Arbeitspapier

Using payments data to nowcast macroeconomic variables during the onset of COVID-19

The COVID-19 pandemic and the resulting public health mitigation have caused large-scale economic disruptions globally. During this time, there is an increased need to predict the macroeconomy's short-term dynamics to ensure the effective implementation of fiscal and monetary policy. However, economic prediction during a crisis is challenging because of the unprecedented economic impact, which increases the unreliability of traditionally used linear models that use lagged data. We help address these challenges by using timely retail payments system data in linear and nonlinear machine learning models. We find that compared to a benchmark, our model has a roughly 15 to 45% reduction in Root Mean Square Error when used for macroeconomic nowcasting during the global financial crisis. For nowcasting during the COVID-19 shock, our model predictions are much closer to the official estimates.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Staff Working Paper ; No. 2021-2

Klassifikation
Wirtschaft
Forecasting Models; Simulation Methods
Large Data Sets: Modeling and Analysis
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Monetary Policy
Thema
Econometric and statistical methods
Payment clearing and settlement systems

Ereignis
Geistige Schöpfung
(wer)
Chapman, James
Desai, Ajit
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2021

DOI
doi:10.34989/swp-2021-2
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Chapman, James
  • Desai, Ajit
  • Bank of Canada

Entstanden

  • 2021

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