indpro {dccmidas}

Monthly U.S. Industrial Production

Description

Monthly data on the U.S. Industrial Production index (IP, index 2012=100, seasonally adjusted) collected from the Federal Reserve Economic Data (FRED) archive. The IP has been used as MIDAS term in different contributions (see, for instance, Engle et al. (2013), Conrad and Loch (2015), and Amendola et al. (2017)).

Usage

data(indpro)

Format

An object of class "xts".

Source

Archive of the Federal Reserve Economic Data (FRED)

References

Amendola A, Candila V, Scognamillo A (2017). “On the influence of US monetary policy on crude oil price volatility.” Empirical Economics, 52(1), 155–178. doi:10.1007/s00181-016-1069-5.

Conrad C, Loch K (2015). “Anticipating Long-Term Stock Market Volatility.” Journal of Applied Econometrics, 30(7), 1090–1114. doi:10.1002/jae.2404.

Engle RF, Ghysels E, Sohn B (2013). “Stock market volatility and macroeconomic fundamentals.” Review of Economics and Statistics, 95(3), 776–797. doi:10.1162/REST_a_00300.

Examples

head(indpro)
summary(indpro)
plot(indpro)