EconPapers    
Economics at your fingertips  
 

An Estimated Bayesian DSGE Model for Kazakhstan

Nurdaulet Abilov ()

Asian Journal of Economic Modelling, 2020, vol. 8, issue 1, 30-54

Abstract: A small scale open economy model is estimated for Kazakhstan via Bayesian methods. The model explicitly takes into account the dependence of the economy on commodity exports and also accounts for risk premium shocks in the foreign exchange market. The main contribution of the research is that it is the first DSGE model in literature estimated via Bayesian methods for Kazakhstan. The results of the model are used to determine the historical contribution of structural shocks to endogenous variables, forecast error variance decomposition of observed macroeconomic variables and impulse responses of important endogenous variables to various shocks. It has been found that the output gap turned significantly negative during the Great Recession and the negative oil price shock. The effect of contractionary monetary policy is found to be negative on output gap, but it negligibly affects the inflation rate in the economy. Risk premium shocks are found to account for almost 60% of forecast error variance decomposition of nominal exchange rate of tenge over all horizons.

Keywords: DSGE; Bayesian analysis; Small open economy; Historical decomposition; Impulse response analysis; Variance decomposition. (search for similar items in EconPapers)
JEL-codes: C11 E30 E32 E37 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.aessweb.com/download.php?id=4872 (application/pdf)
http://www.aessweb.com/journals/5009/March2020 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:ajemod:2020:p:30-54

Access Statistics for this article

Asian Journal of Economic Modelling is currently edited by Dr. Gokhan Cobanogullari

More articles in Asian Journal of Economic Modelling from Asian Economic and Social Society 2637 E Atlantic Blvd #43110 Pompano Beach, FL 33062, USA.
Bibliographic data for series maintained by Chan Hoi Yan ().

 
Page updated 2020-07-08
Handle: RePEc:asi:ajemod:2020:p:30-54