Programmatic access to the European Central Bank's Data Portal (EDP)
In ecb: Programmatic Access to the European Central Bank's Data Portal

knitr::opts_chunk$set(fig.path = "", fig.width = 6, fig.height = 5, 
                      cache = FALSE, warning = FALSE)

Introduction

The ecb package package provides an R interface to the European Central Bank's Data Portal.

Example usage

The following example extracts the last twelve observations of headline and "core" HICP inflation for a number of countries available in the ICP database. See details below on how to use the filter parameter and how to find and use the EDP series keys.

library(ecb)
library(ggplot2)

key <- "ICP.M.DE+FR+ES+IT+NL+U2.N.000000+XEF000.4.ANR"
filter <- list(lastNObservations = 12, detail = "full")

hicp <- get_data(key, filter)

hicp$obstime <- convert_dates(hicp$obstime)

ggplot(hicp, aes(x = obstime, y = obsvalue, color = title)) +
  geom_line() +
  facet_wrap(~ref_area, ncol = 3) +
  theme_bw(8) +
  theme(legend.position = "bottom") +
  labs(x = NULL, y = "Percent per annum\n", color = NULL,
       title = "HICP - headline and core\n")

Details

The filter option

The filter option of get_data() takes a named list of key-value pairs. If left blank, it returns all data for the current version.

Available filter parameters:

startPeriod & endPeriod
- YYYY for annual data (e.g.: 2013)
- YYYY-S[1-2] for semi-annual data (e.g.: 2013-S1)
- YYYY-Q[1-4] for quarterly data (e.g.: 2013-Q1)
- YYYY-MM for monthly data (e.g.: 2013-01)
- YYYY-W[01-53] for weekly data (e.g.: 2013-W01)
- YYYY-MM-DD for daily data (e.g.: 2013-01-01)
updatedAfter
- A timestamp to retrieve the latest version of changed values in the database since a certain point in time
Example: filter = list(updatedAfter = 2009-05-15T14:15:00+01:00)
firstNObservations & lastNObservations
- Example: filter = list(firstNObservations = 12) retrieves the first 12 observations of all specified series
detail
- Possible options: full/dataonly/serieskeysonly/nodata
- dataonly is the default
- Use serieskeysonly or nodata to list series that match a certain query, without returning the actual data
- An alternative to using serieskeys/nodata is the convenience function get_dimensions(), which returns a list of dataframes with dimensions and explanations (see extended example below).
- full returns both the series values and all metadata. This entails retrieving much more data than with the dataonly option.
includeHistory (not currently implemented)
- false (default) returns only version currently in production
- true returns version currently in production, as well as all previous versions

See the EDP API for more details.

Using EDP keys

The easiest way to find and learn more about EDP series key is to browse the EDP website. After finding the series one is interested in, and applying the relevant filters (frequency, geographic area, etc), one can just copy the key:

screenshot

The EDP website also has provides all the necessary metadata, so it is much easier to explore data availability (in terms of available breakdowns, time periods, etc) directly on the website than it is to do it directly through the ecb package.

The ecb package supports using wildcards in the series key, which takes the form of simply leaving the wildcard dimension empty. For example, the key ICP.M.DE.N.000000.4.ANR retrieves HICP data for Germany (DE), while leaving the third dimension empty - ICP.M..N.000000.4.ANR - retrieves the same data for all available countries and country groups.

Instead of wildcarding, one can use the + operator to specify multiple values for a dimension. For example, ICP.M.DE.N.000000+XEF000.4.ANR retrieves both headline inflation (000000) and core inflation (XEF000). Learning that e.g. XEF000 corresponds to core inflation would be done by browsing the EDP website:

screenshot2

To remind oneself of what different values for different dimensions mean, one can use the get_dimensions) function, which returns a list of dataframes:

dims <- get_dimensions("ICP.M.DE.N.000000+XEF000.4.ANR")
lapply(dims, head)

Extended example

As a more extended example, we will retrieve data to plot the annual change in wages against the annual change in unemployment. Economic theory suggests a negative relationship between these two variables.

We start by retrieving the two series, using wildcards for the geographic area dimension:

unemp <- get_data("LFSI.M..S.UNEHRT.TOTAL0.15_74.T", 
                 filter = list(startPeriod = "2000"))

wages <- get_data("MNA.A.N..W2.S1.S1._Z.COM_HW._Z._T._Z.IX.V.N", 
                 filter = list(startPeriod = "2000"))

head(unemp)
head(wages)

To get a human-readable description of a series:

desc <- head(get_description("LFSI.M..S.UNEHRT.TOTAL0.15_74.T"), 3)
strwrap(desc, width = 80)

We now join together the two data sets:

suppressPackageStartupMessages(library(dplyr))
suppressPackageStartupMessages(library(lubridate))

unemp <- unemp %>% 
  mutate(obstime = convert_dates(obstime)) %>% 
  group_by(ref_area, obstime = year(obstime)) %>% 
  summarise(obsvalue = mean(obsvalue)) %>%
  ungroup() %>% 
  select(ref_area, obstime, "unemp" = obsvalue)

wages <- wages %>% 
  mutate(obstime = as.numeric(obstime)) %>% 
  select(ref_area, obstime, "wage" = obsvalue)

df <- left_join(unemp, wages)
head(df)

Finally, we plot the annual change in wages against the annual change in unemployment for all countries:

library(ggplot2)

df %>% 
  filter(complete.cases(.)) %>% 
  group_by(ref_area) %>% 
  mutate(d_wage = c(NA, diff(wage)) / lag(wage),
         d_unemp = c(NA, diff(unemp))) %>% 
  ggplot(aes(x = d_unemp, y = d_wage)) +
  geom_point() +
  facet_wrap(~ref_area, scales = "free") +
  theme_bw(8) +
  theme(strip.background = element_blank()) +
  geom_smooth(method = "lm") +
  labs(x = "\nAnnual change in unemployment", y = "Annual change in wages\n",
       title = "Relationship between wages and unemployment\n")