REINVIGORATING GVA NOWCASTING IN THE POSTPANDEMIC PERIOD: A CASE STUDY FOR INDIA

Kaustubh (), Soumya Bhadury () and Saurabh Ghosh ()
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Kaustubh: Reserve Bank of India, India
Soumya Bhadury: Reserve Bank of India, India
Saurabh Ghosh: Reserve Bank of India, India

Bulletin of Monetary Economics and Banking, 2024, vol. 27, issue Spesial Issue, 95-130

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.

Keywords: Gross value added; Dynamic factor; Coincident economic activity index; Digital payments; Mixed data sampling (MIDAS). (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:27:y:2024:i:sig:p:95-130

DOI: 10.59091/2460-9196.2160

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