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Working paper

Nowcasting Russian GDP using forecast combination approach

Bank of Russia Working Paper Series. No. 68 / February 2021. Bank of Russia, 2021. No. 68.
This paper presents a forecast combination approach for short-term assessment of economic growth in Russia. Our method significantly expands the existing domestic academic literature and embraces most advanced nowcasting techniques. The key feature of our approach is forecasting the growth rates of components GDP by expenditure using scenario indicators and a huge set of high-frequency predictors. The total number of combined models is nearly 500. Comparing our approach with popular benchmark models over the period from January 2003 to March 2020, we conclude that our method has higher accuracy of short-term GDP forecasting. The findings of this research may be useful for the development of monetary and communication policy in Russia.