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A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
C53 - Forecasting and Other Model Applications
E27 - Forecasting and Simulation
The recent worldwide development and widespread use of electronic payment systems opened the opportunity to explore new data sources for monitoring macroeconomic activity. In this paper, we analyse the usefulness of data collected from Automated Teller Machines (ATM) and Points-Of-Sale (POS) for nowcasting and forecasting quarterly private consumption. To take advantage of the high frequency availability of such data, we use Mixed Data Sampling (MIDAS) regressions. A comparison of several MIDAS variants proposed in the literature is conducted, both single- and multiple variable models are considered, as well as different information sets within the quarter. Given the high penetration of ATM/POS technology in Portugal, it becomes a natural case study to assess its information content for tracking private consumption behaviour. We find that ATM/POS data displays better forecast performance than typical indicators, reinforcing the potential usefulness of this novel type of data among policymakers and practitioner.