I would actually not recommend econometrics as the OP seems to just start out in this area. My recommendation is: get to know the data, learn what is available,

I would actually not recommend econometrics as the OP seems to just start out in this area. My recommendation is: get to know the data, learn what is available, read the definitions/construction methods, plot it in so many ways, do simple statistical summaries, for subperiods, for the entire sample, nothing fancy. One caution though: Try to do so _before_ making up your mind as to what explains the world, and even more important, try to forget everything you've already been programmed to read into the data. It's like in some karate movie, you have to "empty your mind" and let the data come to you, and if you let it sink in, at some point, you will start to ask questions and seek your own answers. I think that's a better way than to be presented with one or two general frameworks and then force fed so many specific models and examples that invariably one ends up seeing the world and asking the same questions like "them". One concrete example is "aggregate demand". It's a concept presented in the most basic textbooks as a "fact" but it's really an artifact. Fischer Black claimed that the more he thought about it, the less he understood how one could distinguish between "aggregate supply" and "aggregate demand", yet economics is taught like that in every basic textbook I have seen so far. There are very few "facts" in finance and economics, so for the beginner, before consulting what others have thought, I would recommend first having an unadulterated look at the facts before reading explanations or stories.