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Using the payment system data to forecast the Italian GDP

Author

Listed:
  • Valentina Aprigliano

    () (Bank of Italy)

  • Guerino Ardizzi

    () (Bank of Italy)

  • Libero Monteforte

    () (Bank of Italy)

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.

Suggested Citation

  • Valentina Aprigliano & Guerino Ardizzi & Libero Monteforte, 2017. "Using the payment system data to forecast the Italian GDP," Temi di discussione (Economic working papers) 1098, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_1098_17
    as

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    File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1098/en_tema_1098.pdf
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    References listed on IDEAS

    as
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    3. Paulo Esteves, 2009. "Are ATM/POS Data Relevant When Nowcasting Private Consumption?," Working Papers w200925, Banco de Portugal, Economics and Research Department.
    4. Martin Schneider & Monika Piazzesi, 2015. "Payments, Credit and Asset Prices," 2015 Meeting Papers 133, Society for Economic Dynamics.
    5. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
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    7. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
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    More about this item

    Keywords

    short term forecasting; LASSO; mixed frequency models; Kalman smoothing; payment systems; TARGET2;

    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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