Using the Payment System Data to Forecast the Italian GDP

31 Pages Posted: 6 Apr 2017

Date Written: February 23, 2017

Abstract

Payment systems track economic transactions and therefore could be considered important indicators of economic activity. This paper describes the available monthly data on the retail settlement system for Italy and selects some of them for short-term forecasting. Using a mixed frequency factor model to predict Italian GDP, we find that payment system flows stand out when compared to other standard business cycle indicators.

Keywords: short term forecasting, LASSO, mixed frequency models, Kalman smoothing, payment systems, TARGET2

JEL Classification: C53, E17, E27, E32, E37, E42

Suggested Citation

Aprigliano, Valentina and Ardizzi, Guerino and Monteforte, Libero, Using the Payment System Data to Forecast the Italian GDP (February 23, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1098, Available at SSRN: https://ssrn.com/abstract=2946969 or http://dx.doi.org/10.2139/ssrn.2946969

Valentina Aprigliano (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Guerino Ardizzi

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Libero Monteforte

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
83
Abstract Views
656
rank
370,031
PlumX Metrics