Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series

This paper models the univariate dynamics of seasonally unadjusted quarterly macroeconomic time series for the Indian economy including industrial production, money supply (broad and narrow measures) and consumer price index. The seasonal integration-cointegration and the periodic models are employed. The `best' model is selected on the basis of a battery of econometric tests including comparison of out-of-sample forecast performance. The results suggest that a periodically integrated process with one unit root best captures the movements in industrial production. The other variables do not exhibit periodically varying dynamics, though narrow money and consumer price index exhibit nonstationary seasonality. For the index of industrial production, the periodic model yields the best out-of-sample forecasts, while for broad money, the model in first differences performs best. On the other hand, for narrow money and the consumer price index, incorporating nonstationary seasonality does not lead to significant gains in forecast accuracy. Finally, we find significant conditional heteroskedasticity in industrial production, with error variance in the first two quarters (highest and lowest economic activity quarters, respectively) almost three times that in the other two quarters.Seasonality, Integration, Periodic Integration, Forecast Performance

External Shocks and the Indian Economy: Analyzing through a Small, Structural Quarterly Macroeconometric Model

Though a large number of structural macroeconometric models have been estimated for India, the fact that all these are based on annual data limit their usefulness for short-term policy analysis, particularly in volatile periods of the type seen during last few quarters. Therefore the present paper builds up a short-term macroeconometric model for India using quarterly data. The model has reasonably good in-sample performance. One important feature of the model is use of quadratic relation between government expenditure and credit to private sector, which shows presence of both crowding in and crowding out effects, the latter dominating the former when expenditure is high enough. Some simulations are also carried out to analyse the impact of recent external shocks such as rise in global food and fuel prices and the global financial meltdown, on the Indian economy. The results show that the current slowdown in India’s growth predates the global price shock and the global financial crisis, and is more of a regular cyclical downturn. The global developments only further deepen the slowdown and prolong the recovery.Structural model, External Shocks, India

Effect of Rainfall on Seasonals in Indian Manufacturing Production: Evidence from Sectoral Data

Recent research has shown that the seasonals in Indian manufacturing production are affected by rainfall. Since the effect of rainfall comes through agricultural production, this finding raises the question of whether the effect is through demand channel or supply channel. This paper attempts to provide a preliminary answer to this question by testing for this effect in the production in different sub-sectors within the manufacturing sector. We look at the three subsectors which have more than 10% weightage each in the index of manufacturing production: (i) food products, (ii) basic chemicals and chemical products (except products of petroleum and coal), and (iii) machinery and equipment (other than transport equipment). As almost all the estimated models show some type of misspecification, we also estimate models that allow for time-variation in this behaviour. We find evidence for effect of rainfall on overall dynamics of all three components studied, and also for significant time variation in this behaviour. Focusing on seasonal component, while estimations were not possible for the basic chemicals and chemical products, for the other two components we find evidence of significant effect of rainfall on seaosonality, indicating both the channels are significant

External Shocks and the Indian Economy: Analyzing through a Small, Structural Quarterly Macroeconometric Model

Though a large number of structural macroeconometric models have been estimated for India, the fact that all these are based on annual data limit their usefulness for short-term policy analysis, particularly in volatile periods of the type seen during last few quarters. Therefore the present paper builds up a short-term macroeconometric model for India using quarterly data. The model has reasonably good in-sample performance. One important feature of the model is use of quadratic relation between government expenditure and credit to private sector, which shows presence of both crowding in and crowding out effects, the latter dominating the former when expenditure is high enough. Some simulations are also carried out to analyse the impact of recent external shocks such as rise in global food and fuel prices and the global financial meltdown, on the Indian economy. The results show that the current slowdown in India’s growth predates the global price shock and the global financial crisis, and is more of a regular cyclical downturn. The global developments only further deepen the slowdown and prolong the recovery

External Shocks and the Indian Economy: Analyzing through a Small, Structural Quarterly Macroeconometric Model

Though a large number of structural macroeconometric models have been estimated for India, the fact that all these are based on annual data limit their usefulness for short-term policy analysis, particularly in volatile periods of the type seen during last few quarters. Therefore the present paper builds up a short-term macroeconometric model for India using quarterly data. The model has reasonably good in-sample performance. One important feature of the model is use of quadratic relation between government expenditure and credit to private sector, which shows presence of both crowding in and crowding out effects, the latter dominating the former when expenditure is high enough. Some simulations are also carried out to analyse the impact of recent external shocks such as rise in global food and fuel prices and the global financial meltdown, on the Indian economy. The results show that the current slowdown in India’s growth predates the global price shock and the global financial crisis, and is more of a regular cyclical downturn. The global developments only further deepen the slowdown and prolong the recovery

Molecular surveillance of dengue virus in field-collected Aedes mosquitoes from Bhopal, central India: evidence of circulation of a new lineage of serotype 2

IntroductionDengue fever is hyperendemic in several Southeast and South Asian countries, including India, with all four serotypes (DENV 1–4) circulating at different periods and in different locations. Sustainable and improved virological and entomological surveillance is the only tool to prevent dengue and other vector-borne diseases.ObjectivesThe present study has been carried out to detect and characterize the circulating dengue virus (DENV) in field-collected Aedes mosquitoes in Bhopal, Central India.MethodsAedes mosquitoes were collected from 29 localities within Bhopal city during October 2020 to September 2022. DENV infection was assessed in the individual head and thorax regions of Aedes mosquitoes using reverse transcriptase PCR. Positive samples were sequenced, and the circulating serotypes and genotypes were determined using phylogenetic analysis.ResultsDENV RNA was detected in 7 Aedes aegypti and 1 Aedes albopictus, with infection rates of 0.59 and 0.14%, respectively. Phylogenetic analysis revealed all the isolates belonged to DENV serotype 2 and distinctly clustered with the non-Indian lineage (cosmopolitan genotype 4a), which was not recorded from the study area earlier. The time to most common recent ancestor (TMRCA) of these sequences was 7.4 years old, with the highest posterior density (HPD) of 3.5–12.2 years, indicating that this new lineage emerged during the year 2014. This is the first report on the DENV incrimination in both Ae. aegypti and Ae. albopictus mosquitoes collected from Bhopal, Central India.ConclusionThe observed emergence of the non-Indian lineage of DENV-2 in Bhopal, which again is a first report from the area, coincides with the gradual increase in DENV cases in Bhopal since 2014. This study emphasizes the importance of DENV surveillance and risk assessment in this strategically important part of the country to decipher its outbreak and severe disease-causing potential

Modelling changes in seasonality in Indian manufacturing production: an application of the STAR model

This paper attempts to identify the factors responsible for changes in seasonal patterns in manufacturing production in India. This is done in the framework of the Smooth Transition Autoregressive (STAR) models. We find that the variations in seasonal patterns in manufacturing production are driven by the rate of growth of rainfall. The gradual changes in the structure of the economy have not yet had any discernible effect on the seasonality, although the overall dynamics of this variable have been affected.seasonality, manufacturing, smooth transition autoregression,

Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series

This paper models the univariate dynamics of seasonally unadjusted quarterly macroeconomic time series for the Indian economy including industrial production, money supply (broad and narrow measures) and consumer price index. The seasonal integration-cointegration and the periodic models are employed. The ‘best’ model is selected on the basis of a battery of econometric tests including comparison of out-of sample forecast performance. [Working Paper No. 136]Seasonality, Integration, Periodic Integration, Forecast Performance