Dalibor Stevanovic's Homepage

 Full professor
 Département des sciences économiques 
 École des sciences de la gestion, Université du Québec à Montréal
 Chaire en macroéconomie et prévisions

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LCDMA is a large monthly Canadian dataset for macroeconomic analysis. It contains hundreds of Canadian and provincial economic indicators. It is designed to be updated regularly in real-time through StatCan database and is publicly available. It relieves users to deal with data changes and methodological revisions. The zip file contains: (i) raw data collected from StatCan starting from 1914; (ii) stationary and balanced panel starting from 1981M01; (iii) detailed data description. Data are subject to change as new information and StatCan updates arrive.

Important note:
This work is a public service for academic, educational and professional communities. Please cite the paper properly when you use this dataset as it is the only recognition we receive. Suggested citation: 

Fortin-Gagnon, O., Leroux, M., Stevanovic, D. and Surprenant, S. (2022), A large Canadian database for macroeconomic analysis. Canadian Journal of Economics/Revue canadienne d'économique, 55: 1799-1833. https://doi.org/10.1111/caje.12618

The release schedule can be found here: Release. Data are updated on the last working day of the month (GDP by industry).

This dataset has been constructed by Fortin-Gagnon, O., Leroux, M., Stevanovic, D. and S. Surprenant (2022),
A Large Canadian Database for Macroeconomic Analysis. This paper provides four useful features of this dataset. First, the factor structure explains a sizeable part of variation the dataset and appears as an appropriate mean of dimension reduction. Second, the dataset is useful to capture turning points of the Canadian business cycle. Third, it has substantial predictive power when forecasting key macroeconomic indicators.  Fourth, the richness of the panel is used to study the effectiveness of the monetary policy across regions and sectors.

A quarterly dataset has been added since November 2019. It contains quarterly averages of the monthly dataset, plus quarterly series: GDP and its components, implicit price indices, business indicators and income.

Real-time vintages

Monthly Quarterly
March 2024          LCDMA_March_2024 March 2024        LCDMA_Q_March_2024
February 2024      LCDMA_February_2024 February 2024    LCDMA_Q_February_2024
January 2024        LCDMA_January_2024 January 2024      LCDMA_Q_January_2024
December 2023    LCDMA_December_2023 December 2023  LCDMA_Q_December_2023
November 2023    LCDMA_November_2023 November 2023  LCDMA_Q_November_2023
October 2023        LCDMA_October_2023 October 2023      LCDMA_Q_October_2023
September 2023    LCDMA_September_2023 September 2023  LCDMA_Q_September_2023
August 2023         LCDMA_August_2023 August 2023       LCDMA_Q_August_2023
July 2023              LCDMA_July_2023 July 2023            LCDMA_Q_July_2023
June 2023             LCDMA_June_2023 June 2023           LCDMA_Q_June_2023
May 2023             LCDMA_May_2023 May 2023           LCDMA_Q_May_2023
April 2023            LCDMA_April_2023 April 2023          LCDMA_Q_April_2023
March 2023          LCDMA_March_2023 March 2023        LCDMA_Q_March_2023
February 2023      LCDMA_February_2023 February 2023    LCDMA_Q_February_2023
January 2023        LCDMA_January_2023 January 2023      LCDMA_Q_January_2023
December 2022    LCDMA_December_2022 December 2022  LCDMA_Q_December_2022
November 2022    LCDMA_November_2022 November 2022  LCDMA_Q_November_2022
October 2022        LCDMA_October_2022 October 2022      LCDMA_Q_October_2022
September 2022    LCDMA_September_2022 September 2022 LCDMA_Q_September_2022
August 2022         LCDMA_August_2022 August 2022       LCDMA_Q_August_2022
July 2022              LCDMA_July_2022 July 2022            LCDMA_Q_July_2022
June 2022             LCDMA_June_2022 June 2022           LCDMA_Q_June_2022
May 2022             LCDMA_May_2022 May 2022           LCDMA_Q_May_2022
April 2022            LCDMA_April_2022 April 2022          LCDMA_Q_April_2022
March 2022          LCDMA_March_2022 March 2022        LCDMA_Q_March_2022
February 2022      LCDMA_February_2022 February 2022    LCDMA_Q_February_2022
January 2022        LCDMA_January_2022 January 2022      LCDMA_Q_January_2022
December 2021    LCDMA_December_2021 December 2021  LCDMA_Q_December_2021
November 2021    LCDMA_November_2021 November 2021  LCDMA_Q_November_2021
October 2021        LCDMA_October_2021 October 2021      LCDMA_Q_October_2021
September 2021    LCDMA_September_2021 September 2021  LCDMA_Q_September_2021
August 2021          LCDMA_August_2021 August 2021        LCDMA_Q_August_2021
July 2021               LCDMA_July_2021 July 2021             LCDMA_Q_July_2021
June 2021              LCDMA_June_2021 June 2021            LCDMA_Q_June_2021
May 2021              LCDMA_May_2021 May 2021            LCDMA_Q_May_2021
April 2021             LCDMA_April_2021 April 2021           LCDMA_Q_April_2021
March 2021           LCDMA_March_2021 March 2021         LCDMA_Q_March_2021
February 2021       LCDMA_February_2021 February 2021     LCDMA_Q_February_2021
January 2021         LCDMA_January_2021 January 2021       LCDMA_Q_January_2021
December 2020     LCDMA_December_2020 December 2020   LCDMA_Q_December_2020
November 2020     LCDMA_November_2020 November 2020   LCDMA_Q_November_2020
October 2020         LCDMA_October_2020 October 2020       LCDMA_Q_October_2020
September 2020     LCDMA_September_2020 September 2020   LCDMA_Q_September_2020
August 2020          LCDMA_August_2020 August 2020         LCDMA_Q_August_2020
July 2020               LCDMA_July_2020 July 2020              LCDMA_Q_July_2020
June 2020              LCDMA_June_2020 June 2020             LCDMA_Q_June_2020
May 2020              LCDMA_May_2020 May 2020             LCDMA_Q_May_2020
April 2020             LCDMA_April_2020 April 2020            LCDMA_Q_April_2020
March 2020           LCDMA_March_2020 March 2020          LCDMA_Q_March_2020
February 2020       LCDMA_February_2020 February 2020      LCDMA_Q_February_2020
January 2020         LCDMA_January_2020 January 2020        LCDMA_Q_January_2020
December 2019     LCDMA_December_2019 December 2019    LCDMA_Q_December_2019
November 2019    LCDMA_November_2019 November 2019    LCDMA_Q_November_2019
October 2019        LCDMA_October_2019
September 2019    LCDMA_September_2019
August 2019         LCDMA_August_2019
July 2019              LCDMA_July_2019
June 2019             LCDMA_June_2019
May 2019             LCDMA_May_2019
April 2019            LCDMA_April_2019
March 2019          LCDMA_March_2019

Estimate of Canadian macro uncertainty: here.