bcadata

This package, bcadata replicates and updates the data used by Angeletos, Collard, and Dellas in their paper “Business Cycle Anatomy”.

Angeletos, George-Marios, Fabrice Collard, and Harris Dellas. 2020. “Business-Cycle Anatomy.” American Economic Review, 110 (10): 3030-70.

The package pulls most of the data from FRED and TFP data from the San Francisco Fed.

The data series constructed are:

• output, Real GDP per capita
• investment, Real investment per capita
• consumption, Real consumption per capita
• hours_worked, Hours Worked
• unemployment, Unemployment Rate (as percent)
• labor_share, Labor share of output
• interest, Fed Funds interest rate (quarterly rate, not annual)
• inflation, Inflation rate, from GDP price deflator
• productivity, Productivity (NFB)
• TFP, Total Factor Productivity cummulative

Installation

You can install the development version of bcadata from GitHub with:

# install.packages("devtools")
devtools::install_github("VFCI/bcadata")

FRED API Key

This package requires a FRED API key to pull data from the St. Louis Fed.

You can get an API key here.

Usage

  library(bcadata)

There are two functions exported from the package:

## Construct the updated data series
df <- pull_bcadata(fred_api_key = my_api_key)

## Chart comparing the updated series to the original data
compare_bcadata(df)

The package includes the original dataset from the author’s replication files.

original_bcadata

Vintage data

There is also an option to use vintage data for the data pulled from FRED. This makes use of ALFRED, the archival version of FRED.

To pull data using a specific vintage date:

df <- pull_bcadata(fred_api_key = my_api_key, vintage_date = "2020-01-01")

Replication of Original BCA data

With specific validation dates, this package can replicate the data used in the BCA paper.

Data for TFP is pulled from John G. Fernald’s website where he stores archived versions of the TFP data hosted at the San Francisco Fed. To replicate the original paper, the package pulls the file data_quarterly_2018.05.03.xlsx.

For the other macro time series, all are pulled using ALFRED, using the validation date of "2018-07-26", except for the series for real GDP, which is pulled using the validation date "2018-07-28".

This is accomplished by setting the parameter replicate to TRUE. Note that TFP is off by a constant value of 20.26 from the original data. The original author’s code does not make clear why or how this adjustment was made, so this package does not make it.

replication <- pull_bcadata(my_api_key, replicate = TRUE)

compare_bcadata(replication)