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. Suggested citation: Fortin-Gagnon, O., Leroux, M., Stevanovic, D. and S. Surprenant (2018). A Large Canadian Database for Macroeconomic Analysis, CIRANO Working Paper 2018S-25.

The release schedule can be found here: Release. Data are updated twice per month according to important release dates and reference periods. The first update is on the 3th Wednesday of the month (CPI release). The second update is 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 (2018),
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
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.