Using the payment system data to forecast the Italian GDP

Valentina Aprigliano, Guerino Ardizzi () and Libero Monteforte

No 1098, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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 (search for similar items in EconPapers)
JEL-codes: C53 E17 E27 E32 E37 E42 (search for similar items in EconPapers)
Date: 2017-02
New Economics Papers: this item is included in nep-eec, nep-for, nep-mac and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1098_17

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