FRED, the Federal Reserve Bank of St. Louis Economic Data source, has over 200,000 data series spanning economic, financial, and demographic data. By visiting FRED, you no longer have to visit separate sites for inflation, interest rates, and unemployment data. Better yet, obtain API credentials from FRED, or use its Excel add-in.
Bank of Canada’s statistics page offers current and historical economic data, inflation, interest rates, commodity prices, and more
Quandl Quandl, like FRED, aggregates data from multiple sources. If you register for API credentials you have wide flexibility for importing Quandl into R.
Stock market and factor returns
MSCI, with an astonishingly large archive of global, regional, and country stock index total returns, in many cases dating back to 1970
Ken French’s data library, where you can find decades of Fama-French factor, quantile, and index returns
US Stock market valuation
Robert Shiller’s online data. The Nobel laureate has popularized the so-called Cyclically Adjusted Price/Earnings ratio (CAPE), for indicating a stock market’s overall valuation level. You will find that data here, as well as information about the transaction-based residential real estate indices he created with Karl Case, the Case-Shiller indices.
CBOE’s Volatility Indexes lists current and historical data for the VIX, as well as the VIX term structure.
NYU’s V-Lab is a real-time complement to VIX, offering different estimates of systemic risk and global market volatility and correlation coefficients.