diff --git a/dbt_project/models/agents_preprocess/schema.yml b/dbt_project/models/agents_preprocess/schema.yml index ce62a8d..d873d33 100644 --- a/dbt_project/models/agents_preprocess/schema.yml +++ b/dbt_project/models/agents_preprocess/schema.yml @@ -89,3 +89,34 @@ models: - name: agent_treasury_yield_curve_spreads description: "Incremental treasury yield curve spreads for agent consumption" + tests: + - unique_combination: + arguments: + combination_of_columns: ['date'] + columns: + - name: date + description: Treasury yield observation date. + tests: + - not_null + - name: yield_3m + description: Three-month Treasury yield. + - name: yield_2y + description: Two-year Treasury yield. + - name: yield_10y + description: Ten-year Treasury yield. + - name: spread_10y_2y + description: Ten-year minus two-year Treasury yield spread. + - name: spread_10y_3m + description: Ten-year minus three-month Treasury yield spread. + - name: curve_shape + description: Yield curve shape classification. + tests: + - accepted_values: + arguments: + values: ['Steep', 'Normal', 'Flat', 'Inverted'] + - name: inversion_status + description: Yield curve inversion status. + tests: + - accepted_values: + arguments: + values: ['Normal', 'Inverted', 'Inverted (10Y-3M)'] diff --git a/dbt_project/models/semantic_layer/schema.yml b/dbt_project/models/semantic_layer/schema.yml index 2f67026..0599340 100644 --- a/dbt_project/models/semantic_layer/schema.yml +++ b/dbt_project/models/semantic_layer/schema.yml @@ -235,6 +235,375 @@ semantic_models: agg: max expr: freshness_lag_days + - name: treasury_yield_curve + description: > + Treasury yield curve levels, spreads, and inversion classifications for + agent and semantic-layer analysis. + model: ref('agent_treasury_yield_curve_spreads') + defaults: + agg_time_dimension: date + entities: + - name: yield_curve_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: curve_shape + type: categorical + - name: inversion_status + type: categorical + measures: + - name: treasury_3m_yield_measure + description: Average three-month Treasury yield. + agg: average + expr: yield_3m + - name: treasury_2y_yield_measure + description: Average two-year Treasury yield. + agg: average + expr: yield_2y + - name: treasury_10y_yield_measure + description: Average ten-year Treasury yield. + agg: average + expr: yield_10y + - name: spread_10y_2y_measure + description: Average ten-year minus two-year Treasury yield spread. + agg: average + expr: spread_10y_2y + - name: spread_10y_3m_measure + description: Average ten-year minus three-month Treasury yield spread. + agg: average + expr: spread_10y_3m + + - name: financial_conditions + description: > + Financial stress, lending standards, and credit delinquency signals built + from existing FRED financial-condition series. + model: ref('financial_conditions_signals') + defaults: + agg_time_dimension: date + entities: + - name: financial_conditions_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: nfci_status + type: categorical + - name: nfci_trend_status + type: categorical + - name: lending_status + type: categorical + measures: + - name: nfci_value_measure + description: Average Chicago Fed National Financial Conditions Index value. + agg: average + expr: nfci_value + - name: anfci_value_measure + description: Average adjusted National Financial Conditions Index value. + agg: average + expr: anfci_value + - name: stl_fsi_value_measure + description: Average St. Louis Fed Financial Stress Index value. + agg: average + expr: stl_fsi_value + - name: nfci_13w_change_measure + description: Average 13-week change in NFCI. + agg: average + expr: nfci_13w_change + - name: lending_standards_avg_measure + description: Average bank lending standards net tightening. + agg: average + expr: lending_standards_avg + - name: credit_card_delinquency_rate_measure + description: Average credit card delinquency rate. + agg: average + expr: cc_delinquency_rate + + - name: fomc_sentiment + description: > + FOMC hawkish/dovish sentiment scores at meeting and section/speaker grain. + model: ref('stg_fomc_sentiment_scores') + defaults: + agg_time_dimension: meeting_date + entities: + - name: fomc_sentiment_score + type: primary + expr: score_id + - name: fomc_transcript + type: foreign + expr: transcript_id + - name: fomc_section + type: foreign + expr: section_id + dimensions: + - name: meeting_date + type: time + type_params: + time_granularity: day + - name: speaker + type: categorical + - name: scoring_method + type: categorical + - name: model_name + type: categorical + - name: sentiment_label + type: categorical + - name: is_meeting_aggregate + type: categorical + measures: + - name: fomc_hawkish_score_measure + description: Average FOMC hawkish sentiment score. + agg: average + expr: hawkish_score + - name: fomc_dovish_score_measure + description: Average FOMC dovish sentiment score. + agg: average + expr: dovish_score + - name: fomc_net_sentiment_score_measure + description: Average net