Data Set

Macro-financial dataset (quarterly since 1950)

Public
Description
  • This page provides the new long macro-financial dataset used for the following paper. Monnet, Eric, and Damien Puy (2019), "One Ring to Rule Them All? New Evidence on World Cycles". International Monetary Fund working paper n° 19/202. [UPDATED VERSION COMING SOON] https://www.imf.org/en/Publications/WP/Issues/2019/09/20/One-Ring-to-Rule-Them-All-New-Evidence-on-World-Cycles-48652 Abstract: We estimate world cycles using a new quarterly dataset of output, credit and asset prices assembled using IMF archives and covering a large set of advanced and emerging economies since 1950. World cycles, both real and financial, exist and are generally driven by US shocks. But their impact is modest for most countries. The global financial cycle is also much weaker when looking at credit rather than asset prices. We also challenge the view that synchronization has increased over time. Although this is true for prices (goods and assets), this not true for quantities (output and credit). The world business and credit cycles were as strong during Bretton Woods (1950–1972) as during the Globalization period (1984-2006). For most countries, the way their output co-moves with the rest of the world has changed little over the last 70 years. We discuss the reasons behind these new findings and their policy implications for small open economies The dataset consists of five variables, available for a large cross section of countries since 1950, at quarterly frequency: (i) Real GDP (ii) Credit, (iii) Consumer Prices, (iv) Stock Prices, and (v) Sovereign Bond Yields . It currently covers (i) 37 countries for real GDP (ii) 45 countries for credit (iii) 48 countries for consumer prices (iv) 26 countries for stock prices and (v) 18 countries for bond yields. The data starts in 1950 (or early 1950s in few cases) and currently ends in 2019 Q4 for all variables. We refer readers to the documents below for important details about the methodology, sources and definitions. If you use the data, please cite the current version of the working paper/article as the source . Comments and suggestions for improvement are welcome. Material to download: § - Dataset (Stata, Excel & csv); § - Data Appendix (PDF) - Detailed presentation of the data, main sources, methodology, and comparisons with existing annual & quarterly datasets; § - Data sources (Excel) – Provides (i) units and definitions of the official data used to construct the dataset for recent years (ii) the starting date for the use IFS to construct individual series. (French)
Mention in publications, previous editions
  • Monnet, E., & Puy, D. (2019). One Ring to Rule Them All? New Evidence on World Cycles. International Monetary Fund.
Creator
Depositor
Data type
Additional resource type
Content language
License

Relations

Items