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A Macroeconomic Forecasting Model of the Fixed Exchange Rate Regime for the Oil-Rich Kazakh Economy

Tibor Hledik, Karel Musil, Jakub Rysanek () and Jaromir Tonner

Working Papers from Czech National Bank

Abstract: This paper presents a semi-structural quarterly projection open-economy model for analyzing monetary policy transmission and macroeconomic developments in Kazakhstan during the period of the fixed exchange rate regime. The model captures key stylized facts of the Kazakh economy, especially the important role of oil prices in influencing the economic cycle in Kazakhstan. The application of the model to observed data provides a reasonable interpretation of Kazakh economic history, including the global crisis, through to late 2015, when the National Bank of Kazakhstan introduced a managed float. The dynamic properties of the model are analyzed using impulse response functions for selected country-specific shocks. The model’s shock decomposition and in-sample forecasting properties presented in the paper suggest that the model was an applicable tool for monetary policy analysis and practical forecasting at the National Bank of Kazakhstan. In a general sense, the model can be considered an example of a quarterly projection model for oil-rich countries with a fixed exchange rate.

Keywords: Fixed exchange rate; Kazakhstan; monetary policy; QPM; stylized facts (search for similar items in EconPapers)
JEL-codes: C50 E17 E32 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-ene, nep-mac and nep-tra
Date: 2018-10
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2018/11

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