利用借记卡交易数据对挪威家庭消费进行预测

IF 2.3 3区 经济学 Q2 ECONOMICS
Knut Are Aastveit, Tuva Marie Fastbø, Eleonora Granziera, Kenneth Sæterhagen Paulsen, Kjersti Næss Torstensen
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引用次数: 0

摘要

内容提要 我们使用一套新颖的数据,涵盖了挪威家庭在实体终端上进行的所有国内借记卡交易,对挪威家庭的季度消费进行了预测。这些银行卡支付数据不会被修改,而且每周都能及时提供,为家庭消费提供了宝贵的早期指标。为了考虑混合频率数据,我们使用按月和按周频率采样的预测因子对各种量化混合数据采样(QMIDAS)回归进行了估计。我们对 2011Q4-2019Q4 样本的点预测和密度预测性能进行了评估。我们的结果表明,与使用替代高频预测因子的竞争性标准基准模型相比,使用借记卡交易数据的 MIDAS 回归提高了点预测和密度预测的准确性。最后,我们对 2020Q1 进行了及时和相对准确的现时预测,从而说明了使用银行卡支付数据的好处,由于 COVID-19 大流行,该季度的不确定性增加。我们还进一步说明了借记卡数据在预测随后四个季度的消费方面的作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Nowcasting Norwegian household consumption with debit card transaction data

Nowcasting Norwegian household consumption with debit card transaction data

We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are not subject to revisions and are available weekly without delays, providing a valuable early indicator of household spending. To account for mixed-frequency data, we estimate various quantile mixed-data sampling (QMIDAS) regressions using predictors sampled at monthly and weekly frequency. We evaluate both point and density forecasting performance over the sample 2011Q4–2019Q4. Our results show that MIDAS regressions with debit card transactions data improve both point and density forecast accuracy over competitive standard benchmark models that use alternative high-frequency predictors. Finally, we illustrate the benefits of using the card payments data by obtaining a timely and relatively accurate nowcast of 2020Q1, a quarter characterized by heightened uncertainty due to the COVID-19 pandemic. We further show how debit card data have been useful in nowcasting consumption during the four subsequent quarters.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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