pretty_name: All Monthly Macro
language:
- en
license: other
task_categories:
- time-series-forecasting
- tabular-regression
tags:
- finance
- quantitative-trading
- backtesting
- algorithmic-trading
- macro
- inflation
- labor
- monthly
size_categories:
- n<1K
extra_gated_prompt: >-
This dataset is free to browse and gated for download. Approval is tied to a
Papers With Backtest subscription, which also covers the other datasets in
this organisation and the strategy catalogue at
https://paperswithbacktest.com. Plans and what each one includes:
https://paperswithbacktest.com/pricing
All Monthly Macro
US inflation (CPI and PCE, headline and core) back to 1947, model and market inflation expectations back to 1982, and the labour market (unemployment, participation, job openings, hourly earnings) back to 1948, monthly.
Shape measured at the next refresh of dataset_cards/facts.json. Refreshed monthly.
Why It Matters
The inflation and labour series the macro papers condition on, in one table and in levels. date is the month the figure describes, not its release date: the release lag runs from one to six weeks depending on the series, and a strategy that trades on a print has to shift the row by that lag itself, as it does for All-Monthly-CoreEconomicData.
Load It
pip install --upgrade pwb-toolbox
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("All-Monthly-Macro")
print(df.iloc[-1, :])
Columns
| Column Name | Description |
|---|---|
| date | Reference month. |
| cpi / cpi_core / cpi_year_over_year | Consumer prices, level and 12-month change. |
| pce / pce_core / pce_spending | Personal consumption deflators and spending. |
| model_1_year ... model_30_year | Model-based expected inflation (Cleveland Fed). |
| market_5_year / market_10_year / forward_years_5_to_10 | Market-implied breakevens. |
| unemployment_rate / labor_force_participation_rate | Labour market rates, percent. |
| job_openings | JOLTS openings, thousands. |
| avg_hourly_earnings | Average hourly earnings, dollars. |
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers every dataset in this organisation and the strategy catalogue.
Elsewhere
- The strategy catalogue
pwb-toolbox, the loader used in the snippet above- Every dataset in this organisation