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Data revisions in India: Implications for monetary policy

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  • Kishor, N. Kundan

Abstract

This paper studies data revision properties of GDP growth and inflation for the Indian economy. The results show that revisions to GDP growth and inflation are significant, and cannot be characterized as either containing pure news or pure noise. We also find that there is a significant predictable component in the revisions to GDP growth and inflation. Our findings suggest that if the Reserve Bank of India were to follow a Taylor rule for its monetary policy formulation, then the interest rate based on the preliminary data would be much lower than the one based on the fully revised data.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 22 (2011)
Issue (Month): 2 (April)
Pages: 164-173

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Handle: RePEc:eee:asieco:v:22:y:2011:i:2:p:164-173

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Web page: http://www.elsevier.com/locate/asieco

Related research

Keywords: Data revisions Forecasting Monetary policy;

References

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  1. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
  2. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
  3. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  4. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  5. Dean Croushore, 2008. "Revisions to PCE inflation measures: implications for monetary policy," Working Papers 08-8, Federal Reserve Bank of Philadelphia.
  6. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-19, June.
  7. Kavajecz, Kenneth & Collins, Sean, 1995. "Rationality of Preliminary Money Stock Estimates," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 32-41, February.
  8. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
  9. Lourdes Urdaneta, 1976. "Some Aspects Of The Revision Of The System Of National Accounts In Venezuela," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 22(1), pages 37-47, 03.
  10. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
  11. S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 319-340, 03.
  12. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
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