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 seasonQ1 dip : Post-holiday slowdownSummer : 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 peak2008 : Financial crisis impact2020 : Pandemic shock
Policy Changes Federal Funds Rate regime shifts:
{ "series_id" : "DFF" , "observation_start" : "2000-01-01" }
Regimes:
Pre-2008 : Normal monetary policy2008-2015 : Zero lower bound2015-2019 : Gradual normalization2020-2022 : Emergency response2022-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 inflationOkun’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 declineForecasting 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
Short-term : 1-2 years for recent trendsMedium-term : 5-10 years for cyclical patternsLong-term : 20+ years for structural changes
Align frequencies when comparing:
Daily: Interest rates, stock prices
Monthly: Most economic indicators
Quarterly: GDP and national accounts
Use same units for direct comparison
Index to common base for relative comparison
Use dual axes carefully (can be misleading)
Next Steps 
