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Analysis of the Asymmetric Relationship between Oil Prices and Real Effective Exchange Rate in Kazakhstan

Author

Listed:
  • Aktolkin Abubakirova

    (Department of Tourism, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan,)

  • Lyazzat Kudabayeva

    (Taraz Regional University named after M.Kh.Dulaty, Taraz/Kazakhstan,)

  • Gulnar Abdulina

    (Narxoz University, Almaty/Kazakhstan,)

  • Aliya Zurbayeva

    (Narxoz University, Almaty/Kazakhstan,)

  • Indira Tazhiyeva

    (Yessenov University, Aktau/Kazakhstan.)

Abstract

Kazakhstan's export relies heavily on oil and other natural resources. Therefore, fluctuations in world oil prices have important consequences for Kazakhstan's economy. The effect of fluctuations in oil prices on the real exchange rate is very important for economies trying to develop other sectors as well as oil and natural gas sectors such as Kazakhstan. The purpose of this study is to examine the possible asymmetric relationships between oil prices and real effective exchange rate in Kazakhstan for the period January 2010-December 2020. For this purpose, the asymmetric causality analysis method developed by Hatemi-J and Roca (2014) was used in the study. In the study, it was studied with monthly data for the period from January 2010 to December 2020. According to the results of the study, there is a causality relationship from negative oil price shocks to negative real effective exchange rate shocks in Kazakhstan. However, what is interesting is that a causality relationship from positive shocks in oil prices to real effective exchange rate could not be found.

Suggested Citation

  • Aktolkin Abubakirova & Lyazzat Kudabayeva & Gulnar Abdulina & Aliya Zurbayeva & Indira Tazhiyeva, 2021. "Analysis of the Asymmetric Relationship between Oil Prices and Real Effective Exchange Rate in Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 345-351.
    • Handle: RePEc:eco:journ2:2021-04-41
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    References listed on IDEAS

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    1. Gulmira Moldabekova & Zhanarys Raimbekov & Arsen Tleppayev & Yuliya Tyurina & Raushan Yesbergen & Gulimai Amaniyazova, 2022. "The Impact of Oil Prices on the Macroeconomic Indicators of Kazakhstan and the Consequences for the Formation of Social Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 447-454, July.

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    More about this item

    Keywords

    oil price; Kazakhstan; real effective exchange rate; asymmetric relationship;
    All these keywords.

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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