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Оценка параметров для DSGE модели // Parameter estimation for DSGE models

Author

Listed:
  • Адилханова Зарина // Adilkhanova Zarina

    (National Bank of Kazakhstan)

  • Андрусь Юлия // Andrus Yuliya

    (National Bank of Kazakhstan)

Abstract

Данная работа посвящена оценке параметров на микроуровне для их последующего использования при калибровке динамической стохастической модели общего равновесия (DSGE) для экономики Казахстана. В рамках исследования произведена оценка ключевых структурных параметров, включая эластичность труда и капитала в выпуске, норму амортизации основного капитала, а также эластичность предложения труда по Фришу. Расчеты выполнены на основе микроданных предприятий за период с 2009 по 2024 годы с применением эконометрических методов. Полученные результаты способствуют повышению реалистичности макроэкономических моделей, обеспечивают их согласованность с национальными данными и могут быть использованы для анализа реакции экономики на различные шоки и меры экономической политики. // This study focuses on estimating micro-level parameters to support the calibration of a dynamic stochastic general equilibrium (DSGE) model for the Kazakhstani economy. We estimate several key structural parameters, including the output elasticities of labor and capital, the depreciation rate of fixed capital, and the Frisch elasticity of labor supply. The analysis is based on enterprise-level microdata from 2009 to 2024 and employs econometric techniques. The resulting estimates improve the realism of macroeconomic models, align them more closely with national data, and provide a solid basis for assessing how the economy responds to various shocks and policy measures.

Suggested Citation

  • Адилханова Зарина // Adilkhanova Zarina & Андрусь Юлия // Andrus Yuliya, 2025. "Оценка параметров для DSGE модели // Parameter estimation for DSGE models," Working Papers #2025-5, National Bank of Kazakhstan.
    • Handle: RePEc:aob:wpaper:67
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    Keywords

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    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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