Eu acredito que você queira usar a variável automática $* . Da documentação do GNU make:
$*The stem with which an implicit rule matches. If the target is
dir/a.foo.band the target pattern isa.%.bthen the stem isdir/foo. The stem is useful for constructing names of related files. In a static pattern rule, the stem is part of the file name that matched the%in the target pattern.
No seu caso específico, a regra do wget pode ser reescrita como:
$(BASE_DIR)/$(DATE)/%.csv:
cd $(BASE_DIR)/$(DATE); wget http://example.com/data/$*.csv