Monthly US civilian unemployment rate and annualised monthly log
inflation rate, assembled from FRED series UNRATE and
CPIAUCSL. The series support the Phillips-curve forecasting
illustration in Clark and McCracken (2001, Section 5): does adding
lagged inflation to a univariate AR for unemployment improve
out-of-sample forecasts?
Format
A data frame with 937 rows and 3 columns:
- date
First day of the month (
Date).- unrate
Civilian unemployment rate (percent), FRED
UNRATE.- infl
Annualised monthly log inflation, computed as \(1200 \cdot \log(\text{CPI}_t / \text{CPI}_{t-1})\) from FRED
CPIAUCSL.
Source
FRED, Federal Reserve Bank of St. Louis, https://fred.stlouisfed.org/series/UNRATE and https://fred.stlouisfed.org/series/CPIAUCSL.