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Reinvigorating Gva Nowcasting In The Postpandemic Period: A Case Study For India

Author

Listed:
  • Kaustubh

    (Reserve Bank of India, India)

  • Soumya Bhadury

    (Reserve Bank of India, India)

  • Saurabh Ghosh

    (Reserve Bank of India, India)

Abstract

We reinvigorate nowcasting models considering structural changes caused by the COVID-19 pandemic. It emphasizes the need to understand the heterogeneous impact of shocks on agriculture, industry, and services sectors in an emerging market economy, such as India. Our findings advocate a bottom-up approach that tracks sectors separately rather than a headline number. Our results suggest that including digital-activity index and supply-side disruption index in the post-pandemic period could improve nowcast performance. Expectation-Maximization algorithm is used to combine data series based on their availability. Among bridging methods, the averaging method is preferred due to its simplicity and flexibility.

Suggested Citation

  • Kaustubh & Soumya Bhadury & Saurabh Ghosh, 2024. "Reinvigorating Gva Nowcasting In The Postpandemic Period: A Case Study For India," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(Spesial I), pages 95-130, Februari.
    • Handle: RePEc:idn:journl:v:27:y:2024:i:sig:p:95-130
    DOI: https://doi.org/10.59091/2460-9196.2160
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    References listed on IDEAS

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    More about this item

    Keywords

    Gross value added; Dynamic factor; Coincident economic activity index; Digital payments; Mixed data sampling (MIDAS).;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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