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The COVID-19 pandemic and the mitigation policies implemented in response to it have resulted in economic losses worldwide. Attempts to understand the relationship between economics and epidemiology has led to a new generation of integrated mathematical models. The data needs for these models transcend those of the individual fields, especially where human interaction patterns are closely linked with economic activity. In this article, we reflect upon modelling efforts to date, discussing the data needs that they have identified, both for understanding the consequences of the pandemic and policy responses to it through analysis of historic data and for the further development of this new and exciting interdisciplinary field.