Using Big Data

at BBVA Research
Opportunities and challenges of
using big data for policy analysis
Panel discussion

Macroeconomic policy analyses with big data

Danmarks Nationalbank workshop, October 2019
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 2

Main takeaways working with Big Data

at BBVA Research

It helps us to … … but still some challenges

Complement and enrich our traditional Data challenges: missing data, data
databases with high dimensional data: sparsity, data quality,…

Quantifying new trends and exploiting new
dimensions.
Having timely answers on the impact of
different events, providing early warning
signals indicators.
In most cases, there’s not enough time
horizon to improve our models
performance at forecasting.
Legal and regulatory issues for data
sharing.

Improving our models performance at

nowcasting.

RETAIL SALES IN SPAIN: UNEMPLOYMENT HOUSING PRICE MEDIA CENTRAL BANK

INE & BBVA NOWCASTING IN TURKEY SENTIMENT IN CHINA 2018 NARRATIVE WORDCLOUD
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 3

Data treatment and robustness check became the most

time consuming parts of the working process

To face with new and high dimensional data

Data treatment and analysis: Robustness check:

1 Data cleaning, missing values,
outlier detection, high
2 Cross-check of Big Data outcome with
traditional data and methodologies.
heterogeneity, sparsity,…
New methodologies to face data
challenges: dimensionality Ebola Outbreak:
WHO and GDELT
reduction, clustering,
regularization,…

Protectionism:
GTA and GDELT
Massive and
unstructured datasets:
Importance of making
the right questions Retail sales:
INE and BBVA
 Monitoring social, economic and geopolitical events through Big Data 4

How to exploit the potential of Big Data?

New framework in the digital era…

New availability Combination of historical
of data data with real time data

Better and faster Advanced data science

infrastructure techniques and algorithms
New answers to Higher computational abilities
old questions to face more data granularity

…which needs the development of new competences to take advantage of it

Economic and Developing the data Deepening the statistical Interpreting the
business management and and econometric skills to results: summarize,
knowledge to programming analyze and deal describe and
guide the capabilities to work with with high-dimensional analyze the
question. large-scale datasets. data. information.

New data may end up changing the way in which economists approach
empirical questions and the tools they use to answer them.
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 5

We use Big Data at BBVA Research to provide a better,

”Real Time” and “High Definition” economic analysis

Some examples of our products

Economic indicators Economic Analysis Social & Economic

in Real Time in High Definition Networks
Nowcasting: Real time analysis Using NLP to
with high granular understand
1. Activity using
data to analyse monetary policy
bank’s data
sentiment towards narrative for
(Retail Sales
corporates using European Central
Index).
the media Bank, Federal
2. Unemployment information. Reserve and
using Google Central Bank
data. of Turkey.
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 6

Economic
Internal databases: working with aggregated Indicators in
Real Time
and anonymized BBVA Data

710M card 4 billion card 1.500M card

transactions transactions transactions from
from 1M PoS, made made by 14M 1,1M PoS, made by
by 53M people, people 88M people,
representing representing
€43.000M €41.000M
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 7

Economic
Retail trade sector dynamic leads the evolution of Indicators in
Real Time
consumption, which represents a high share of the GDP

SPAIN: RETAIL SALES VS. CONSUMPTION AGGREGATE RETAIL TRADE -

EXPENDITURE OF HOUSEHOLDS DAILY FREQUENCY (LOGARITHMS)
(%, YOY)

-3

-6
RETAIL TRADE INDICES: BBVA VS INE
-9 (STANDARDIZED MONTHLY GROWTH RATE)

-12
Dec-07

Dec-10

Dec-13

Dec-16
Dec-04
Sep-05

Sep-08

Sep-11

Sep-14

Sep-17
Mar-04

Mar-10

Mar-16
Mar-07

Mar-13

Mar-19
Jun-06

Jun-09

Jun-12

Jun-15

Jun-18

Retail sales Consumption expenditure of households

Source: BBVA Research and BBVA Data & Analytics

Bodas et al. (2018). Measuring retail trade through card’s transaction data.
Further information here

High granularity: Multi Dimensional: Ultra High Frequency:

