Estimating the effects of oil price shocks on the Kazakh economy

Marc Gronwald (), Johannes Mayr () and Sultan Orazbayev ()

No 81, ifo Working Paper Series from ifo Institute - Leibniz Institute for Economic Research at the University of Munich

Abstract: This paper explores the role of oil for the Kazakh economy. In order to assess the degree of volatility the oil price features, it, firstly, discusses the literature on oil price behaviour. Secondly, it analyzes the effect of oil price declines on key macroeconomic variables such as real GDP, inflation and real exchange rates using vectorautoregressive (VAR) models. In this respect, the paper deviates from a large number of papers on oil price effects as it considers a transition rather than a developed economy and an oil exporting rather than an oil importing country. The key findings to emerge from this paper are, first, that the price of oil is influenced by a large number of factors, which results in a considerable degree of volatility. Secondly, all variables considered in the VAR model exhibit a strong negative significant reaction on oil price declines, and, thirdly, a standard linear VAR model is appropriate for capturing the Kazakh oil-macro relationship.

JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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