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A Macroeconomic Forecasting Model of the Fixed Exchange Rate Regime for the Oil-Rich Kazakh Economy

Author

Listed:
  • Tibor Hledik
  • Karel Musil
  • Jakub Rysanek
  • Jaromir Tonner

Abstract

This paper presents a semi-structural quarterly projection open-economy model for analyzing monetary policy transmission and macroeconomic developments in Kazakhstan during the period of the fixed exchange rate regime. The model captures key stylized facts of the Kazakh economy, especially the important role of oil prices in influencing the economic cycle in Kazakhstan. The application of the model to observed data provides a reasonable interpretation of Kazakh economic history, including the global crisis, through to late 2015, when the National Bank of Kazakhstan introduced a managed float. The dynamic properties of the model are analyzed using impulse response functions for selected country-specific shocks. The model’s shock decomposition and in-sample forecasting properties presented in the paper suggest that the model was an applicable tool for monetary policy analysis and practical forecasting at the National Bank of Kazakhstan. In a general sense, the model can be considered an example of a quarterly projection model for oil-rich countries with a fixed exchange rate.

Suggested Citation

  • Tibor Hledik & Karel Musil & Jakub Rysanek & Jaromir Tonner, 2018. "A Macroeconomic Forecasting Model of the Fixed Exchange Rate Regime for the Oil-Rich Kazakh Economy," Working Papers 2018/11, Czech National Bank.
  • Handle: RePEc:cnb:wpaper:2018/11
    as

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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2018_11.pdf
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    References listed on IDEAS

    as
    1. Bergholt, Drago & Larsen, Vegard H. & Seneca, Martin, 2019. "Business cycles in an oil economy," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 283-303.
    2. Drygalla, Andrej, 2017. "Monetary policy in an oil-dependent economy in the presence of multiple shocks," IWH Discussion Papers 14/2017, Halle Institute for Economic Research (IWH).
    3. Jesús Bejarano & Franz Hamann & Paulina Restrepo-Echavarria & Diego Rodríguez, 2016. "Monetary Policy in an Oil-Exporting Economy," Review, Federal Reserve Bank of St. Louis, vol. 98(3), pages 239-261.
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    More about this item

    Keywords

    Fixed exchange rate; Kazakhstan; monetary policy; QPM; stylized facts;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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