Data UK-MD is a monthly UK large-scale macroeconomic database comparable to those for the US by McCracken and Ng (2016,2020) and for Canada by Fortin-Gagnon et al. (2018). The dataset contains 112 monthly macroeconomic and financial indicators divided into nine categories; labour, production, retail and services, consumer and retail price indices, producer price indices, international trade, money, credit and interest rates, stock market and finally sentiment and leading indicators. The starting date varies across indicators, from 1960 to 2000, and to simplify econometric analysis we also provide a balanced panel using an EM algorithm to impute missing values. Data are subject to change as new information arrives. Dataset is updated every month.
This work is a public service for academic, educational and professional communities. Please cite the paper properly when you use this dataset. Suggested citation: Goulet Coulombe, P., Marcellino, M. and D. Stevanovic (2021). Can Machine Learning Catch the COVID-19 Recession? National Institute Economic Review. 256, 71-109. doi: 10.1017/nie.2021.10.
Estimate of UK macro uncertainty following Jurado, Ludvigson and Ng (2015): series