Nowcasting Indonesia's GDP Growth: Are Fiscal Data Useful?

Ardiana Alifatussaadah, Anindya Diva Primariesty, Agus Mohamad Soleh and Andriansyah Andriansyah

MPRA Paper from University Library of Munich, Germany

Abstract: Since introduced by Giannone et al. (2008), GDP nowcasting models have been used in many countries, including Indonesia. Variables to select usually include housing and construction, income, manufacturing, labor, surveys, international trade, retails and consumptions. Interestingly, fiscal variables are excluded even though government expenditure is an integral part of the basic GDP identity. By employing the Bok et al. (2018)’s quarter-to-quarter real GDP growth nowcasting technique, this paper is aimed at testing the usefulness of inclusion of fiscal variables, in addition to 61 non-fiscal variables, in nowcasting Indonesia GDP. The results show, even though based on the fact that fiscal data have low correlation coefficients to GDP, the inclusion of fiscal data may help to produce a better early estimate of GDP growth.

Keywords: Dynamic Factor Model; Indonesian GDP; Nowcasting (search for similar items in EconPapers)
JEL-codes: C55 H60 O40 (search for similar items in EconPapers)
Date: 2019-08-05
New Economics Papers: this item is included in nep-mac and nep-sea
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