The use of payment systems data as early indicators of economic activity

Abstract

Payment system data are available with virtually no time lag and could therefore help in tracking the evolution of GDP in real time. Using data from the Spanish national system for retail payments, we compare the performance of GDP nowcasts against that of alternative indicators. The main result is that payment system data can make a significant contribution to nowcasting GDP and they can also improve the performance of simple models that are currently based only on purchasing managers indices (PMIs).

Keywords:

• payment system
• data nowcast
• GDP

JEL Classification:

• C50
• C53
• E37
• E47

Notes

¹ Payment system data are also available to the general public with only some weeks’ delay. This means that such data may be used also by private institutions or the academia in conducting their research.

² See https://www.iberpay.es/Secciones/1SNCE/Paginas/Estadisticas/EstadisticasGenerales.aspx

³ National Electronic Clearing System or Sistema Nacional de Compensación Electrónica in Spanish.

⁴ This means that we take into account the timeliness of GDP releases (i.e., the fact that during a given quarter, the value of previous’ quarter GDP is still not observed), but not the revisions to the preliminary estimates.

⁵ The optimal number of lags is chosen for every step of the nowcasting exercise by minimizing the Schwarz information criterion.

⁶ Results are not reported for the sake of brevity but are available from the authors upon request.