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Estimating the effects of oil price shockson the Kazakh economy

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  • Marc Gronwald
  • Johannes Mayr
  • Sultan Orazbayev

Abstract

This paper explores the role of oil for the Kazakh economy. In order to assess thedegree of volatility the oil price features, it, firstly, discusses the literature on oil price behaviour. Secondly, it analyzes the effect of oil price declines on key macroeconomicvariables such as real GDP, inflation and real exchange rates using vectorautoregressive (VAR) models. In this respect, the paper deviates from a large number of papers on oil price effects as it considers a transition rather than a developed economy and an oil exporting rather than an oil importing country. The key findings to emerge from this paper are, first, that the price of oil is influenced by a large number of factors, which results in a considerable degree of volatility. Secondly, all variables considered in theVAR model exhibit a strong negative significant reaction on oil price declines, and, thirdly, a standard linear VAR model is appropriate for capturing the Kazakh oil-macro relationship.

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Bibliographic Info

Paper provided by Ifo Institute for Economic Research at the University of Munich in its series Ifo Working Paper Series with number Ifo Working Paper Nr. 81.

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Date of creation: 2009
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Handle: RePEc:ces:ifowps:_81

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Keywords: Oil price; VAR-Models; oil exporting economy.;

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References

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  1. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
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Cited by:
  1. Richard Pomfret, 2011. "Exploiting Energy and Mineral Resources in Central Asia, Azerbaijan and Mongolia," Comparative Economic Studies, Palgrave Macmillan, vol. 53(1), pages 5-33, March.

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