Macrobond 1.8

The new version can be installed directly via the Macrobond platform by clicking the yellow line that appears on the screen or by selecting Check for update on the Help menu. If you need assistance, a description of how to upgrade is provided by the IT-department, which may be found here. Simply click Upgrade for further instructions.

Selection of new functionality

Yield curve analysis

With the Yield curve analysis you can produce charts showing yield curves, where one axis shows the maturity length and the other the yield.

It works like this:

1. As input it takes a number of series with interest rates of different maturity lengths.
2. You input the maturity lengths and type of rate (simple or effective). For some series there might be information in the database about this and it will then be filled in automatically. Right now, very few series have this information, but we are working on that.
3. You input which date you want to look at.
4. The analysis will produce two time series for each yield curve: one series which contains the maturity lengths expressed as years and one series with the interest rate at the specified point in time for the corresponding maturity.
5. If you plot these two series in a scatter chart and combine the dots with lines, you will get a yield curve with “years” on one axis and “%” in the other.
6. In the analysis you can select to combine the lines with a natural cubic spline, which will give you a smooth yield curve. When this setting is turned on, a rate will be calculated for each month.

You can calculate several curves at the same time. Either at different dates or with different settings or selection of series. If you select the special date called “Latest”, the last date where there are observations for the majority of the series is used.

A tip is to add two curves, where one calculates splines and one does not. You can then configure the chart to draw one of them as lines, without labels and the other as just markers, but including labels. It will then look something like this:

Here is an example showing several yield curves at different points in time:

Frequency conversion analysis

The Frequency conversion analysis can perform the same frequency conversions as in the Series list, but since it is an analysis, the conversion can be done after other calculations.

The analysis also lets you specify a list of date ranges to include in the calendar. This can be used to include or exclude certain time periods from the series. In the chart below, 2006-2007 has been excluded.

Analysis comments

You can now enter a comment for each analysis in a document.

The comment field can be expanded/collapsed by the small arrow in the lower right corner. The arrow will be highlight in yellow if there is a comment in the field. There are some options for controlling when the comment field should be visible in the menu at “View|Analysis comment”.

Thumbnails and comments in File Open/Save dialog

When a document is saved to any of the accounts, a small-scale version of the current chart is saved together with the comment. You can view the thumbnail and comment in the dialog when opening a document. Currently this does not work with documents save to My computer.

The File Open/Save dialog now has three modes:

• Basic list – this shows a list of documents with the columns Title, Last modified and Modified by. The tooltip shows the thumbnail and comment.
• Thumbnails – Show the documents as thumbnails with a title below. The tooltip shows further details such as the comment.
• Details – Show the thumbnail and details of the selected document.

Bloomberg “overrides”

Bloomberg has a concept called “overrides” which is a parameter you can pass to data requests that influences the data. There is now support for specifying such “overrides” in Macrobond by adding a colon followed by “override=value” in the series name. For instance “ih:bl:nky Index:BEST_PE_RATIO:eqy_consolidated=N”.

Average correlation

There is a new method in the Cross section analysis called Average correlation. It calculates the average of the pairwise correlations between the series. It only includes the off-diagonal elements of the correlation matrix.

New formula functions

There are two new formula functions:

• PercentRank(series, value) – Returns the rank of a value in a series as a percentage (0..100) of the values in the series.
• Round(value, decimals) – The value is rounded to the closest value with the specified number of decimals. If the value is exactly in between two values, it is rounded to the value that ends with an even digit

SQL DB Connector with dynamic depth of trees

The SQL DB Connector now supports browse trees of varying depth. See the section “Trees of varying depths” in the documentation at https://redir.macrobond.com/go/technicalInfo.

Selection of new content

Colombia and Morocco

Two new countries have been added recently to Macrobond: Colombia and Morocco. The primary sourced data is available in the Economics view in Macrobond.

The Penn World Table

The Penn World Table (PWT) is a national accounts economic time series, with annual frequency, covering majority of countries. Its expenditure entries are denominated in a common set of prices and common currency so that real quantity comparisons can be made, both between countries and over time. The database also provides information on relative prices within and between countries, as well as demographic data and capital stock estimates.

The Penn World Table can be found directly in the Penn World Table view in Macrobond.

The Royal Institution of Chartered Surveyors (RICS) Market Surveys

Addition of Market Surveys published by the Royal Institution of Chartered Surveyors– RICS Rural Market, Commercial Market, Construction and Residential Market surveys so now Macrobond carries a complete RICS data suite. All the newly-added surveys together with UK Housing Market Survey analyze the UK economy whereas Portuguese Housing Market Survey, prepared in partnership with Confidencial Imobiliário (a Portuguese real estate information publisher), is Portugal oriented.

The series are available in the Economics – by country major > United Kingdom > Business Surveys > RICS, or Economics – by country major > Portugal > Business Surveys > RICS

Expansion of Eurostat data – MIP Scoreboard, Demography > Population projections

Macrobond continues to expand its data coverage from Eurostat. Macroeconomic Imbalance Procedure Scoreboard, Demography > Population projections sections have been recently integrated with our database.

Data can be found under:

Eurostat > Select area > Macroeconomic Imbalance Procedure Scoreboard

Eurostat > Select area > Population

Additional indices from EuroMTS

We have increased our coverage of Euro Area bond indices from EuroMTS.

The data is available under: Economics – by country major > Euro Area > Interest > Exchange Rates > Fixed Income Indices

The Conference Board U.S. Business Cycle indicators

Addition of the U.S. Business Cycle Indicators provided by the Conference Board. U.S. BCI database includes the full history for each series, including revisions, along with the latest data. The historical data series goes back as far as 1945, most start in the late 1950s.

These series are available in the Economics – by country major > United States > Leading Indicators > Conference Board

Canada – CANSIM

Major methodological change for Canadian index-based indicators within National Accounts and Balance of Payments, following recent switch to 2007 base year introduced by CANSIM. As a result approx. 1000 further new series will be introduced by the end of this week.