IDEAS home Printed from https://ideas.repec.org/p/ajx/wpaper/7.html
   My bibliography  Save this paper

A medium-scale Bayesian DSGE model for Kazakhstan with incomplete exchange rate pass-through

Author

Listed:
  • Nurdaulet Abilov

    (NAC Analytica, Nazarbayev University)

Abstract

The paper analyzes the sources of business cycle fluctuations in Kazakhstan and the relevance of various frictions in the economy using a medium-scale DSGE model with imperfect exchange rate pass-through. We estimate the model via Bayesian methods and present estimates of structural parameters of the model and highlight the role of various shocks in explaining the actual dynamics of observed variables. In the absence of quality and deseasonalized data we show that the DSGE model with time-varying markups possesses a reasonable level of accuracy as the one-sided Kalman filter predictions match the dynamics of the observable variables. Posterior estimates of the model show that the long-run growth rate of output is 4.5% per annum and the exchange rate pass-through to domestic prices is between 21% and 35% within a quarter. We also find that risk premium shocks have played an important role in determining the inflation rate, the interest rate and the real exchange rate in the economy since 2015.

Suggested Citation

  • Nurdaulet Abilov, 2020. "A medium-scale Bayesian DSGE model for Kazakhstan with incomplete exchange rate pass-through," NAC Analytica Working Paper 7, NAC Analytica, Nazarbayev University, revised Apr 2021.
    • Handle: RePEc:ajx:wpaper:7
    as

    Download full text from publisher

    File URL: https://nacanalytica.com/images/macro/Papers/A_medium_scale_Bayesian_DSGE_model_for_Kazakhstan_with_incomplete_exchange_rate_pass_through.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alisher Tolepbergen, 2021. "Minimum Wage Shocks in an Estimated DSGE Model with Underreporting," NAC Analytica Working Paper 20, NAC Analytica, Nazarbayev University, revised Dec 2021.
    2. Akbobek Akhmedyarova, 2023. "Housing Market Dynamics in Kazakhstan: An Estimated DSGE Model," International Real Estate Review, Global Social Science Institute, vol. 26(3), pages 420-462.
    3. Algozhina, Aliya, 2022. "Monetary policy rule, exchange rate regime, and fiscal policy cyclicality in a developing oil economy," Energy Economics, Elsevier, vol. 112(C).
    4. Alisher Tolepbergen, 2022. "The role of labor market structure and shocks for monetary policy in Kazakhstan," International Journal of Economic Policy Studies, Springer, vol. 16(1), pages 179-210, February.

    More about this item

    Keywords

    DSGE model; Incomplete exchange rate pass-through; Bayesian estimation; Emerging economy; Kazakhstan.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ajx:wpaper:7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alisher Tolepbergen (email available below). General contact details of provider: https://edirc.repec.org/data/nacnukz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.