Nowcasting private consumption: traditional indicators, uncertainty measures, and the role of internet search query data

Alberto Urtasun, Mara Gil and Javier Pérez

No 10745, EcoMod2017 from EcoMod

Abstract: The aim of this paper is to nowcast quarterly private consumption in Spain. We estimate a suite of mixed-frequency models on a real-time database for the period The selection of indicators is guided by the standard practice (\hard" and \soft" indicators), but also expand this practice by looking at non-standard variables, namely: (i) a suite of proxy indicators of uncertainty, calculated at the monthly frequency; (ii) two additional sets of variables that are sampled at a much lower frequency: Credit card transactions and indicators based on search query time series provided by Google Trends. 2005Q1-2015Q4, and conduct out-of-sample forecasting exercises to assess the relevant merits of different groups of indicators. The selection of indicators is guided by the standard practice (\hard" and \soft" indicators), but also expand this practice by looking at non-standard variables, namely: (i) a suite of proxy indicators of uncertainty, calculated at the monthly frequency; (ii) two additional sets of variables that are sampled at a much lower frequency: Credit card transactions and indicators based on search query time series provided by Google Trends. The latter set of indicators is based on factors extracted from consumption-related search categories of the Google Trends application. We also illustrate how Google data (sampled at a frequency higher than monthly) can be instrumental to perform event studies, by looking at possible anticipation effects related to VAT increases.

Keywords: Europe; Miscellaneous; Miscellaneous (search for similar items in EconPapers)
JEL-codes: C32 C53 E27 (search for similar items in EconPapers)
Date: 2017-07-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ecomod.net/system/files/Urtasun_Consumption_and_big_data.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ekd:010027:10745

Access Statistics for this paper

More papers in EcoMod2017 from EcoMod Contact information at EDIRC.
Bibliographic data for series maintained by Theresa Leary ().