Real-Time and High-Frequency Datasets

These datasets are engineered specifically for high-frequency forecasting and structural time-series analysis. To ensure version control and reproducibility, all data, documentation, and ready-to-use R and Stata data-loading scripts are hosted openly on GitHub.

Backcasted End-of-Month and Monthly Average Crude Oil Prices

Standard macroeconomic databases typically only report monthly average crude oil prices. This dataset resolves this limitation by providing end-of-month spot prices for WTI and Brent backcasted to January 1973. This allows researchers to properly test the random walk hypothesis and reduce shock mistiming. Updated on the first Wednesday of every month using data available at midnight on the end of the previous month.

➔ View Data & Code on GitHub

Real-Time Crude Oil Market Data Vintages

A dataset of real-time monthly data vintages for the global crude oil market, with vintages dating back to January 1991. Variables include the Nominal RAC, World Oil Production, and OECD/US Inventories.

➔ View Data & Code on GitHub

Real-Time Daily and End-of-Month Effective Exchange Rates (EERs)

The first real-time dataset of daily and end-of-month effective exchange rates (EERs) for all available countries. By accounting for the typical delay in the publication of trade weights and inflation, these high-frequency vintages allow researchers to formally test the predictability of exchange rates against the random walk hypothesis, yielding forecasting accuracy improvements of up to 40%.

  • Publication: Accompanies McCarthy and Snudden (2025), Reserve Bank of Australia RDP 2025-09.
  • Coverage: Daily EERs for 160 countries; end-of-month and monthly averages for 79 countries (Nominal and Real).

➔ View Data & Code on GitHub

Monthly Commodity Spot and Futures Data (17 Primary Commodities)

Standard monthly averages alongside high-frequency end-of-month spot prices, mixed-frequency spot data, and constructed futures forecasts.

  • Publication: Farag, Snudden, and Upton (2024), LCERPA Working Paper 2024-3.+1
  • Variables: End-of-month spot prices, mixed-frequency spot prices, and futures forecast paths for 17 commodities (through Dec 2022).

➔ View Data & Code on GitHub

Replication Packages