Nowcasting the Spanish Economy Using Very High Frequency Tax Data

Abstract

We present a short-term forecasting model based on tax data. The model combines daily information from the Immediate Supply of Information System for VAT declaration forms, with monthly indicators derived from tax data. The model uses the GDP as a macroeconomic synthesis. The model combines signal extraction and forecasting at the daily frequency, by means of an unobserved components model, with a mixed frequency (monthly-quarterly) dynamic factor analysis for GDP now-casting and forecasting. The daily information, plus the flexibility and efficiency of the factor models, allows a permanently updated monitoring of the short-term economic conditions of the Spanish economy.