From Shopping to Statistics: Tracking and Nowcasting Private Consumption Expenditures in Real-Time

Friederike Fourné and Robert Lehmann

No 10764, CESifo Working Paper Series from CESifo

Abstract: In this paper, we use high-frequency transaction data to develop a weekly tracker for private consumption expenditures. Furthermore, we apply the transaction data in a nowcasting experiment and compare their performance with other, readily available indicators that are regularly linked to private consumption in Germany. The weekly tracker produces precise estimates and can thus be used in real-time, especially in very turbulent times such as a pandemic or the high-inflation-phase in its aftermath. In terms of nowcast accuracy, the tracker outperforms all remaining indicators, making it a powerful tool for applied forecasting work. We plan to regularly publish the weekly consumption tracker in the future, thereby complementing the database for Germany.

Keywords: private consumption expenditures; real-time tracker; high-frequency transaction data; mixed-frequency vectorautoregression; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C32 C53 E01 E21 E27 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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