Estimating the effects of oil price shockson the Kazakh economy
AbstractThis 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 InfoPaper 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.
Date of creation: 2009
Date of revision:
Oil price; VAR-Models; oil exporting economy.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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