econ_data: Function to parse economic data

In Rishi0812/MacroDiffusionIndex: Machine Learning for Macro Economic Diffusion Indexes

Description

The mdi_get_data() function currently retrieves data from FRED.

The 'default' series includes a range of indicators from Fundamental to Behavioral and Catalyst categories. The sub-categories and their respective tickers and descriptions are described in the Details section. Users can specify their own character of symbols TODO - add descriptions next to ticker

Usage

econ_data

Arguments

symbols

Character vector of symbol names to download. Default: NULL, which will return all the symbols described in @details.

Format

An object of class environment of length 1.

Details

The sub-categories and their respective tickers and descriptions are described below.

FUNDAMENTAL
Economic Trend:
OECDLOLITOAASTSAM	TODO: add description
ICSA
INDPRO
T10Y2Y
BAA10Y
---	---
Liquidity:
NFCI
---	---
Velocity:
M2V
TOTCI
M0263AUSM500NNBR
M0264AUSM500NNBR
BOGZ1FA895050005Q
---	---
---	---
BEHAVIORAL
Confirmation Bias: Surveys
UMCSENT
CSUSHPISA
SPCS20RSA
---	---
Representative Bias: Options Market
VIXCLS
VXVCLS
EVZCLS
THREEFYTP10 -
---	---
Cognitive Dissonance:
EMVOVERALLEMV
---	---
Loss Aversion:
---	---
Anchoring Bias:
---	---
Framing Bias:
---	---
Overconfidence:
---	---
---	---
CATALYST
Earnings Surprise:
---	---
Economic Surprise:
CFNAIMA3
STLENI
STLFSI2
---	---
Geopolitics:
WLEMUINDXD

Value

Applicable time series data from FRED, stored as xts thanks to the internal getSymbols.FRED function. Data to be stored in a new environment called econ_data.

Examples

## Not run: 
econ_data$mdi_get_data()
View(econ_data$NFCI)
head(econ_data$ICSA)

## End(Not run)

Rishi0812/MacroDiffusionIndex documentation built on Dec. 18, 2021, 10:51 a.m.