Time Series Analysis

Learn how to analyze economic trends, identify patterns, and compare time series data using the FRED MCP Server.

Trend Analysis

Long-Term Trends

Analyze unemployment over decades:

{
  "series_id": "UNRATE",
  "observation_start": "1980-01-01",
  "observation_end": "2024-10-01"
}

Key insights to look for:

Cyclical peaks and troughs
Long-term structural changes
Recovery patterns after recessions

Growth Rates

Calculate year-over-year growth:

{
  "series_id": "GDP",
  "observation_start": "2010-Q1",
  "units": "pc1"  // Percent change from year ago
}

Annualized Growth
Quarter-over-Quarter
Year-over-Year

{
  "series_id": "GDPC1",
  "units": "pca"  // Percent change at annual rate
}

{
  "series_id": "GDPC1",
  "units": "pch"  // Percent change from prior period
}

{
  "series_id": "GDPC1",
  "units": "pc1"  // Percent change from year ago
}

Cyclical Analysis

Business Cycles

Identify recession periods using unemployment:

{
  "series_id": "UNRATE",
  "observation_start": "2000-01-01"
}

Combine with recession indicator:

{
  "series_id": "USREC",  // NBER Recession Indicator
  "observation_start": "2000-01-01"
}

USREC series: Value of 1 indicates recession period, 0 indicates expansion

Leading Indicators

Track predictive indicators:

// Leading Economic Index
{
  "series_id": "USSLIND",
  "observation_start": "2015-01-01"
}

// Building Permits (leads housing)
{
  "series_id": "PERMIT",
  "observation_start": "2015-01-01"
}

// Initial Claims (leads employment)
{
  "series_id": "ICSA",
  "observation_start": "2015-01-01"
}

Seasonal Patterns

Comparing SA vs NSA Data

// Seasonally Adjusted
{
  "series_id": "UNRATE",  // SA version
  "observation_start": "2023-01-01"
}

// Not Seasonally Adjusted
{
  "series_id": "UNRATENSA",  // NSA version
  "observation_start": "2023-01-01"
}

Seasonally Adjusted

Use for identifying underlying trends and business cycle turning points

Not Seasonally Adjusted

Use for understanding actual seasonal hiring/firing patterns

Seasonal Patterns

Retail sales show strong seasonality:

{
  "series_id": "RSXFSN",  // NSA retail sales
  "observation_start": "2020-01-01"
}

Expected patterns:

Q4 spike: Holiday shopping season
Q1 dip: Post-holiday slowdown
Summer: Back-to-school season

Correlation Analysis

Compare inflation measures:

// CPI
const cpi = {
  "series_id": "CPIAUCSL",
  "observation_start": "2020-01-01",
  "units": "pc1"
};

// PCE
const pce = {
  "series_id": "PCEPI",
  "observation_start": "2020-01-01",
  "units": "pc1"
};

Leading-Lagging Relationships

Identify Leading Indicator

// Housing starts (leads GDP)
{ "series_id": "HOUST" }

Track Coincident Indicator

// Industrial production
{ "series_id": "INDPRO" }

Monitor Lagging Indicator

// Unemployment (lags recession end)
{ "series_id": "UNRATE" }

Interest Rate Relationships

Yield curve analysis:

// 10-Year Treasury
const ten_year = {
  "series_id": "DGS10",
  "observation_start": "2020-01-01"
};

// 2-Year Treasury
const two_year = {
  "series_id": "DGS2",
  "observation_start": "2020-01-01"
};

// Pre-calculated spread
const spread = {
  "series_id": "T10Y2Y",  // 10Y - 2Y spread
  "observation_start": "2020-01-01"
};

Inverted Yield Curve (negative spread) has historically preceded recessions

Volatility Analysis

Price Volatility

Measure inflation volatility:

{
  "series_id": "CPIAUCSL",
  "observation_start": "2015-01-01",
  "units": "pch"  // Month-to-month changes
}

