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    Quarterly Forecasting Model for India's Economic Growth: Bayesian Vector Autoregression Approach

    Iyer, Tara; Gupta, Abhijit Sen | March 2019
    Abstract
    This study develops a framework to forecast India’s gross domestic product growth on a quarterly frequency from 2004 to 2018. The models, which are based on real and monetary sector descriptions of the Indian economy, are estimated using Bayesian vector autoregression (BVAR) techniques. The real sector groups of variables include domestic aggregate demand indicators and foreign variables, while the monetary sector groups specify the underlying inflationary process in terms of the consumer price index (CPI) versus the wholesale price index given India’s recent monetary policy regime switch to CPI inflation targeting. The predictive ability of over 3,000 BVAR models is assessed through a set of forecast evaluation statistics and compared with the forecasting accuracy of alternate econometric models including unrestricted and structural VARs. Key findings include that capital flows to India and CPI inflation have high informational content for India’s GDP growth. The results of this study provide suggestive evidence that quarterly BVAR models of Indian growth have high predictive ability.
    Citation
    Iyer, Tara; Gupta, Abhijit Sen. 2019. Quarterly Forecasting Model for India's Economic Growth: Bayesian Vector Autoregression Approach. © Asian Development Bank. http://hdl.handle.net/11540/9736. License: CC BY 3.0 IGO.
    ISSN
    2313-6537(print)
    2313-6545(electronic)
    Keywords
    Macroeconomic
    Macroeconomic Analysis
    Macroeconomic Framework
    Macroeconomic Models
    Macroeconomic Performance
    Macroeconomic Planning
    Macroeconomic Policies
    Macroeconomic Reform
    Macroeconomic Stabilization
    Results-Based Monitoring And Evaluation
    Project Evaluation & Review Technique
    Project Evaluation
    Program Evaluation
    Performance Evaluation
    Operations Evaluation
    Evaluation Methods
    Evaluation
    Social condition
    Economic dependence
    Economic assistance
    International monetary relations
    International monetary relations
    International trade
    National accounting
    Market
    Project impact
    Development projects
    Program management
    Performance appraisal
    Project appraisal
    Technology assessment
    Economic indicators
    Growth models
    Gross domestic product
    Macroeconomics
    Economic forecast
    Exports
    Exports
    Exchange
    Comparative economics
    Index number
    Monetary policy
    Value analysis
    Adjustment cost
    Transaction cost
    Conditionality
    International relations
    Cumulative effects assessment
    Grievance procedures
    Participatory monitoring and evaluation
    Exchange rate
    Economic development projects
    Economic policy
    Economic forecasting
    Exchange rates
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    Citable URI
    http://hdl.handle.net/11540/9736
    Metadata
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    ewp-573-forecasting-model-economic-growth-india.pdf (692.9Kb)
    Author
    Iyer, Tara
    Gupta, Abhijit Sen
    Theme
    Economics
    Evaluation
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise