This project has been realized by Victor Francey and Rémi Hurstel for the course Macroeconometrics and Machine Learning of Professor Anna Simoni.
To install the libraries we use:
pip install -r requirements.txt
We download the macroeconomic data by using the FRED API (pyfredapi).
Before using pyfredapi you must have an API key to the FRED API web service. You can apply for one for free on the FRED website.
Then create a file named .env and write FRED_API_KEY="your_api_key". Now save your file.
You can now use the notebook named download !
You can find the documentation of pyfredapi on this link.
The repository contains:
- a folder
datawhich contains the inputs we dowload for the model and the meanings of each of the vairables used as imputs - a folder
figureswhich contains some figures showing interessant results - a Python notebook
download.ipynbwhich download the macroeconomics data from the FRED website usingpyfredapi - a R Markdown notebook
inflation_forecasting.Rmdwich contains our model and the different fit and forecasts with analysis.
If you just want to see our Random Forest model, you don't need to run the download.ipynb notebook. You only need to use the inflation_forecasting.Rmd file.
List of the data we use:
| fred code | Description |
|---|---|
| CPIAUCSL | Consumer Price Index for All Urban Consumers: All Items in U.S. City Average |
| UNRATE | Unemployment Rate |
| FEDFUNDS | Federal Funds Effective Rate |
| M1SL | M1 |
| MRTSSM44000USS | Retail Sales: Retail Trade |
| UMCSENT | University of Michigan: Consumer Sentiment |
| PCUOMFGOMFG | Producer Price Index by Industry: Total Manufacturing Industries |
| W875RX1 | Real personal income excluding current transfer receipts |
| M2SL | M2 |
| DTCTHFNM | Total Consumer Loans and Leases Owned and Securitized by Finance Companies, Level |
| AMBSL | St. Louis Adjusted Monetary Base (DISCONTINUED) |
| BUSLOANS | Commercial and Industrial Loans, All Commercial Banks |
| PCU311311 | Producer Price Index by Industry: Food Manufacturing |
| BOPGSTB | Trade Balance: Goods and Services, Balance of Payments Basis |
| TWEXMMTH | Nominal Major Currencies U.S. Dollar Index (Goods Only) (DISCONTINUED) |
| USASARTMISMEI | Sales: Retail Trade: Total Retail Trade: Volume for United States |
| IR | Import Price Index (End Use): All Commodities |
| IQ | Export Price Index (End Use): All Commodities |
| IMPGS | Imports of Goods and Services |
| NETEXP | Net Exports of Goods and Services |
| OECDCPALTT01GYM | Consumer Price Index: All Items: Total |
| CMRMTSPL | Real Manufacturing and Trade Industries Sales |
| INDPRO | Industrial Production: Total Index |
| PERMIT | New Privately-Owned Housing Units Authorized in Permit-Issuing Places: Total Units |
| GPDIC1 | Real Gross Private Domestic Investment |
| MTSDS133FMS | Federal Surplus or Deficit |
| POILBREUSDM | Global price of Brent Crude |
| GS10 | Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Quoted on an Investment Basis |
| NONBORRES | Reserves of Depository Institutions, Nonborrowed |
| CES0600000007 | Average Weekly Hours of Production and Nonsupervisory Employees, Goods-Producing |
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