Title: Nowcasting private consumption: Traditional indicators, uncertainty measures, and the role of internet search query data
Authors: Javier J Perez - Bank of Spain (Spain)
Alberto Urtasun - Banco de España (Spain) [presenting]
Abstract: The aim is to nowcast quarterly private consumption. We estimate a suite of mixed-frequency models on a real-time database for the case of the Spanish economy, 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 isbased 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.