A medium-scale Bayesian DSGE model for Kazakhstan with incomplete exchange rate pass-through
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
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
https://nacanalytica.com/images/macro/Papers/A_med ... ate_pass_through.pdf
Journal Article: A Medium-Scale Bayesian DSGE Model for Kazakhstan with Incomplete Exchange Rate Pass-Through (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ajx:wpaper:7
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 ().