Over the years, the newsletter has collected and circulated many valuable resources for data, codes, and other useful tools and information. This page serves as a repository of all of these things, aiming to make them easily findable and accessible and thus improve research and researcher productivity. This page will be updated with both old and new resources. If you have suggestions for resources to include, please email them to InterconnectednessNewsletter@gmail.com.
Code
Jan Linzenich & Baptiste Meunier: Nowcasting toolbox (link; github)
Alistair Dieppe & Björn van Roye: The BEAR toolbox 5.1 (link; github)
Macroeconomic Model Data Base (MMB): MMB release 3.3 (link)
DID estimators of intertemporal treatment effects (and Stata command; paper)
Heterogenous diff in diff in Stata (link)
R resources (x link)
Stata tip: show variation over time and space using an animated map (x link)
Stata tip: techniques for cleaning up scatterplots (link)
Stata REGHDFE 10x faster (link)
Stata command: estimate panel event studies (x link; pdf; installation)
Stata command: estimating policy intervention effects in gravity settings (linkedin; github)
Stata command: plot_confidently (link)
Stata command: Two-Stage Cluster Bootstrap and Causal Cluster Variance (github)
Stata command: synthetic diff in diff estimation (link)
Code and data from “The social signal” (link)
Averaging impulse responses using prediction pools (and code)
What’s trending in diff in diff? A synthesis of the recent econometrics literature
Two way FE and DiD with heterogenous treatment effects: A survey
ML & AI
Recent methods in Causal Machine Learning (link)
Machine learning methods in finance: Recent applications and prospects
Machine learning library for economics and finance (link; more)
Generative AI for economic research: Use cases and implications for economists (paper)
Sergio Correia on Unlocking economic data with LLM (youtube)
As banks look to use generative AI, can they move quickly enough? (The Banker)
Public datasets to work on data science and machine learning (Twitter link)
Courses
AEA Lectures on econometrics for causal inference with cross sectional data (link1, link2, slides) by Abadie, Angrist and Cavaliere
Jonathan Roth’s DiD resources in R and Stata (https://www.jonathandroth.com/did-resources/)
Difference-in-Differences Workshop at LSU, slides and code (link)
Stata training guide (link)
Stata resources: William N. Evans Graduate Econometrics II (link)
Stata short course: Jeff Wooldridge’s slides and Stata files (x link)
Causal inference (Stefan Wager, Stanford University)
Slides from PhD applied econometrics course (Borusyak)
Colin Cameron: Introduction to causal methods (link)
Causal inference teaching notes (link)
Pedro Sant’Anna lecture on diff-in-diff designs (youtube) and slides and other resources
Brantly Callaway different resources on R (link)
Slides on diff-in-diff: Basics, pretrends, and issues with staggered timing (Goldsmith-Pinkham)
Other Resources
Filippo Ferroni & Fabio Canova: A hitchhiker’s guide to empirical macro models (github)
Finding economic articles with data and Stata reproductions (search engine)
Latex code for writing responses to the referees (link and x link)
Open issues in credit report data (presentation) and paper
When are Google data useful for nowcast GDP? (nontechnical version)
Data
BIS
BIS Dataset of international capital flows and stocks by sector (updated Dec 2023)
EM sovereign bond data from “Overcoming the original sin: Insights from a new dataset” here
ECB
ECB Distributional wealth accounts (new statistics on the distribution of household wealth)
FED
Interested in nonbank lending? Here is All Lending Club data (paper)
FRB Minneapolis “Income distributions and dynamics in America” project
Constructing high-frequency monetary policy surprises from SOFR futures (paper and data)
IMF
IMF PortWatch (link)
IMF Climate change indicators dashboard (link)
IMF’s Global debt database (new release for 2021)
A new measure of central bank independence (Adrian et al)
Tracking Economic and Financial Policies During COVID-19: An Announcement-Level Database
Announcement level database from “Tracking economic and financial policies during Covid-19”
New financial stress index (FSI) for 110 countries during 1967-2018 here
Other sources
The Budget Lab at Yale: State of U.S. Tariffs (link)
Geopolitical fragmentation index (link)
Global Currencies Database (link)
World Inequality Database (link)
Monetary Policy Rate Cycles (link)
Chinn-Ito Index Update (link)
Sovereign haircuts: 200 years of creditor losses (link)
CEMLA Growth at Risk Model and Financial Conditions Index (link)
Repository of public datasets (link)
BOE Macro Technical Papers series (link)
Census-tract house price indices over 1990-2021 (link)
Maddison Project Database 2023: economic growth and income levels (link)
A new dataset to study a century of innovation in Europe and the US
Jobs of the World project database on labor market outcomes across countries and time
R-package to download publicly-available data on Brazilian banks and other regulated financial institutions (github)
Dataset on the global network of liquidity lines (link)
Accessing U.S. data for research just got easier -- New online portal streamlines requests for massive data sets at 16 federal agencies (link to the portal)
Updated External Wealth of Nations database (with end-year 2021 data)
Updated World Uncertainty Index (through Oct 2022)
Insights from newly digitized banking data, 1867-1904 and Digitizing historical balance sheet data: A practictioner’s guide and Data download
Data on central bank independence from the paper “The political economy reforms in central bank design: Evidence from a new dataset”
Data on the 25M Americans who signed up for student debt relief
Historical dataset with the target Federal Funds Rate (FFR) 1971 to present
Monetary policy shock data from “Identifying monetary policy shocks: A natural language approach”
New Tenant Repeat Rent Index, A New Way of Measuring Housing Inflation
Data on bank deposit betas from the Drechsler and coauthors research program (link)
Bank ownership around the world 1995-2020 (dataset)
Data resources on climate finance
China as an international lender of last resort (Horn et al 2023) dataset
Chinese central bank swaps visualized here using data from Horn et al 2023
Intuit Quickbooks small business index dashboard
Global credit project (including data)
Insights into credit loss rates (a global database)
Bilateral version of the Lane-Milesi-Ferretti External Wealth of Nations dataset and paper
Big data vs. post-truth in finance (Andrew Chen, FRB)
Changes to the Call Report: agencies ask banks to report granular information on lending to NBFIs
Multinational Revenue, Employment, and Investment Database (MREID)
Data on central bank independence 1923-2023 (and related VOXEU column)
Dataset on zombie firms across the world 2000-2022 (related paper)
The government patent register: Resource for measuring US government-funded patenting (WP)
Lecture videos, data and code from the Stanford Big-data initiative in international macro-finance
Biden Tariff Analyzer (link)
Dataset on measures of US expected inflation before 1978 (link)
Disarmament, demobilization and reintegration dataset 1980-2020 (link)
Positioning in GVCs: A new dataset available for global value chain analyses (VOXEU)