Nowcasting Private Consumption: Traditional Indicators, Uncertainty Measures, Credit Cards and Some Internet Data

50 Pages Posted: 14 Dec 2018

See all articles by Maria Gil

Maria Gil

Banco de España

Javier J. Pérez

Banco de España - Research Department

Antonio Jesus Sanchez Fuentes

Universidad Complutense de Madrid (UCM); Universidad Complutense de Madrid (UCM) - Institute of International Studies (ICEI)

Alberto Urtasun

Banco de España

Date Written: December 11, 2018

Abstract

The focus of this paper is on nowcasting and forecasting quarterly private consumption. The selection of real-time, monthly indicators focuses on standard (“hard”/“soft” indicators) and less-standard variables. Among the latter group we analyze: i) proxy indicators of economic and policy uncertainty; ii) payment cards’ transactions, as measured at “Point-of-sale” (POS) and ATM withdrawals; iii) indicators based on consumption-related search queries retrieved by means of the Google Trends application. We estimate a suite of mixed-frequency, time series models at the monthly frequency, on a real-time database with Spanish data, and conduct out-of-sample forecasting exercises to assess the relevant merits of the different groups of indicators. Some results stand out: i) “hard” and payments cards indicators are the best performers when taken individually, and more so when combined; ii) nonetheless, “soft” indicators are helpful to detect qualitative signals in the nowcasting horizon; iii) Google-based and uncertainty indicators add value when combined with traditional indicators, most notably at estimation horizons beyond the nowcasting one, what would be consistent with capturing information about future consumption decisions; iv) the combinations of models that include the best performing indicators tend to beat broader-based combinations.

Keywords: private consumption, nowcasting, forecasting, uncertainty, Google Trends.

JEL Classification: E27, C32, C53

Suggested Citation

Gil, Maria and Perez, Javier J. and Sanchez Fuentes, Antonio Jesus and Urtasun, Alberto, Nowcasting Private Consumption: Traditional Indicators, Uncertainty Measures, Credit Cards and Some Internet Data (December 11, 2018). Banco de Espana Working Paper No. 1842. Available at SSRN: https://ssrn.com/abstract=3299575 or http://dx.doi.org/10.2139/ssrn.3299575

Maria Gil (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Javier J. Perez

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

Antonio Jesus Sanchez Fuentes

Universidad Complutense de Madrid (UCM) ( email )

Madrid, 28040
Spain

Universidad Complutense de Madrid (UCM) - Institute of International Studies (ICEI) ( email )

Collado Villalba, Madrid, 28400
United States

Alberto Urtasun

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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