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Housing market dynamics in Kazakhstan: An estimated DSGE model

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

No 19, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University

Abstract: In this paper we analyse the drivers of housing price fluctuations in Kazakhstan using a dynamic stochastic general equilibrium (DSGE) model with the housing market. We estimate the model with Bayesian methods using the data for the period from 2010Q1 to 2020Q4. We find that housing prices are primarily driven by housing preference shocks, rather than by price mark up disturbances or monetary policy shocks. We identify strong housing wealth effects and show that housing preference shocks of borrowers explain a vast part of the consumption volatility. Besides, we find that pension withdrawal policy plays a small role in determining the business-cycle fluctuations of Kazakhstan in the long-term period. Overall, the technology shock is key in explaining the variance in GDP of Kazakhstan, while the variation in inflation rate is mainly explained by monetary policy and foreign demand shocks.

Keywords: DSGE; Housing market; Bayesian estimation; Kazakhstan. (search for similar items in EconPapers)
JEL-codes: C11 E30 E32 R21 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2021-12, Revised 2022-05
New Economics Papers: this item is included in nep-cis, nep-dge, nep-mac and nep-ure
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