Download Federal Reserve Economic Data (FRED) with Python

In the operational loss calculation, it is important to use CPI (Consumer Price Index) adjusting historical losses. Below is an example showing how to download CPI data online directly from Federal Reserve Bank of St. Louis and then to calculate monthly and quarterly CPI adjustment factors with Python.

In [1]: import pandas_datareader.data as web

In [2]: import pandas as pd

In [3]: import numpy as np

In [4]: import datetime as dt

In [5]: # SET START AND END DATES OF THE SERIES

In [6]: sdt = dt.datetime(2000, 1, 1)

In [7]: edt = dt.datetime(2015, 9, 1)

In [8]: cpi = web.DataReader("CPIAUCNS", "fred", sdt, edt)

In [9]: cpi.head()
Out[9]:
            CPIAUCNS
DATE
2000-01-01     168.8
2000-02-01     169.8
2000-03-01     171.2
2000-04-01     171.3
2000-05-01     171.5

In [10]: df1 = pd.DataFrame({'month': [dt.datetime.strftime(i, "%Y-%m") for i in cpi.index]})

In [11]: df1['qtr'] = [str(x.year) + "-Q" + str(x.quarter) for x in cpi.index]

In [12]: df1['m_cpi'] = cpi.values

In [13]: df1.index = cpi.index

In [14]: grp = df1.groupby('qtr', as_index = False)

In [15]: df2 = grp['m_cpi'].agg({'q_cpi': np.mean})

In [16]: df3 = pd.merge(df1, df2, how = 'inner', left_on = 'qtr', right_on = 'qtr')

In [17]: maxm_cpi = np.array(df3.m_cpi)[-1]

In [18]: maxq_cpi = np.array(df3.q_cpi)[-1]

In [19]: df3['m_factor'] = maxm_cpi / df3.m_cpi

In [20]: df3['q_factor'] = maxq_cpi / df3.q_cpi

In [21]: df3.index = cpi.index

In [22]: final = df3.sort_index(ascending = False)

In [23]: final.head(12)
Out[23]:
              month      qtr    m_cpi       q_cpi  m_factor  q_factor
DATE
2015-09-01  2015-09  2015-Q3  237.945  238.305000  1.000000  1.000000
2015-08-01  2015-08  2015-Q3  238.316  238.305000  0.998443  1.000000
2015-07-01  2015-07  2015-Q3  238.654  238.305000  0.997029  1.000000
2015-06-01  2015-06  2015-Q2  238.638  237.680667  0.997096  1.002627
2015-05-01  2015-05  2015-Q2  237.805  237.680667  1.000589  1.002627
2015-04-01  2015-04  2015-Q2  236.599  237.680667  1.005689  1.002627
2015-03-01  2015-03  2015-Q1  236.119  234.849333  1.007733  1.014714
2015-02-01  2015-02  2015-Q1  234.722  234.849333  1.013731  1.014714
2015-01-01  2015-01  2015-Q1  233.707  234.849333  1.018134  1.014714
2014-12-01  2014-12  2014-Q4  234.812  236.132000  1.013343  1.009202
2014-11-01  2014-11  2014-Q4  236.151  236.132000  1.007597  1.009202
2014-10-01  2014-10  2014-Q4  237.433  236.132000  1.002156  1.009202

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