【仕事関連】quantmodで経済データを収集
やることはタイトルの通りです。どうやら、quantmodのgetSymbolsはFREDのデータも取れるらしく、株だけでなく経済データも取得できそうなので、それをやってみます。
library(quantmod) symbols.name <- c("US Fixed Income","International Fixed Income","Emerging Fixed Income", "US Equities","Europe Equities","Emerging Equities","US Real Estate", "Ex-US Real Estate") symbols <- c("BND","BNDX","VWOB","VTI","VGK","VWO","VNQ","VNQI") getSymbols(symbols, from = '1980-01-01', auto.assign = TRUE) dats <- merge(BND,BNDX,VWOB,VTI,VGK,VWO,VNQ,VNQI) dats <- Cl(dats) colnames(dats) <- symbols.name r_dats <- na.omit( ROC(dats, type = 'discrete') ) rm(BND,BNDX,VWOB,VTI,VGK,VWO,VNQ,VNQI,dats) library(PerformanceAnalytics) PerformanceAnalytics::charts.PerformanceSummary(r_dats) # Yield Curve symbols <- c("DTB3", "DGS2", "DGS5", "DGS10") getSymbols(symbols, from = '1980-01-01', src = "FRED", auto.assign = TRUE) spread_10y_2y <- DGS10 - DGS2 spread_2y_3m <- DGS2 - DTB3 rm(DTB3, DGS2, DGS5) # USD/YEN getSymbols("DEXJPUS",from = '1980-01-01',src = "FRED") symbols <- c("^GSPC","^DJI","^RUT") getSymbols(symbols, from = '1980-01-01', auto.assign = TRUE) USequity <- Cl(merge(GSPC,DJI,RUT)) rm(DJI,RUT) SPDJ_ratio <- USequity$GSPC.Close/USequity$DJI.Close SPRS_ratio <- USequity$GSPC.Close/USequity$RUT.Close symbols <- c("GDPC1","GOLDPMGBD228NLBM","POILBREUSDM","PCOPPUSDM","CPIAUCSL","PAYEMS") getSymbols(symbols, from = '1980-01-01', auto.assign = TRUE,src = "FRED") CG_ratio <- PCOPPUSDM/GOLDPMGBD228NLBM macro_indicator <- merge(GDPC1,CPIAUCSL,PAYEMS,DEXJPUS,GOLDPMGBD228NLBM, PCOPPUSDM,POILBREUSDM,GSPC,DGS10,SPDJ_ratio, SPRS_ratio,CG_ratio,spread_10y_2y,spread_2y_3m) rm(CG_ratio,CPIAUCSL,DEXJPUS,DGS10,GDPC1,GOLDPMGBD228NLBM,PAYEMS,PCOPPUSDM, POILBREUSDM,GSPC,SPDJ_ratio,spread_10y_2y,spread_2y_3m,SPRS_ratio,USequity)
便利ですねー。