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A Machine Learning Approach To Gdp Nowcasting: An Emerging Market Experience

Author

Listed:
  • Saurabh Ghosh

    (Reserve Bank of India)

  • Abhishek Ranjan

    (Reserve Bank of India)

Abstract

The growth rate of real Gross Domestic Product (GDP), as measured by the National Statistical Office of India, is an important metric for monetary policy making. Because GDP is released with a significant lag, particularly for the emerging market economies, this article presents various methodologies for nowcasting and forecasting GDP, using both traditional time series and machine learning methods. Further, considering the importance of forward-looking information, our nowcasting model incorporates financial market data and an economic uncertainty index, in addition to high-frequency traditional macroeconomic indicators. Our findings suggest an improvement in the performance of nowcasting using a hybrid of machine learning and conventional time series methods.

Suggested Citation

  • Saurabh Ghosh & Abhishek Ranjan, 2023. "A Machine Learning Approach To Gdp Nowcasting: An Emerging Market Experience," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(Special I), pages 33-54, February.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:spd:p:33-54
    DOI: https://doi.org/10.59091/1410-8046.2055
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    Citations

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    Cited by:

    1. 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.
    2. Juan Tenorio & Wilder Perez, 2024. "Monthly GDP nowcasting with Machine Learning and Unstructured Data," Papers 2402.04165, arXiv.org.

    More about this item

    Keywords

    GDP; Nowcasting; Random forest; Neural network.;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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