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Оценка параметров для DSGE модели. Часть II // Parameter estimation for DSGE models: Part II

Author

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  • Адилханова Зарина // Adilkhanova Zarina

    (National Bank of Kazakhstan)

Abstract

В работе представлены эмпирические оценки двух параметров, необходимых для анализа межвременного поведения домохозяйств и торговли: коэффициента относительной степени неприятия риска и эластичности замещения между отечественными и импортными товарами. Коэффициент относительного непринятия риска оценивался на основе опросных данных БНС АСПиР о потреблении и субъективном благополучии домохозяйств Казахстана за период 2017-2024 гг. с применением методов максимального правдоподобия и GMM. Полученные значения находятся в диапазоне 1,42-1,66, что свидетельствует о умеренной склонности к риску и согласуется с международной литературой. Эластичность замещения между импортными и отечественными товарами оценивалась с использованием панельных данных по 56 товарам за период с января 2020 по сентябрь 2025 гг., с применением модели с фиксированными эффектами. Коэффициент эластичности цен 0,18 указывает на низкую степень взаимозаменяемости товаров. // The paper presents empirical estimates of two parameters required for the analysis of intertemporal household behavior and trade dynamics: the coefficient of relative risk aversion and the elasticity of substitution between domestic and imported goods. The coefficient of relative risk aversion was estimated using household survey data from the BNS ASPR, covering consumption and subjective well-being indicators for the period 2017-2024. The estimation employed both Maximum Likelihood and Generalized Method of Moments (GMM) techniques. The estimated values range from 1.42 to 1.66, indicating a moderate degree of risk aversion and broadly consistent with findings reported in the international literature. The elasticity of substitution between imported and domestic goods was estimated using panel data for 56 product categories over the period from January 2020 to September 2025, applying a fixed-effects model. The estimated price elasticity of 0.18 suggests a low degree of substitutability between domestic and imported goods.

Suggested Citation

  • Адилханова Зарина // Adilkhanova Zarina, 2026. "Оценка параметров для DSGE модели. Часть II // Parameter estimation for DSGE models: Part II," Working Papers #2026-8, National Bank of Kazakhstan.
    • Handle: RePEc:aob:wpaper:76
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    References listed on IDEAS

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    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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