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Data Revisions in India and its Implications for Monetary Policy

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Author Info
Kishor, N. Kundan

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Abstract

This paper studies data revision properties of GDP growth and inflation as measured by the Wholesale Price Index (WPI) for the Indian economy. We find that data revisions to GDP growth and WPI inflation in India are significant. The results show that revisions to GDP growth and WPI inflation can not be characterized as either containing pure news or pure noise. We also find that there is a significant predictable component in 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16099.

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Date of creation: Jul 2009
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Handle: RePEc:pra:mprapa:16099

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Related research
Keywords: Data Revisions; Real-Time Data; Monetary Policy;

Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. 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.
    Other versions:
  3. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
  4. Rómulo A. Chumacero & Francisco A. Gallego, 2001. "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile 130, Central Bank of Chile. [Downloadable!]
    Other versions:
  5. Mork, Knut Anton, 1987. "Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 165-75, April.
  6. Urdaneta, Lourdes, 1976. "Some Aspects of the Revision of the System of National Accounts in Venezuela," Review of Income and Wealth, Blackwell Publishing, vol. 22(1), pages 37-47, March.
  7. Rebeca de la Rocque Palis & Roberto Luis Olinto Ramos & Patrice Robitaille, 2004. "News or noise? an analysis of Brazilian GDP announcements," International Finance Discussion Papers 776, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Pierre Eng, 1999. "Some Obscurities in Indonesia's New National Accounts," Bulletin of Indonesian Economic Studies, Taylor and Francis Journals, vol. 35(2), pages 91-106, August. [Downloadable!] (restricted)
  9. 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. [Downloadable!] (restricted)
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  10. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November. [Downloadable!] (restricted)
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  11. 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. [Downloadable!] (restricted)
  12. 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. [Downloadable!] (restricted)
  13. Dean Croushore, 2008. "Revisions to PCE inflation measures: implications for monetary policy," Working Papers 08-8, Federal Reserve Bank of Philadelphia. [Downloadable!]
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This page was last updated on 2009-11-28.

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