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Risk indeed matters: Uncertainty shocks in an oil-exporting economy

Nurdaulet Abilov ()

No 16, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University

Abstract: We extend the literature on the role of uncertainty shocks in small open economies using a dynamic stochastic general equilibrium (DSGE) model with stochastic volatility for the economy of Kazakhstan. We build a small-scale DSGE model for Kazakhstan with non-linear time-varying volatility of shock processes. Due to the inherent non-linearity in the model we estimate the parameters of the volatility processes using the Particle filter, and then estimate structural parameters of the model via simulated method of moments (SMM)

Keywords: DSGE model; Oil price uncertainty; Particle filter; Simulated method of moments; Kazakhstan. (search for similar items in EconPapers)
JEL-codes: E20 E32 E43 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2021-12, Revised 2022-02
New Economics Papers: this item is included in nep-cis, nep-cwa, nep-dge, nep-ene, nep-his, nep-mac, nep-ore and nep-rmg
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