Dynamics down to More detailed Dynamics up to
subnational level socioeconomic features sub-monthly frequency
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 8

Economic
The granularity of the information can be Indicators in
Real Time
really valuable for the analysis

BBVA RETAIL SALES INDEX BY MERCHANT BASQUE COUNTRY

(MEDIAN TICKET IN JUN-19, €) (STANDARDIZED % MOM)

3
UNIM CX
2
1
0
-1
-2

Oct-14

Apr-18
Dec-15

Nov-18
Aug-13

Sep-17
Feb-17
Mar-14

Jul-16
May-15

Jun-19
Jan-13
ÁLAVA GUIPÚZCOA VIZCAYA

BBVA & CX data merge BBVA-RTI INE-RTI

Source: BBVA Research and BBVA Data & Analytics

Bodas et al. (2018). Measuring retail trade through card’s transaction data.
Further information here
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 9

Economic
The need of Analysts: Did you know that seasonality Indicators in
Real Time
can explain 2/3 of time series performance?
𝑦
PERIODIC EFFECTS (SEASONALITIES) log 𝑦𝑡 = 𝜇𝑡 + 𝛾𝑡𝑤 + 𝛾𝑡𝑚 + 𝛾𝑡 + 𝛾𝑡ℎ + 𝜀𝑡
𝐲
INTRA-WEEKLY SEASONALITY (𝜸𝒘
𝒕 ) INTRA-MONTHLY SEASONALITY (𝜸𝒎
𝒕 ) INTRA-ANNUAL SEASONALITY (𝛄𝐭 )
0.5 0.8
0.44 0.14 0.08
0.6
0.0 0.04
0.21 0.4
0.09 0.06 0.07
0.00 0.2
-0.5
-0.04 0.0
-1.0
-0.08 -0.2

Jan-14

Jan-15

Jan-16

Jan-17

Jan-18
Jul-14

Jul-15

Jul-16

Jul-17
-1.01 1 4 7 10 13 16 19 22 25 28 31
-1.5
Tu We Th Fr Sa Su Mo Day of the month
𝑦
FIXED AND MOVING HOLIDAYS log 𝑦𝑡 = 𝜇𝑡 + 𝛾𝑡𝑤 + 𝛾𝑡𝑚 + 𝛾𝑡 + 𝛾𝑡ℎ + 𝜀𝑡

BBVA RTI: HOLIDAY’S EFFECTS (𝜸𝒉

𝒕) BBVA RTI: EASTER 2016 BBVA RTI: TREND (𝛍𝐭 )
0.4 17.2
0.0 0.0 17.1
Thursday
-0.4 Monday 17.0
-1.0
-0.8 16.9
-2.0
-1.2 16.8
-3.0 -1.6 Friday 16.7
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16

Apr-17

Sep-14

Sep-15

Sep-16

Sep-17
Jun-16

Jan-17

Jan-14

Jan-15

Jan-16

Jan-17

Jan-18
May-16
May-17

May-14

May-15

May-17
Mar-17
Jul-16

Feb-17

11-Apr

13-Apr

15-Apr

17-Apr

19-Apr

21-Apr
9-Apr

Bodas et al. (2018). Measuring retail trade through card’s transaction data.
Source: BBVA Research and BBVA Data & Analytics
 Monitoring social, economic and geopolitical events through Big Data 10

Economic
Our real time indicators give us some advantages Indicators in
Real Time
to track the business cycle
BBVA-GB BIG DATATRANSACTIONS TURKEY: HARD & BIG DATA
VS OFFICIAL DATA ACTIVITY INDEXES Our Big-Data
(REAL TERMS, YOY) (% YOY, 3M MOVING AVG.) Indicators signal that
The recovery is ongoing
& and we are near to see
13% the first official “Green-Shoots”
10% First
3weeks
7% September
4%

1%

-2%

-5%

-8%

Dec-18
Dec-17

Apr-18

Aug-18
Sep-18
Oct-18
Nov-18

Apr-19

Aug-19
Sep-19
Oct-19
Nov-19
Dec-19
Jan-18

Jun-18

Jan-19

Jun-19
May-18

May-19
Mar-18

Mar-19
Feb-18

Jul-18

Jul-19
Feb-19
Industrial Production
BBVA Big Data Retail Sales Index
Electricity Production
BBVA Big Data Retail Sales Cash Intensity Adjusted