High volatility periods often indicate:

Economic uncertainty
Supply shocks
Policy transitions

Financial Market Volatility

VIX Index (market volatility):

{
  "series_id": "VIXCLS",
  "observation_start": "2020-01-01"
}

Structural Breaks

Identifying Regime Changes

Look for significant structural changes:

// Labor force participation
{
  "series_id": "CIVPART",
  "observation_start": "1980-01-01"
}

Notable breaks:

2000: Women’s participation peak
2008: Financial crisis impact
2020: Pandemic shock

Policy Changes

Federal Funds Rate regime shifts:

{
  "series_id": "DFF",
  "observation_start": "2000-01-01"
}

Regimes:

Pre-2008: Normal monetary policy
2008-2015: Zero lower bound
2015-2019: Gradual normalization
2020-2022: Emergency response
2022-present: Aggressive tightening

Smoothing and Filtering

Moving Averages

Smooth noisy data using longer periods:

// Weekly initial claims (volatile)
{
  "series_id": "ICSA",
  "observation_start": "2020-01-01"
}

// 4-week moving average (smoother)
{
  "series_id": "IC4WSA",
  "observation_start": "2020-01-01"
}

Continuous Claims vs Initial Claims

Initial Claims
Continuing Claims

// New unemployment insurance claims
{ "series_id": "ICSA" }

More volatile, faster signal

// Ongoing unemployment insurance
{ "series_id": "CCSA" }

Smoother, persistent signal

Growth Decomposition

GDP Components

Analyze which components drive growth:

// Total GDP
const gdp = { "series_id": "GDP" };

// Consumption (typically ~68%)
const consumption = { "series_id": "PCEC" };

// Investment (typically ~17%)
const investment = { "series_id": "GPDI" };

// Government (typically ~17%)
const government = { "series_id": "GCE" };

// Net Exports (often negative)
const net_exports = { "series_id": "NETEXP" };

Inflation Decomposition

Core vs headline inflation:

// Headline CPI
{
  "series_id": "CPIAUCSL",
  "units": "pc1"
}

// Core CPI (ex food & energy)
{
  "series_id": "CPILFESL",
  "units": "pc1"
}

// Food CPI
{
  "series_id": "CPIUFDSL",
  "units": "pc1"
}

// Energy CPI
{
  "series_id": "CPIENGSL",
  "units": "pc1"
}

Real vs Nominal

Inflation Adjustment

Compare nominal and real values:

// Nominal Wages
{
  "series_id": "CES0500000003",  // Avg hourly earnings
  "observation_start": "2010-01-01"
}

// Real Wages (inflation-adjusted)
{
  "series_id": "CES0500000030",  // Real avg hourly earnings
  "observation_start": "2010-01-01"
}

Real values show actual purchasing power changes, while nominal values include inflation

Advanced Patterns

Phillips Curve

Inflation vs unemployment relationship:

// Unemployment Rate
const unemployment = {
  "series_id": "UNRATE",
  "observation_start": "2000-01-01"
};

// Core CPI Inflation
const inflation = {
  "series_id": "CPILFESL",
  "observation_start": "2000-01-01",
  "units": "pc1"
};

Expected relationship: Higher unemployment → Lower inflation

Okun’s Law

GDP growth vs unemployment changes:

// Real GDP Growth
const gdp_growth = {
  "series_id": "GDPC1",
  "units": "pca"
};

// Unemployment Rate
const unemployment = {
  "series_id": "UNRATE"
};

Expected relationship: 1% GDP growth above trend → ~0.5% unemployment decline

Forecasting Indicators

Nowcasting

Current quarter GDP estimates:

// GDPNow (Atlanta Fed nowcast)
{
  "series_id": "GDPNOW",
  "observation_start": "2024-Q3"
}

Survey-Based Forecasts

// Philadelphia Fed Manufacturing Index
{
  "series_id": "USPHCI",
  "observation_start": "2020-01-01"
}

