Dataframe: P01:fred_processed_monthly_series - FRED Processed Monthly Series

Contents

Dataframe: `P01:fred_processed_monthly_series` - FRED Processed Monthly Series#

Overview#

File: _data/processed_data/fred_final_series_monthly.parquet
Source: Derived from fred_macroeconomic_variables, itself pulled from FRED
Generated by: process_fred_data_monthly.py
Frequency: Monthly
Index: date

Column Dictionary#

Column	Description
hist_recession_indicator	Monthly NBER-based recession indicator, taken as-is from the monthly USREC series.
Treasury_10yr	Monthly 10-year Treasury (long-term government bond) yield, computed by combining GS10, M1333BUSM156NNBR, and M1333AUSM156NNBR (in order of preference, most recent first) at monthly frequency.
BAA	Monthly Moody’s Seasoned Baa Corporate Bond Yield, taken as-is from the monthly BAA series.
BAA_Treasury_spread	Monthly spread between the Baa corporate bond yield and the 10-year Treasury yield, computed by as BAA minus Treasury_10yr.
AAA	Monthly Moody’s Seasoned Aaa Corporate Bond Yield, taken as-is from the monthly AAA series.
AAA_Treasury_spread	Monthly spread between the Aaa corporate bond yield and the 10-year Treasury yield, computed as AAA minus Treasury_10yr.

DataFrame Glimpse#

Rows: 1212
Columns: 7
$ hist_recession_indicator          <i64> 0
$ Treasury_10yr                     <f64> 4.14
$ BAA                               <f64> 5.9
$ BAA_Treasury_spread               <f64> 1.7600000000000007
$ AAA                               <f64> 5.31
$ AAA_Treasury_spread               <f64> 1.17
$ date                     <datetime[ns]> 2025-12-01 00:00:00

Dataframe Manifest#

Dataframe Name	FRED Processed Monthly Series
Dataframe ID	fred_processed_monthly_series
Sources	FRED, Office of Financial Research
Providers	FRED, Office of Financial Research
Provider Links	https://fred.stlouisfed.org/
Tags	Processed Data, Macroeconomic Data, Fred
Access Types	Public
How is data pulled?	Web API via Python `pandas_datareader.data.DataReader`
Data available up to (min)	N/A
Data available up to (max)	N/A
Dataframe Path	C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017_data\processed_data\fred_final_series_monthly.parquet

Linked Charts:

Pipeline Manifest#

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-08-19 22:04:54
OS Compatibility	Windows, Linux, MacOS
Linked Dataframes	P01:fred_macroeconomic_variables P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series