Note that this page focuses on free online / downloadable time-series data. I ignore the purely commercial data vendors that sell data only for money. I am also not interested in 'flash' or key indicators that are useful only for a simple table. Additionally, there is a bias towards data relevant for monetary economics: macroeconomics, financial markets, money-credit-and-banking.
NEVER simply 'trust' the data you download from a database. Always check for errors (typing errors, changes in definition, changes in magnitude, etc.). Before downloading data from any database, look up the corresponding printed version in order to familiarize yourself with the precise definition and source material of the data. Try to find a benchmark value that you know is correct for the data you want. Check whether the data conform to the precise definition you need. Be aware that any bird is not also a duck simply because it has a beak, two legs, and feathers. Similarly, a time series in a database is not always what you need simply because it has a been given a name equal to or resembling the one you expect for your data requirement.
Monetary macroeconomics, monetary policy
* NBER Data. Several datasets associated with NBER research programs.
* Penn World Tables. Online access to the famous Penn World Tables version 5.6 provided by the University of Toronto. Dataset used in many cross-country empirical studies. 152 countries and 29 subjects. Alternatively, see the NBER site, or the original at the University of Pennsylvania.
* Levine and Renelt (1992). Dataset used in cross-country economic growth studies. Covering 119 countries, period 1960-1989.
* Barro and Lee (1993). Dataset used for cross-country economic growth studies. Covering 138 countries, quinquennially data or five-year averages 1960-1985.
* Livingston Survey US forecasts. The survey consists of forecasts of 18 different variables describing national output, prices, unemployment, and other macroeconomic data. Survey of Professional Forecasters. Survey of US macroeconomic forecasts. Both surveys maintained by the FRB of Philadelphia.
* FRB Philadelphia Real-Time Data Research Center. Dataset of vintages of historical US macroeconomic variables ('real time'). Constructed by Croushore and Stark at the FRB of Philadelphia.
* EconData. Databank maintained at University of Maryland. Consists of zipped files with data for the US on National and State level, and international data.
* European macroeconomic time series. Annual data of key macroeconomic time series for European countries. Webpage related to the textbook Gärtner, A Primer in European Macroeconomics.
* World Economic Outlook Database. Dataset of the data used in the IMF's semi-annual World Economic Outlook. Several vintages of the database exist, each corresponding to a specific WEO.
* Bank of England UK GDP Real-Time Database.
* Keep it Real: Eggenton, Pick and Vahey (2001) UK Real-Time Macro Data Set.
* The EACBN Real Time Database. Real time database for the euro area and for the European countries.
* Beyer, Doornik and Hendry (2001 EJ) Historical Euro-Zone Data. Note that a few other Euro area datasets exist (usually as appendices of (working) papers on money demand equations): e.g. Coenen and Vega (1999 ECB, 2001 JAE), Brand and Cassola (2001 ECB). The OECD maintains a Eurozone historical dataset and also the ECB as part of their AWM macroeconomic model.
Unfortunately, due to differences in aggregation methods (both methodology, data selected, euro countries included) the data are different.
Financial markets, interest rates and stock prices
* The US term structure of interest rates. Dataset of US real and nominal interest rates by J. Huston McCulloch. Monthly data from 01/1997.
* US term structure data 1947-1991. Dataset of US nominal interest rates by McCulloch and Kwon (1993). Monthly data.
* Global Financial Data. Commercial providor of long-term data for many countries. Some samples available online.
* New York Stock Exchange: Data Library. Time series for NYSE stock market.
* Morgan Stanley Capital International: Stock return indices. Downloadable monthly time series starting end 1969.
* Dow Jones STOXX. Downloadable historical data for all the Dow Jones STOXX stock market indexes.
* Monthly returns for US mutual funds and security indices. Links to sources by William Sharpe at Stanford University.
* Fama-French benchmark factors and portfolios returns. Dataset of US stock returns by Kenneth French at MIT.
* William Schwert historical US stock market returns. Time series of monthly (1802-1925) and daily (1885-1962) stock market returns.
* International Federation of Stock Exchanges. Data on exchange-listed stocks and bonds from member exchanges.
* Robert Shiller historical US stock market data. Dataset used in Irrational Exuberance and Market Volatility
Exchange rates and international financial markets
* PACIFIC Exchange Rate Service. Online database exchange rates.
Money-credit-banking, financial services
* BIS International Financial Statistics. International banking, securities and derivatives statistics. Downloadable in csv format.
* Survey of Consumer Finances. Datasets of the triennial survey of US households. Official site at the Federal Reserve Board. Alternatively the SCF Users Group.
* US banks financial information. FRB Chicago database for financial information on commercial banks and bank holding companies. Based on reports of banks regulated by the Fed, FDIC and the Comptroller of the Currency.
