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Risk indeed matters: Uncertainty shocks in an oil-exporting economy

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  • Nurdaulet Abilov

    (NAC Analytica, Nazarbayev University)

Abstract

We extend the literature on the role of uncertainty shocks in small open economies using a dynamic stochastic general equilibrium (DSGE) model with stochastic volatility for the economy of Kazakhstan. We build a small-scale DSGE model for Kazakhstan with non-linear time-varying volatility of shock processes. Due to the inherent non-linearity in the model we estimate the parameters of the volatility processes using the Particle filter, and then estimate structural parameters of the model via simulated method of moments (SMM)

Suggested Citation

  • Nurdaulet Abilov, 2021. "Risk indeed matters: Uncertainty shocks in an oil-exporting economy," NAC Analytica Working Paper 16, NAC Analytica, Nazarbayev University, revised Feb 2022.
    • Handle: RePEc:ajx:wpaper:16
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    Keywords

    DSGE model; Oil price uncertainty; Particle filter; Simulated method of moments; Kazakhstan.;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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