Disaggregation and Forecasting of the Monthly Indonesian Gross Domestic Product (GDP)

  • Profita Sumunar Luthfiana Sekolah Tinggi Ilmu Statistik (STIS)
  • Nasrudin Nasrudin Sekolah Tinggi Ilmu Statistik (STIS)
Keywords: disaggregation, monthly GDP, coincident indicator, industrial production index, ARIMA

Abstract

Gross Domestic Product (GDP) is considered as the best measure of economic
performance. However, in Indonesia, the GDP is presented in quarterly aggregate value.
As a result, the monthly economic outlook is unknown, and analysis with other monthly
economic variables becomes limited. Therefore, this study will disaggregate quarterly
GDP into monthly GDP and its forecasting by using one of the coincident indicators
which are monthly Production Index of Large and Medium Manufacturing (industrial
production index). Disaggregation is done on National GDP data of Indonesia period
2000/I to 2016 / IV, whereas forecasting is made on monthly and quarterly GDP 2017.
This study uses a combination of the simple linear regression model and ARIMA model
with some modifications. The disaggregation result indicates that the monthly GDP
moves volatile and has a different pattern between quarters. Also, the monthly GDP
disaggregation and forecasting are proven that can be used by industrial production
index that becomes a coincident indicator. GDP 2017 shows that the highest quarterly
GDP will have occurred in the third quarter, whereas the highest monthly GDP will
have occurred in June (second quarter). The result of disaggregation can be used further
to the study of economic outlook will be more comprehensive.

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Published
2018-04-30
How to Cite
Luthfiana, P., & Nasrudin, N. (2018). Disaggregation and Forecasting of the Monthly Indonesian Gross Domestic Product (GDP). Buletin Ekonomi Moneter Dan Perbankan, 20(4), 529-556. https://doi.org/10.21098/bemp.v20i4.905
Section
Articles