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Data revisions in India: Implications for monetary policy

  • Kishor, N. Kundan

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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  1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  2. 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.
  3. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
  4. Pierre van der Eng, 1999. "Some Obscurities in Indonesia's New National Accounts," Bulletin of Indonesian Economic Studies, Taylor & Francis Journals, vol. 35(2), pages 91-106.
  5. 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.
  6. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
  7. Dean Croushore, 2008. "Revisions to PCE inflation measures: implications for monetary policy," Working Papers 08-8, Federal Reserve Bank of Philadelphia.
  8. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
  9. Rómulo A.Chumacero & Francisco A.Gallego, 2002. "Trends and cycles in real-time," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 211-229, December.
  10. 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.
  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. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
  13. 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.
  14. 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.
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