United States
* FRB St. Louis FRED. Database for current US financial and economic time series.
* FRB St. Louis ALFRED. Database for historical vintages or 'real-time' US financial and economic time series.
* FRB St. Louis FRASER. Database of PDF files of US economic and statistical publications such as Survey of Current Business, Economic Indicators, Economic Report of the President and others.
* Federal Reserve Board: Statistical releases and historical data. Monetary data from the US Federal Reserve.
* US Economic Report of the President. Publication available online with database of long-run annual US time series.
* Bureau of Economic Analysis. Survey of Current Business and other BEA publications.
* FedStats. Gateway to statistics published by US federal agencies.
Euro area
* ECB Monthly Bulletin. MB Euro area statistics download area this page.
Special: Historical time series for euro area monetary aggregates and loans to other euro area residents. Monthly data from 1980.
* Eurostat. EU and Euro area data.
Canada
* Bank of Canada: Financial rates & statistics. Database for Canadian financial and economic time series.
Germany
* Bundesbank: Zeitreihen. Electronic databank for German financial economic time series.
* Council of Economic Experts. Database of annual report data.
United Kingdom
* National Statistics: Time Series Database. Electronic databank for the UK. Contains data from publications such as Economic Trends, Financial Statistics, etc.
* British Bankers Association Libor and Repo interest rates. Historical daily data for wide range of maturities and currencies.
Japan
* Japan's Statistics Bureau & Statistics Center. Economic and financial data for Japan.
* Bank of Japan statistics. Downloadable time series.
* Economic and Social Research Institute.
Sweden
* Statistics Sweden. Electronic databank for Sweden. Data access is free of charge, but registration and a password is required.
International and other
* IMF Country pages. References to data available for IMF member countries. Mostly descriptions.
* OECD Statistics. Survey of data available from the OECD. Mostly descriptions of available subscriptions with no actual data. Small statistics online section. Comprehesive data set Euro area (PDF file)
* Economagic: Economic Time Series Page. Economic time series for US, Australia, Canada, Japan, ECB.
* FreeLunch.com. Over 1,000,000 free economic and financial data series. You have to register, create a password and leave your e-mail address.
A number of scientific journals request that authors of published articles submit their datasets and programs for distribution through their website. This allows other researchers to replicate the results (to check for any errors, to check for robustness, etc.) and to discuss and improve upon the research whenever possible (without complications from data differences, etc.).
* American Economic Review (starting 2002 vol.92)
* Economic Journal. Datasets Online page (starting 1995 vol.105)
* Federal Reserve Bank of St. Louis Review. Data provided in connection with published articles.
* Journal of the American Statistical Association. Data Archive
* Journal of Applied Econometrics. See the Program/Data Archive (starting 1988 vol.3)
* Journal of Business and Economic Statistics. FTP-anonymous Data Archive (starting 1999)
* Journal of Macroeconomic Dynamics Data Archive.
* Journal of Money, Credit and Banking. See the Index and Data Archive (starting 1996 vol.28)
* Journal of Statistics Education. Data Archive
* World Bank published articles and working papers. Datasets in connection with articles and working papers written by World Bank staff.
There are many data links or data resources pages on the www. Many refer to the same datasets and data resources, and you will probably waste a lot of time. However, maybe they contain a special link to a data resource you need or a link I missed when I looked at these pages.
* OFFSTATS: Official Statistics on the Web. Webpage by the University of Auckland. Links to free and easily accessible data.
* The Financial Data Finder. List maintained by Ohio State University, Dept. of Finance. This page provides links to downloadable datasets in finance. More general start page is here.
* CPCUG InvestSIG: Historical data sources. List of links to available data sources.
* Economic resources on the internet. Data links page by George Santopietro.
* Resources for Economists (RFE) on the internet. Data links page by Bill Goffe.
* WWW Resources in Economics (WebEc). Data links page.
* B&E Datalinks page. By the Business and Economic Statistics Section of the American Statistical Association.
* Economic Growth Datasets. Economic Growth Resources website by Jonathan Temple at University of Bristol.
* Data Sources. By John Kane of SUNY-Oswego Economics Department.
* Quantitative Macroeconomics and Real Business Cycle theory data sources. Links to specialised data sets maintained by QM&RBC research group at University of Quebec, Montreal.
* EconData&Links. Links page by CSU Fresno Economics Department.
* Statistical Resources on the Web / Economics. Links page by University of Michigan Documents Center.
* Data Sets. Webpage on Data Sources by Professor Crocker H. Liu at New York University Stern Business School.
* Econometric Links - data. Webpage by the Econometrics Journal - section Data Sources.