Big data financial transactions and GDP nowcasting: The case of Turkey
Yükleniyor...
Dosyalar
Tarih
2023-09-29
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
WILEY
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We use aggregated information from individual-to-firm and firm-to-firm transactions from the Garanti BBVA Bank to simulate domestic private demand and estimate aggregate consumption and investment for Turkey's quarterly national accounts in real time. We show that these big data variables successfully nowcast official consumption and investment flows. To further validate the usefulness of these indicators, we include both indicators among others which are generally used in gross domestic product (GDP) nowcasting and evaluate their contribution to nowcasting power of Turkish GDP by combining both linear and nonlinear models. The results are successful and confirm the usefulness of consumption and investment banking transactions for nowcasting purposes. These big data are valuable, especially at the beginning of the nowcasting process, when the traditional hard data are scarce. Accordingly, this information is especially relevant for countries with longer statistical release lags, such as emerging markets.
Açıklama
Anahtar Kelimeler
Bayesian vector autoregressive model, big data, dynamic factor model, machine learning, nowcasting
Kaynak
JOURNAL OF FORECASTING
WoS Q Değeri
Q2
