Nowcasting Household Consumption in Azerbaijan

Nazrin Ramazanova and Ramiz Rahmanov

No 2101, Working Papers from Central Bank of Azerbaijan Republic

Abstract: The paper investigates the performance of various combinations of the single predictor MIDAS models and DFM model to nowcast household consumption in Azerbaijan. We evaluate the out-of-sample forecasting performance at horizons of up to four quarters ahead. All models use the information on monthly indicators released ahead of quarterly household consumption. The results show that both DFM model and single predictor MIDAS models with high-frequency regressors of retail trade turnover and Google Trends (arts & entertainment, sports, travel, hobbies & leisure) outperform the univariate benchmark model for one quarter ahead forecast. However, in comparison with MIDAS models, DFM shows better forecast performance.

Keywords: nowcasting; household consumption; MIDAS; DFM (search for similar items in EconPapers)
JEL-codes: C32 C38 C52 C53 E21 E27 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2021-12-12
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Persistent link: https://EconPapers.repec.org/RePEc:aze:wpaper:2101

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