The BOJfame package provides an R interface to the Bank of Japan’s
Time-Series Data
Search portal.
Specifically, it allows users to download individual series codes
directly from within R using exact series codes.
The name derives from the “famecgi2” script underpinning the BOJ’s database system; most likely this is a reference to the FAME database tool.
The package can be installed from Github.
library(devtools)
install_github("stefanangrick/BOJfame") # GitHubTo import data, first load the package.
library("BOJfame")Next, we run the get_bojfame() function to download two data series.
Note that data series need to be of the same frequency, otherwise an
error is returned. In the example below, we download two daily-frequency
time series. We use start_year and end_year to specify the desired
date range.
bojdata <- get_bojfame(series_codes = c("FM01'STRDCLUCON", "IR01'MADR1Z@D"),
start_year = 1995, end_year = 2022)The get_bojfame() function returns a list with a
tibble data frame holding the actual
data. Access the data using $data variable.
bojdata$data## # A tibble: 20,454 × 3
## date indicator obs_value
## <date> <chr> <dbl>
## 1 1995-01-01 FM01'STRDCLUCON NA
## 2 1995-01-01 IR01'MADR1Z@D 1.75
## 3 1995-01-02 FM01'STRDCLUCON NA
## 4 1995-01-02 IR01'MADR1Z@D 1.75
## 5 1995-01-03 FM01'STRDCLUCON NA
## 6 1995-01-03 IR01'MADR1Z@D 1.75
## 7 1995-01-04 FM01'STRDCLUCON NA
## 8 1995-01-04 IR01'MADR1Z@D 1.75
## 9 1995-01-05 FM01'STRDCLUCON NA
## 10 1995-01-05 IR01'MADR1Z@D 1.75
## # ℹ 20,444 more rows
Use $meta to access a tibble data
frame holding relevant meta data.
bojdata$meta## # A tibble: 9 × 3
## Attribute `FM01'STRDCLUCON` `IR01'MADR1Z@D`
## <chr> <chr> <chr>
## 1 Series code FM01'STRDCLUCON IR01'MADR1Z@D
## 2 Name of time-series Call Rate, Uncollateralized Overnight, A… The Basic Disc…
## 3 Unit percent per annum Percent per an…
## 4 Statistical category Call Rate The Basic Disc…
## 5 Observation AVERAGED END
## 6 start of time-series 1998/01/05 1882/10/11
## 7 End of time-series 2023/07/05 2023/07/05
## 8 Frequency DAILY DAILY
## 9 Notes <NA> <NA>
To plot the data using ggplot2, run the below.
library("dplyr")
library("ggplot2")
bojdata$data <- mutate(bojdata$data,
indicator = recode(indicator,
"FM01'STRDCLUCON" = "Call rate",
"IR01'MADR1Z@D" = "Basic loan rate"))
ggplot(bojdata$data, aes(x = date, y = obs_value)) +
geom_line(aes(colour = indicator)) +
labs(title = "Interest rates", x = "Date", y = "%") +
theme(legend.title = element_blank())
Note that BOJ data sets come with a number of different time formats.
The zoo package
(e.g. as.yearmon()) should be able to parse most formats.
This package is in no way officially related to or endorsed by the Bank of Japan. Please don’t abuse the BOJ’s servers with unnecessary calls.