hawkish-minus-dovish FOMC sentiment score. + agg: average + expr: net_sentiment_score + - name: fomc_sentiment_delta_measure + description: Average meeting-to-meeting sentiment score delta. + agg: average + expr: score_delta + - name: fomc_sentiment_confidence_measure + description: Average confidence score for FOMC sentiment extraction. + agg: average + expr: confidence + + - name: macro_sentiment_signals + description: > + Consumer sentiment, confidence divergence, and manufacturing sentiment + proxy signals built from existing FRED series. + model: ref('sentiment_signals') + defaults: + agg_time_dimension: date + entities: + - name: macro_sentiment_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: divergence_status + type: categorical + - name: mfg_production_status + type: categorical + - name: stagflation_status + type: categorical + - name: new_orders_status + type: categorical + - name: orders_inventories_status + type: categorical + measures: + - name: consumer_sentiment_measure + description: Average University of Michigan Consumer Sentiment Index. + agg: average + expr: umcsent + - name: consumer_confidence_measure + description: Average OECD consumer confidence indicator. + agg: average + expr: confidence + - name: confidence_sentiment_divergence_measure + description: Average confidence-versus-sentiment z-score divergence. + agg: average + expr: confidence_sentiment_divergence + - name: manufacturing_production_yoy_measure + description: Average manufacturing production year-over-year change. + agg: average + expr: ipman_yoy_pct + - name: new_orders_yoy_measure + description: Average manufacturing new orders year-over-year change. + agg: average + expr: new_orders_yoy_pct + + - name: net_liquidity_signals + description: > + Net liquidity proxy combining Fed balance sheet assets, Treasury General + Account balances, and reverse repo usage. + model: ref('net_liquidity_signals') + defaults: + agg_time_dimension: date + entities: + - name: net_liquidity_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: net_liquidity_trend + type: categorical + - name: net_liquidity_status + type: categorical + - name: rrp_depletion_status + type: categorical + measures: + - name: net_liquidity_measure + description: Average net liquidity level. + agg: average + expr: net_liquidity + - name: net_liquidity_4w_change_measure + description: Average four-week net liquidity percent change. + agg: average + expr: net_liquidity_4w_pct_change + - name: net_liquidity_13w_change_measure + description: Average thirteen-week net liquidity percent change. + agg: average + expr: net_liquidity_13w_pct_change + - name: net_liquidity_zscore_measure + description: Average net liquidity z-score. + agg: average + expr: net_liquidity_zscore + - name: reverse_repo_usage_measure + description: Average reverse repo facility usage. + agg: average + expr: rrpontsyd + + - name: diffusion_index_signals + description: > + Economic breadth diffusion index showing the share of tracked FRED + indicators that are improving. + model: ref('diffusion_index_signals') + defaults: + agg_time_dimension: date + entities: + - name: diffusion_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: breadth_trend + type: categorical + - name: diffusion_status + type: categorical + measures: + - name: diffusion_pct_measure + description: Average percentage of tracked indicators improving. + agg: average + expr: diffusion_pct + - name: improving_indicator_count_measure + description: Average count of improving indicators. + agg: average + expr: improving_count + - name: tracked_indicator_count_measure + description: Average count of indicators with valid observations. + agg: average + expr: total_count + - name: diffusion_zscore_measure + description: Average diffusion index z-score. + agg: average + expr: diffusion_zscore + - name: diffusion_3m_change_measure + description: Average three-month change in diffusion percentage. + agg: average + expr: diffusion_3m_change + + - name: fiscal_signals + description: > + Fiscal sustainability indicators covering federal debt-to-GDP, interest + payment growth, and deficit-to-GDP. + model: ref('fiscal_signals') + defaults: + agg_time_dimension: date + entities: + - name: fiscal_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: debt_level_status + type: categorical + - name: debt_trajectory_status + type: categorical + - name: interest_burden_status + type: categorical + - name: deficit_status + type: categorical + measures: + - name: debt_gdp_pct_measure + description: Average federal debt as a percentage of GDP. + agg: average + expr: debt_gdp_pct + - name: debt_gdp_1y_change_measure + description: Average one-year change in debt-to-GDP. + agg: average + expr: debt_gdp_1y_change + - name: interest_payment_measure + description: Average federal government interest payments. + agg: average + expr: interest_payment + - name: interest_yoy_growth_measure + description: Average year-over-year growth in federal interest payments. + agg: