Macroeconomics

General portals

IMF, ADB, BIS, St. Louis' Fed

Central Bank Policy Rate

BIS has up to 2021 data, covering 38 economies (Euro zone counts as 1).

Effective exchange rate indices

BIS has up to 2021 data, covering 61 economies. Includes: nominal, real and trade weighted.

Inflation/ CPI

For major economies/ Western Hemisphere (a.k.a. US and their friends), St. Louis' Fed is your best shot. For other countries, they might have it on their central bank/ national statistical agency. For country-level harmonised comparison, World Bank/ IMF.

Sovereign Bond

Data sources are almost identical as Corporate Bond, see here.

The best FREE resources would be BIS Debt securities statistics, by residence and sector of issuer.

Bypassing paywalls for many other Macro variables (with API)

API is a machine-to-machine method to obtain data from major public sources, e.g. Central Banks, Eurostat, etc. I came across Simone Signore insightful slides from Google search. The method proposed is fully compatible with Stata, simply with a bit of effort and patience, I will provide my test script later here and on Github.