Economics at your fingertips  

A Two-Country Macroeconometric Model

Aizhan Bolatbayeva ()

No 5, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University

Abstract: This paper presents a two-country macroeconometric model for the economies of Kazakhstan and Russia. The model can be used for interpreting the structural relationship between the two economies, determining the degree of trade integration and implementing scenario analyses with various shocks. Single-country models are linked through bilateral trade and exchange rate equations. The baseline simulation of the two-country model demonstrates a good accuracy in tracking the actual dynamics of macroeconomic indicators in both countries. Scenario analyses are conducted with a risk premium shock in the bilateral exchange rate and a monetary policy shock in Russia to analyze the transmission mechanism of the shocks, and clarify on the kind of interdependency of the economies. The model shows a larger influence of the risk premium shock on economic activity in Kazakhstan than in Russia. A two percentage point decline in the key rate does not impose significant inflationary pressure while imports and the real exchange rate are the most affected variables in both countries.

Keywords: Two-country macroeconometric model; Cowles Commission approach; Structural macroeconomic model; Scenario analysis (search for similar items in EconPapers)
JEL-codes: B22 E17 E27 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2019-12, Revised 2020-08
New Economics Papers: this item is included in nep-cis, nep-mac and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) ... conometric_Model.pdf

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:

Access Statistics for this paper

More papers in NAC Analytica Working Paper from NAC Analytica, Nazarbayev University Contact information at EDIRC.
Bibliographic data for series maintained by Alisher Tolepbergen ().

Page updated 2024-06-16
Handle: RePEc:ajx:wpaper:5