// Consumer Expectations
{
  "series_id": "UMCSENT1Y",
  "observation_start": "2020-01-01"
}

Practical Analysis Workflows

Recession Analysis

Identify Recession Periods

Use USREC to mark recessions

Track Key Indicators

Unemployment (rises during recession)
GDP (declines during recession)
Retail sales (weakens)

Analyze Recovery

Duration from peak to trough
Time to pre-recession levels
Shape of recovery (V, U, W, L)

Compare Across Recessions

2001 (Tech bubble)
2008 (Financial crisis)
2020 (Pandemic)

Policy Impact Analysis

Federal Reserve rate changes:

// Fed Funds Rate
{
  "series_id": "DFF",
  "observation_start": "2015-01-01"
}

// Mortgage Rates (responds to policy)
{
  "series_id": "MORTGAGE30US",
  "observation_start": "2015-01-01"
}

// Housing Starts (affected by mortgage rates)
{
  "series_id": "HOUST",
  "observation_start": "2015-01-01"
}

Visualization Best Practices

Time Period Selection

Short-term: 1-2 years for recent trends
Medium-term: 5-10 years for cyclical patterns
Long-term: 20+ years for structural changes

Frequency Matching

Align frequencies when comparing:

Daily: Interest rates, stock prices
Monthly: Most economic indicators
Quarterly: GDP and national accounts

Scale Considerations

Use same units for direct comparison
Index to common base for relative comparison
Use dual axes carefully (can be misleading)

Transformation Choice

Levels: Show absolute values
Growth rates: Show momentum
Indexed: Show relative performance
Normalized: Show deviations from average

Next Steps

Data Transformations

Learn transformation techniques

Advanced Queries

Complex search patterns

Economic Analysis

Comprehensive analysis workflows

API Reference

Series retrieval documentation

​Time Series Analysis

​Trend Analysis

​Long-Term Trends

​Growth Rates

​Cyclical Analysis

​Business Cycles

​Leading Indicators

​Seasonal Patterns

​Comparing SA vs NSA Data

Seasonally Adjusted

Not Seasonally Adjusted

​Seasonal Patterns

​Correlation Analysis

​Related Series Comparison

​Leading-Lagging Relationships

​Interest Rate Relationships

​Volatility Analysis

​Price Volatility

​Financial Market Volatility

​Structural Breaks

​Identifying Regime Changes

​Policy Changes

​Smoothing and Filtering

​Moving Averages

​Continuous Claims vs Initial Claims

​Growth Decomposition

​GDP Components

​Inflation Decomposition

​Real vs Nominal

​Inflation Adjustment

​Advanced Patterns

​Phillips Curve

​Okun’s Law

​Forecasting Indicators

​Nowcasting

​Survey-Based Forecasts

​Practical Analysis Workflows

​Recession Analysis

​Policy Impact Analysis

​Visualization Best Practices

​Next Steps

Data Transformations

Advanced Queries

Economic Analysis

API Reference

Time Series Analysis

Trend Analysis

Long-Term Trends

Growth Rates

Cyclical Analysis

Business Cycles

Leading Indicators

Seasonal Patterns

Comparing SA vs NSA Data

Seasonal Patterns

Correlation Analysis

Related Series Comparison

Leading-Lagging Relationships

Interest Rate Relationships

Volatility Analysis

Price Volatility

Financial Market Volatility

Structural Breaks

Identifying Regime Changes

Policy Changes

Smoothing and Filtering

Moving Averages

Continuous Claims vs Initial Claims

Growth Decomposition

GDP Components

Inflation Decomposition

Real vs Nominal

Inflation Adjustment

Advanced Patterns

Phillips Curve

Okun’s Law

Forecasting Indicators

Nowcasting

Survey-Based Forecasts

Practical Analysis Workflows

Recession Analysis

Policy Impact Analysis

Visualization Best Practices

Next Steps