average + expr: interest_yoy_growth + - name: deficit_gdp_pct_measure + description: Average federal surplus or deficit as a percentage of GDP. + agg: average + expr: deficit_gdp_pct + + - name: housing_signal_indicators + description: > + Housing market signals covering starts momentum, permits pipeline, + mortgage-rate stress, and months of supply. + model: ref('housing_signals') + defaults: + agg_time_dimension: date + entities: + - name: housing_signal_observation + type: primary + expr: date + dimensions: + - name: date + type: time + type_params: + time_granularity: day + - name: starts_momentum_status + type: categorical + - name: permits_pipeline_status + type: categorical + - name: mortgage_stress_status + type: categorical + - name: supply_status + type: categorical + measures: + - name: housing_starts_yoy_measure + description: Average housing starts year-over-year percentage change. + agg: average + expr: starts_yoy_pct + - name: permits_starts_ratio_measure + description: Average building permits to housing starts ratio. + agg: average + expr: permits_starts_ratio + - name: mortgage_rate_measure + description: Average 30-year fixed mortgage rate. + agg: average + expr: avg_mortgage_rate + - name: housing_months_supply_measure + description: Average months of new housing supply. + agg: average + expr: months_of_supply + - name: mortgage_3m_change_measure + description: Average three-month change in mortgage rates. + agg: average + expr: mortgage_3m_change + metrics: - name: asset_volatility_proxy label: Asset Price Volatility (1-Year StdDev) @@ -288,3 +657,290 @@ metrics: type_params: measure: name: freshness_lag_days_measure + - name: treasury_3m_yield + label: Treasury 3M Yield + description: Average three-month Treasury yield. + type: simple + type_params: + measure: + name: treasury_3m_yield_measure + - name: treasury_2y_yield + label: Treasury 2Y Yield + description: Average two-year Treasury yield. + type: simple + type_params: + measure: + name: treasury_2y_yield_measure + - name: treasury_10y_yield + label: Treasury 10Y Yield + description: Average ten-year Treasury yield. + type: simple + type_params: + measure: + name: treasury_10y_yield_measure + - name: treasury_10y_2y_spread + label: Treasury 10Y-2Y Spread + description: Average ten-year minus two-year Treasury yield spread. + type: simple + type_params: + measure: + name: spread_10y_2y_measure + - name: treasury_10y_3m_spread + label: Treasury 10Y-3M Spread + description: Average ten-year minus three-month Treasury yield spread. + type: simple + type_params: + measure: + name: spread_10y_3m_measure + - name: nfci_value + label: NFCI Value + description: Average Chicago Fed National Financial Conditions Index value. + type: simple + type_params: + measure: + name: nfci_value_measure + - name: anfci_value + label: ANFCI Value + description: Average adjusted National Financial Conditions Index value. + type: simple + type_params: + measure: + name: anfci_value_measure + - name: stl_financial_stress_index + label: St. Louis Financial Stress Index + description: Average St. Louis Fed Financial Stress Index value. + type: simple + type_params: + measure: + name: stl_fsi_value_measure + - name: nfci_13w_change + label: NFCI 13W Change + description: Average 13-week change in NFCI. + type: simple + type_params: + measure: + name: nfci_13w_change_measure + - name: lending_standards_avg + label: Lending Standards Average + description: Average large and small firm bank lending standards net tightening. + type: simple + type_params: + measure: + name: lending_standards_avg_measure + - name: credit_card_delinquency_rate + label: Credit Card Delinquency Rate + description: Average delinquency rate on credit card loans. + type: simple + type_params: + measure: + name: credit_card_delinquency_rate_measure + - name: fomc_hawkish_score + label: FOMC Hawkish Score + description: Average FOMC hawkish sentiment score. + type: simple + type_params: + measure: + name: fomc_hawkish_score_measure + - name: fomc_dovish_score + label: FOMC Dovish Score + description: Average FOMC dovish sentiment score. + type: simple + type_params: + measure: + name: fomc_dovish_score_measure + - name: fomc_net_sentiment_score + label: FOMC Net Sentiment Score + description: Average net hawkish-minus-dovish FOMC sentiment score. + type: simple + type_params: + measure: + name: fomc_net_sentiment_score_measure + - name: fomc_sentiment_delta + label: FOMC Sentiment Delta + description: Average meeting-to-meeting FOMC sentiment delta. + type: simple + type_params: + measure: + name: fomc_sentiment_delta_measure + - name: fomc_sentiment_confidence + label: FOMC Sentiment Confidence + description: Average confidence score for FOMC sentiment extraction. + type: simple + type_params: + measure: + name: fomc_sentiment_confidence_measure + - name: consumer_sentiment + label: Consumer Sentiment + description: Average University of Michigan Consumer Sentiment Index. + type: simple + type_params: + measure: + name: consumer_sentiment_measure + - name: consumer_confidence + label: Consumer Confidence + description: Average OECD consumer confidence indicator. + type: simple + type_params: + measure: + name: consumer_confidence_measure + - name: confidence_sentiment_divergence + label: Confidence-Sentiment Divergence + description: Average confidence-versus-sentiment z-score divergence. + type: simple + type_params: + measure: + name: confidence_sentiment_divergence_measure + - name: manufacturing_production_yoy + label: Manufacturing Production YoY + description: Average manufacturing production year-over-year percentage change. + type: simple + type_params: + measure: + name: manufacturing_production_yoy_measure + - name: manufacturing_new_orders_yoy + label: Manufacturing New Orders YoY + description: Average manufacturing new orders year-over-year percentage change. + type: simple + type_params: + measure: + name: new_orders_yoy_measure + - name: net_liquidity + label: Net Liquidity + description: Average Fed balance sheet minus Treasury General Account minus reverse repo usage. + type: simple + type_params: + measure: + name: net_liquidity_measure + - name: net_liquidity_4w_change + label: Net Liquidity 4W Change + description: Average four-week net liquidity percentage change. + type: simple + type_params: + measure: + name: net_liquidity_4w_change_measure + - name: net_liquidity_13w_change + label: Net Liquidity 13W Change + description: Average thirteen-week net liquidity percentage change. + type: simple + type_params: + measure: + name: net_liquidity_13w_change_measure + - name: net_liquidity_zscore + label: Net Liquidity Z-Score + description: Average 52-week z-score of net liquidity. + type: simple + type_params: + measure: + name: net_liquidity_zscore_measure + - name: reverse_repo_usage + label: Reverse Repo Usage + description: Average reverse repo facility usage. + type: simple + type_params: + measure: + name: reverse_repo_usage_measure + - name: economic_diffusion_pct + label: Economic Diffusion % + description: Average percentage of tracked economic indicators improving. + type: simple + type_params: + measure: + name: diffusion_pct_measure + - name: improving_indicator_count + label: Improving Indicator Count + description: Average count of tracked indicators showing improvement. + type: simple + type_params: + measure: + name: improving_indicator_count_measure + - name: tracked_indicator_count + label: Tracked Indicator Count + description: Average count of indicators with valid observations. + type: simple + type_params: + measure: + name: tracked_indicator_count_measure + - name: diffusion_zscore + label: Diffusion Z-Score + description: Average z-score of the economic diffusion index. + type: simple + type_params: + measure: + name: diffusion_zscore_measure + - name: diffusion_3m_change + label: Diffusion 3M Change + description: Average three-month change in economic diffusion percentage. + type: simple + type_params: + measure: + name: diffusion_3m_change_measure + - name: debt_gdp_pct + label: Debt-to-GDP % + description: Average federal debt as a percentage of GDP. + type: simple + type_params: + measure: + name: debt_gdp_pct_measure + - name: debt_gdp_1y_change + label: Debt-to-GDP 1Y Change + description: Average one-year change in debt-to-GDP. + type: simple + type_params: + measure: + name: debt_gdp_1y_change_measure + - name: federal_interest_payments + label: Federal Interest Payments + description: Average federal government interest payments. + type: simple + type_params: + measure: + name: interest_payment_measure + - name: federal_interest_yoy_growth + label: Federal Interest YoY Growth + description: Average year-over-year growth in federal interest payments. + type: simple + type_params: + measure: + name: interest_yoy_growth_measure + - name: deficit_gdp_pct + label: Deficit-to-GDP % + description: Average federal surplus or deficit as a percentage of GDP. + type: simple + type_params: + measure: + name: deficit_gdp_pct_measure + - name: housing_starts_yoy + label: Housing Starts YoY + description: Average housing starts year-over-year percentage change. + type: simple + type_params: + measure: + name: housing_starts_yoy_measure + - name: permits_starts_ratio + label: Permits-to-Starts Ratio + description: Average building permits to housing starts ratio. + type: simple + type_params: + measure: + name: permits_starts_ratio_measure + - name: mortgage_rate + label: Mortgage Rate + description: Average 30-year fixed mortgage rate. + type: simple + type_params: + measure: + name: mortgage_rate_measure + - name: housing_months_supply + label: Housing Months of Supply + description: Average months of new housing supply. + type: simple + type_params: + measure: + name: housing_months_supply_measure + - name: mortgage_3m_change + label: Mortgage 3M Change + description: Average three-month change in mortgage rates. + type: simple + type_params: + measure: + name: mortgage_3m_change_measure