High Frequency data

at BBVA Research

October 2020

ECB Workshop on high-frequency data The industry of high-frequency data: a view from the trenches

Alvaro Ortiz

Tomasa Rodrigo

2ECB Workshop on high-frequency data. October 2020

Text as Data (Macroeconomics, Politics,

Geopolitics, society, communication strategy,…)

How do we manage data at BBVA Research?

National Accountsin “Real Time” & “High Definition”

(Macroeconomic& Sectorial analysis) Structural Analysis

In real Time(Bank transactions

interconnectedness,Network analysis,…)

3ECB Workshop on high-frequency data. October 2020

Bank transaction data requires efforts to make Big Data indicators

robust and stable … we look for a “Good Data Driven” strategy…

Individual to firm transactions Firm to firm transactions Firm to individual transactions

Data

Representativity

Data

Quality

Data

Ingestion

Reassuring data management process

4ECB Workshop on high-frequency data. October 2020

…but efforts pay off as the analysis of bank transactions offers a

huge potential in terms of economic analysis ….

Daily indicators are provided on our website with weekly updatesSee Carvalho et al

(2020) for further detail

5ECB Workshop on high-frequency data. October 2020

The time advantage on consumption evolution can be important…

especially in emerging countries

3 months

ahead

End of the

month

2 months

ahead

1 month

ahead

Spain Turkey

Publication calendar for consumption according to the National Institutes of Statistics by country

BBVA Big Data Consumption

indices for all countries

BBVA Big Data Consumption Index Spain VS Official data: the retail sales index (monthly growth rates)

National By distribution class By region

MexicoColombia

Peru

Argentina

USA

See Bodas et al (2019)

for further detail

6ECB Workshop on high-frequency data. October 2020

It is not just the “high frequency”… but the “High Definition”

component too, which leads Big Data to have “High Potential”

By sector By geography Online / Offline Card purchase /

ATM withdrawal

High frequency consumption indicators

Health, Transport,

Restaurants,

Entertainment,

Hotels, Food,…

Consumption

in restaurants

Regions, cities and

even postal codes

Consumption by region Spain USA

Turkey Mexico

Performance of online vs

face-to-face purchasesSpain Colombia

By nationalitySpain

7ECB Workshop on high-frequency data. October 2020

Our scope is wider. We focus on “National Accounts”. In this sense,

we have just released our Big Data Investment indices in real time …

Investment : BBVA Big Data Investment Indices and Official

Data (GFCF) (yoy)

Mexico

3 months

ahead

End of the

quarter

2 months

ahead

1 month

ahead

Spain Turkey

Publication calendar for investment according to the National Institutes of Statistics by country

BBVA Big Data Investment

indices for all countries MexicoColombia

Peru

ArgentinaUSA

See Barlas et al (2020)

for further detail

-45%

-35%

-25%

-15%

-5%

5%

15%

25%

35%

45%

2-F

eb9

-Feb

16

-Feb

23

-Feb

1-M

ar8

-Mar

15

-Mar

22

-Mar

29

-Mar

5-A

pr

12

-Ap

r1

9-A

pr

26

-Ap

r3

-May

10

-May

17

-May

24

-May

31

-May

7-J

un

14

-Ju

n2

1-J

un

28

-Ju

n5

-Ju

l1

2-J

ul

19

-Ju

l2

6-J

ul

2-A

ug

9-A

ug

16

-Au

g2

3-A

ug

30

-Au

g6

-Sep

13

-Sep

20

-Sep

27

-Sep

4-O

ct1

1-O

ct

Total Investment Machinery Construction

Turkey: Daily BBVA Big Data Investment index(28 daily average, yoy)

Turkey 1Q-20 2Q-20 3Q-20 4Q-20

8ECB Workshop on high-frequency data. October 2020

TURKEY:GB-BBVA BIG DATA INVESTMENT HEAT MAP(3mm avg YoY nominal)

Our Big data investment indicators have “High Definition” too.. This

could be key to track investment by economic sectors and regions

TURKEY:GB-BBVA BiG DATA INVESTMENTS GEO-MAPS (Change in YoY investment before, during and after the lockdowns by Covids)

22 Sectors 81 Provinces

See Barlas et al (2020) for further detail

9ECB Workshop on high-frequency data. October 2020

Big Data information improves the nowcasting performance and

provides an important “time advantage” to analysts and policymakers…

TURKEY: NOWCASTING FINANCIAL CRISIS (SEPT 2018) & COVID CRISIS (MAR 2020)(quasi real time nowcasting with and without Big Data Indexes vs Benchmark)**

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2016-20 2018-20

With Big DataInvetment

Benchmarks

OUT of Sample RMSE

2016-2020

Financial Crisis (September 2018) COVID-19 (March 2020)

See Barlas et al (2020)

for further detail

The model with Big Data investment

Start to signal the deceeleration more

tan a motnh before

The model with Big Data

Consumption Reacted

inmediately signalling the

Deep and the Sharp

recovery

10ECB Workshop on high-frequency data. October 2020

… as well as to analyze critical events such as the Covid-19 pandemic

in a very granular way to design better “targeted” policies

Source: https://conference.nber.org/sched/EFGs20

https://conference.nber.org/conf_papers/f143494.pdf

High Frequency data

at BBVA Research

October 2020

ECB Workshop on high-frequency data The industry of high-frequency data: a view from the trenches

Alvaro Ortiz

Tomasa Rodrigo