IDEAS home Printed from
   My bibliography  Save this paper

Monthly Assessments of Private Consumption


  • Tanya Suhoy

    () (Bank of Israel)


This article sets a framework for high-frequency nowcasts of private consumption, in terms of percentage changes, which are originally observed quarterly. The problem has been considered through two mixed-frequency models, both projecting quarterly observed percentage changes into monthly covariates: imports of consumer durables, retail trade, revenue of services, credit card and VAT payments, all adjusted for seasonal variation and available from official sources. The first model uses the MIDAS specification and produces quarterly nowcasts, updated monthly. The second model builds on state-space representation and enables monthly nowcasts. Timeliness of monthly official information is an important parameter of mixed-frequency models, taken into account either by appropriated parameterization or by endpoint estimates which fulfill incomplete monthly data. I simulate end-of-sample estimates using consumption-related Web-query indices, available weekly from Google Insights for Search. Proceeding from a predetermined pool of 41 Google predictors, a two-step procedure for filtering series has been applied, which selects the best explanatory subset, in accordance with the AIC information criteria. As the predictive content of query indices is time-varying, the best subset is reassigned each month, based on the information known up to the previous month. The MIDAS specification enables quarterly nowcasts for two months earlier than the bridge department equation, with almost the same RMSFE/AMFE. The monthly nowcasts of private consumption simulated from the state-space model are found (ex-post) to be consistent and highly positively correlated with quarterly realizations. Preliminary empirical evidence was found that monthly estimated "local-demand" series are more appropriate in inflation equations than the overall index of real economic activity.

Suggested Citation

  • Tanya Suhoy, 2010. "Monthly Assessments of Private Consumption," Bank of Israel Working Papers 2010.09, Bank of Israel.
  • Handle: RePEc:boi:wpaper:2010.09

    Download full text from publisher

    File URL:
    File Function: First version, 2010
    Download Restriction: no

    More about this item


    nowcasting; private consumption; mixed frequency models; Google Insights for Search;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boi:wpaper:2010.09. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dafna Koby). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.