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Monthly indicator and nowcast of nominal GDP with flow of funds

Author

Listed:
  • Matvey Finagin

    (HSE University; Bank of Russia, Moscow, Russian Federation)

  • Dmitriy Miroshnichenko

    (Bank of Russia, Moscow, Russian Federation)

Abstract

We construct a monthly indicator and perform nowcast for nominal GDP in Russia based on operational data. The data used are bank statements and the ruble price of Russian oil, which allows for the nowcast of nominal GDP ahead of official statistics by 3–5 months. Since nominal GDP data is published by “Rosstat” only on a quarterly basis and with a significant delay after the end of the reporting quarter, high-frequency and operational assessment of the indicator is of considerable relevance for the overall assessment of macroeconomic dynamics, as well as for the analysis of such sectors of the economy as fiscal, financial and external. The statistics of the 0409101 form “Revolving statement of accounting accounts of a credit institution” is used as bank reporting data. To assess the quality of the models, indicators of the variability of the indicator over time and the accuracy of the GDP science are used. At the same time, accuracy is assessed based on both actual and vintage data. The paper uses models of temporal disaggregation, MIDAS and the DFM model.

Suggested Citation

  • Matvey Finagin & Dmitriy Miroshnichenko, 2026. "Monthly indicator and nowcast of nominal GDP with flow of funds," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 82, pages 105-123.
    • Handle: RePEc:ris:apltrx:022712
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    Keywords

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    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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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