The housing market in a DSGE model for Kazakhstan

Akbobek Akhmedyarova ()
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Akbobek Akhmedyarova: NAC Analytica, Nazarbayev University

No 25, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University

Abstract: In this paper, we build a DSGE model with the housing market, the non-resource sector and the endogenous oil production sector for an oil-exporting economy. We assess the role of housing market shocks in business cycle fluctuations for Kazakhstan. The model incorporates four key sectors and is estimated using Bayesian methods over the period from 2007Q2 to 2022Q1. We find that inflationary processes in Kazakhstan are mainly driven by shocks arising from housing and import markups. We also find that productivity and housing investment shocks are pivotal in explaining the disturbances in GDP growth. Impulse responses of the model show that a housing productivity shock exerts a stronger impact on output than a housing investment shock. We observe that a positive shock to an oil price leads to a negligible increase in output for all sectors except the non-resource sector, while its impact on inflation is limited.

Keywords: DSGE; Housing market; Bayesian estimation; multi-sector; Kazakhstan (search for similar items in EconPapers)
JEL-codes: C11 E30 E32 R21 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2022-09, Revised 2023-03
New Economics Papers: this item is included in nep-cis, nep-dge, nep-mac, nep-tra and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:ajx:wpaper:25

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