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Results of Economic Tendency Surveys in Nowcasting GDP Growth
https://doi.org/10.34023/2313-6383-2024-31-5-5-22
Abstract
The article proves the usefulness of including aggregate information from economic tendency surveys in the system of nowcasting of economic growth. The authors compare the efficiency of vector autoregressive models that include the economic sentiment indicator based on the results of Rosstat business activity and consumer expectations surveys, and the business climate indicator based on the results of the Bank of Russia enterprise monitoring.
Statistical testing of time series of composite indicators and GDP volume index confirmed a significant correlation and causality between them, as well as the similarity of their cyclical profiles. Both indices pass cyclical turning points synchronously or ahead of the GDP volume index, their predictive capabilities are enhanced by the early availability of information. The capabilities of GDP growth nowcasting using survey information are assessed in three specifications of the vector autoregressive model with dummy variables. On the in-sample period, the model including two composite indicators and the GDP volume index demonstrates the highest accuracy.
The proposed approach allows us to obtain flash estimates of GDP growth prospects that are significantly ahead of the official statistical information
About the Authors
L. A. Kitrar
National Research University Higher School of Economics (HSE University)
Russian Federation
Russian Federation
Liudmila A. Kitrar – Cand. Sci. (Econ.), Assistant Professor, Institute for Statistical Studies and Economics of Knowledge
11, Pokrovsky Blvd., Moscow, 101000
M. A. Rahmanov
Central Bank of the Republic of Uzbekistan
Uzbekistan
Uzbekistan
Murad A. Rahmanov – Head of the Legal Department, Main Administration for Tashkent City
6, Islam Karimov Str., Tashkent, 100001
T. M. Lipkind
Russian Federation
Tamara M. Lipkind – Independent Expert
18, Kosinskaya Str., Moscow, 111538
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Review
For citations:
Kitrar L.A., Rahmanov M.A., Lipkind T.M. Results of Economic Tendency Surveys in Nowcasting GDP Growth. Voprosy statistiki. 2024;31(5):5-22. (In Russ.) https://doi.org/10.34023/2313-6383-2024-31-5-5-22
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