the releases for a given day, you can then see which releases may have made an impact, including which releases the financial press judged to be important.

If you are testing historical forecasts, you want to see when a particular type of data was released to know exactly when it could have been used in those forecasts. If you’re testing, say, the use of GDP to predict some other variable, then you want to have the best estimate of GDP available on that specific forecast date. (For variables such as GDP, which are revised after their initial release, you likely want to look up the original vintage—i.e., the value of the initial release of GDP on a specific date—on ALFRED.)

And you might want to know when important data releases will occur so that you’re prepared for them and the possibility of short-term volatility that may occur in financial markets. Research indicates that the most important announcements for financial markets are monetary policy announcements and employment data releases.

This release calendar is just one way FRED provides economists and anyone who loves economics with data and information for economic decisionmaking.

Suggested by Christopher Neely.

The Russian invasion of Ukraine and the ensuing economic sanctions imposed by the European Union and the United States have created great volatility in energy markets. Natural gas is intensely used by European households for heating, and most of it is imported. Closing the natural gas spigot from Russia has caused energy prices in Europe to flare up.

The FRED graph above shows International Monetary Fund data for natural gas prices in the European Union (in blue) and in the United States (in red). Between 1991, when the first data are available, and 2008, the commodity price was almost identical on either side of the Atlantic Ocean. Between 2008 and mid-2020, uneven and relatively small differences in price were noticeable. Since then, natural gas prices in the European Union and in the United States have markedly diverged. (Natural gas in its natural state is delivered by regional pipelines and is not as easy to transport globally as petroleum is. So, it’s hard to pin down a global price for it. But the global market is expanding for liquified natural gas.)

The daily price for natural gas in the U.S. didn’t register much of change at the onset of the Russian invasion of Ukraine in late February 2022. In contrast, overall European energy prices have steadily climbed; at the time of this writing, they hover 70% above their value at that time.

However, a combination of new suppliers of natural gas and reduced demand has turned the tide and significantly lowered the price of that commodity in Europe. But this is not the end of the story: Winter is here, natural gas demand will rise, and the military conflict that has been shutting out the closest supplier continues. So, uncertainty about energy prices in Europe will continue to fuel energy market news for the foreseeable future.

How this graph was created: Search FRED for “Global price of Natural gas, EU.” Next, click the “Edit Graph” button and use the “Add Line” tab to add “Global price of Natural Gas, US Henry Hub Gas.”

Suggested by Diego Mendez-Carbajo.

The FRED graph above depicts the St. Louis Fed’s Financial Stress Index (STLFSI). This data series in FRED was created in 2010 to measure changes in U.S. financial market conditions in response to a broad array of macroeconomic and financial developments. In particular, the STLFSI is designed to quantify financial market stress. There’s no specific definition for financial market stress, but periods of stress have historically been characterized by increased volatility of asset prices, reduced market liquidity conditions, or the narrowing or widening of key interest rate spreads. The STLFSI is constructed using 18 key indicators of financial market conditions—7 interest rates, 6 yield spreads, and 5 other indicators.

In late 2021, some Federal Reserve officials encouraged financial market participants and others to consider using an alternative short-term interest rate benchmark because of concerns about the eventual retirement of the London interbank offered rate (LIBOR). Since the STLFSI had two yield spreads based on the LIBOR, we replaced the LIBOR rate with the secured overnight financing rate (SOFR). Specifically, we shifted to the 90-day average SOFR. This rate measures the compounded average of the SOFR over a rolling 90-day period. In other words, it’s a backward-looking measure. We showed that the correlation between the previous version (STLFSI2) and the new version (STLFSI3) was 0.99 over the sample period dating back to December 1993. Click here for details and more information about this switch.

In 2022, we received numerous inquiries about the behavior of the STLFSI during the year. Most asked why the STLFSI was continuing to indicate lower-than-average levels of financial market stress, while other measures showed a “tightening” in financial market conditions. The divergence between the STLFSI and other indexes occurred more or less at the time when the Federal Open Market Committee (FOMC) began to signal its intent to raise its federal funds rate target in March 2022 and, importantly, subsequently signaled that further increases in the policy rate were likely in 2022—and perhaps in 2023.

Our analysis showed that instead of using the 90-day backward-looking SOFR rate, we should have used the 90-day forward-looking SOFR rate. In our view, using the forward-looking SOFR better captures financial market expectations in response to expected changes in the federal funds rate and its attendant effects on other asset prices and yields.

The second FRED graph plots the STLFSI4 and the STLFSI3 since early January 2020—just prior to the financial market turmoil and deep recession spawned by business and government actions designed to counteract the COVID-19 virus. In the graph, the two versions track each other closely over most of this period. But the close comovement began to erode in early February 2022, as it became clear that the FOMC was poised to begin raising its policy rate to combat an inflation rate that was the highest in 40 years. For example, the correlation between STLFSI3 and STLFSI4 was 0.993 from the week ending December 31, 1993, to the week ending January 28, 2022. Since the week ending February 4, 2022, the correlation has declined to 0.526.

A final takeaway from this second graph is that the new measure of the STLFSI shows that financial market stresses during the current Fed tightening episode are moderately higher compared with the previous version. Still, levels of financial market stress are currently near their historical levels. (In the index, zero is designed to be an “average” level of stress.) Moreover, the current Fed tightening episode has not triggered the kind of financial market stress seen during the heights of the pandemic-spawned shutdowns in the economy.

How these graphs were created: Search FRED for “Financial Stress Index” and make sure to take version 4. For the second graph, take the first, click on “edit graph,” open the “add line” tab, and search for “Financial Stress Index,” making sure to take version 3.

Suggested by Cassandra Marks, Kevin Kliesen, and Michael McCracken.