In expersso/BIS: Programmatic Access to Bank for International Settlements Data

knitr::opts_chunk$set(
  message = FALSE,
  warning = FALSE,
  collapse = TRUE,
  fig.width = 6, 
  fig.height = 4
)

BIS

The BIS package package provides an R interface to data hosted by the Bank for International Settlements.

The package can be installed from either CRAN or Github.

library(devtools)
install_github("expersso/BIS") # Github
install.packages("BIS")        # CRAN

Example usage

The get_datasets downloads a list of available datasets.

library(BIS)

datasets <- get_datasets()
head(datasets, 20)

The function get_bis takes a url as input and downloads and parses the corresponding CSV file from the BIS website. This automatic parsing of the data is the major contribution of this package, since the different CSVs follow different formats.

The following code loads monthly data on central banks' policy rates:

rates <- get_bis(datasets$url[datasets$name == "Policy rates (monthly)"], quiet = TRUE)
head(rates)

We plot these data for a subset of countries.

library(dplyr)
library(ggplot2)
library(zoo)

rates_plot <- rates %>%
  mutate(date = as.Date(as.yearmon(date))) %>%
  filter(grepl("^(XM|US|CH|JP|GB|CA)", ref_area))

ggplot(rates_plot, aes(date, obs_value, color = reference_area)) +
  geom_hline(yintercept = 0, linetype = "dashed",
             color = "grey70", size = 0.02) +
  geom_line(show.legend = FALSE) +
  facet_wrap(~reference_area) +
  theme_light() +
  theme(panel.grid = element_blank()) +
  labs(x = NULL, y = NULL,
       title = "Central bank policy rates",
       subtitle = "% per annum")

Note that the BIS data sets come with a number of different time formats, so it's up to the user to parse these for himself/herself. The zoo package (especially as.yearqtr and as.yearmon) should take care of most cases.

Please also note that some datasets are fairly large (especially the first three returned by get_datasets), so you may need to run 64-bit R in order to load all the data into memory.

Finally, please don't abuse BIS's servers with unnecessary calls.