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Using Payment System Data to Forecast Economic Activity

Author

Listed:
  • Valentina Aprigliano

    (Banca d'Italia)

  • Guerino Ardizzi

    (Banca d'Italia)

  • Libero Monteforte

    (Banca d'Italia)

Abstract

Payment systems trace economic transactions; they could therefore be considered important indicators of economic activity. This paper describes the monthly data available on Italy's retail settlement system and selects some of them for nowcasting and short-term forecasting. Using a mixed-frequency factor model based on a large-scale data set to predict Italian GDP and its main components, the contribution of payment system flows to improving forecasting accuracy is found to be non-negligible. Moreover, the timeliness of the data improves nowcasting accuracy throughout the quarter.

Suggested Citation

  • Valentina Aprigliano & Guerino Ardizzi & Libero Monteforte, 2019. "Using Payment System Data to Forecast Economic Activity," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 55-80, October.
    • Handle: RePEc:ijc:ijcjou:y:2019:q:4:a:2
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System

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