Source: BBVA Research Source: CBRT, TURKSTAT, BBVA Research Turkey

Our Big Data indicators using bank’s transactions data signal that
the recovery is gaining momentum (consistent with soft data).
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 11

Economic
BigData allows us to define high definition Indicators in
Real Time
indexes and build new statistics as provincial data
RETAIL TRADE INDICES: BBVA-GB BIG DATA TURKEY: RETAIL SALES REGIONAL HEAT MAP

Cities
Big
Aegean
Cost
Central W
Anatolia
Central E
Anatolia
Southern
Border

Source: BBVA Research Source: CBRT, TURKSTAT, BBVA Research Turkey

 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 12

Economic
Google Correlate &Trends can help us to find Indicators in
Real Time
terms related to employment searches

Finds the most correlated searching

topics (100) for a given search term
in interest across various regions,
languages and time horizons.

Analyzes the popularity of top search queries in

Google Search from 2004 across various
regions and languages (relative volume).
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 13

Economic
Google searches provide extra information to Indicators in
Real Time
nowcast unemployment with an advantage of 3 months

UNEMPLOYMENT OUT-OF-SAMPLE FORECASTS TURKEY: UNEMPLOYMENT RATE (SA)

(3M RECURSIVE OUT OF SAMPLE FORECASTS) NOWCAST

TURKEY: UNEMPLOYMENT CHANGES

Source: BBVA Research

Here you can find a similar project to nowcast Spanish tourism
 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 14

Corporate news Sentiment give us “Early Warning Economic

Analysis In
High Definition
Signals” of corporate balance sheet health…

Source: BBVA Research

 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 15

Economic
We also developed hybrid Indicators (Hard Data Analysis In
High Definition
& Sentiment Data) to disentangle risks in China
CHINESE VULNERABILITY SENTIMENT INDEX CHINA SOE MAP
(CVSI) (SENTIMENT ON SOE)

GEOGRAPHICAL ANALYSIS HOUSING PRICES

(SENTIMENT ON HOUSING PRICES IN 2018)

Source: BBVA Research. Further information could be found here.

 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 16

Social &
NLP to analyze monterary policy narrative of Central Economic
Networks
Banks, identifying what they are talking about…
IDENTIFIED TOPICS IN CENTRAL BANKS REPORTS CENTRAL BANK OF TURKEY:
EVOLUTION OF TOPICS

100%

80%

60%

40%

20%

0%

2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Each word cloud represents the probability distribution of words within a given topic. The size
of the word and the color indicates its probability of occurring within that topic
Other Monetary Policy
Inflation Core Fiscal & Structural Policies
Labor Market Economic Activity
Global Flows

Source: BBVA Research. Further information can be found here.

 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 17

… and how they are talking, even focusing in Social &

Economic
Networks
personal tone according to particular speeches …
GENERAL AND FED GOVERNOR HAWKISH/DOVISH INDEX BY SPEAKER OVER TIME
(TONE. 12 MONTHS MOVING AVERAGE TONE)

Source: BBVA Research. Further information can be found here.

 Using Big Data at BBVA Research. Panel discussion. Danmarks Nationalbank, October 2019 18

…Or understand the inter-connexions between

Social &
Economic
Networks
topics and Central Banks
MONETARY POLICY IN DEVELOPED ECONOMIES AND RESPONSE IN THE EMERGING MARKETS
(NETWORKS)

PRE LEHMAN CRISIS QE & RECALIBRATION

(1999-2007) (2007 -2013) (2013-2018)

ECB
(QE)

INFLATION TARGET FINANCIAL CRISIS THE GLOBAL POST-CRISIS

(2006-2008) (2009-2012) (2012-2017)

CBRT
00
Using Big Data
at BBVA Research
Opportunities and challenges of
using big data for policy analysis
Panel discussion

Macroeconomic policy analyses with big data

Danmarks Nationalbank workshop, October 2019