A medium-scale Bayesian DSGE model for Kazakhstan with incomplete exchange rate pass-through
Nurdaulet Abilov ()
No 7, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University
The paper analyzes the sources of business cycle fluctuations in Kazakhstan and the relevance of various frictions in the economy using a medium-scale DSGE model with imperfect exchange rate pass-through. We estimate the model via Bayesian methods and present estimates of structural parameters of the model and highlight the role of various shocks in explaining the actual dynamics of observed variables. In the absence of quality and deseasonalized data we show that the DSGE model with time-varying markups possesses a reasonable level of accuracy as the one-sided Kalman filter predictions match the dynamics of the observable variables. Posterior estimates of the model show that the long-run growth rate of output is 4.5% per annum and the exchange rate pass-through to domestic prices is between 21% and 35% within a quarter. We also find that risk premium shocks have played an important role in determining the inflation rate, the interest rate and the real exchange rate in the economy since 2015.
Keywords: DSGE model; Incomplete exchange rate pass-through; Bayesian estimation; Emerging economy; Kazakhstan. (search for similar items in EconPapers)
JEL-codes: C11 E30 E32 E37 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2020-12, Revised 2021-04
New Economics Papers: this item is included in nep-cis, nep-dge, nep-mac and nep-opm
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Journal Article: A Medium-Scale Bayesian DSGE Model for Kazakhstan with Incomplete Exchange Rate Pass-Through (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ajx:wpaper:7
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