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A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process

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Abstract

This paper presents a quarterly macro econometric model of Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations: interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect, as well as the demand effect of an increase in the wages. We also find that effect of the tight monetary policy is not unambiguous; we argue that in some cases it is not the most efficient policy instrument to sustain the economy.

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Notes

  1. For a comparison of economic performance during the first years of transition, see Havrylyshyn et al. (1998), Berg et al. (1999), Falcetti et al. (2000), Fischer and Sahay (2000), Wyplosz (2000).

  2. The issues of reforms in Kazakhstan is discussed in several papers (see, among others, Ramamurthy and Tandberg 2002, Medas 2003).

  3. t-ratios are shown in parentheses.

  4. The model is solved with the nominal variables. Then, the endogenous variables are expressed in real terms.

References

  • Berg A, Borensztein E, Sahay R, Zettelmyer J (1999) The evolution of output in transition economies: explaining the differences. International monetary fund working paper no 9973

  • Brown RL, Durbin J, Evans JM (1975) Techniques for testing the constancy of regression relationships over time. J Roy Statist Soc B 149–162

  • Falcetti E, Raiser M, Sanfey P (2000) Defying the odds: initial conditions, reforms and growth in the first decade of transition. London School of Economics working paper, May 2000

  • Fischer S, Sahay R (2000) The transition economies after ten years. National Bureau of Economic Research working paper no 7664

  • Havrylyshyn O, van Rooden R (2000) Institutions matter in transition, but so do policies. International Monetary Fund, European II Department, 26 pp

  • Havrylyshyn O, Izvorski I, van Rooden R (1998) Recovery and growth in transition economies 1990–98: a stylized regression analysis. International monetary fund working paper no 98–141

  • IMF (2011) Republic of Kazakhstan: selected issues, countries report no 11/150 and 151, Washington DC

  • Jensen J, Tarr D (2007) The impact of Kazakhstan’s accession to the World Trade Organization: a quantitative assessment. World Bank Policy Research Paper, World Bank, Washington DC

  • Medas P (2003) The non-oil sector in Kazakhstan: links with the oil industry and contribution to growth, in Republic of Kazakhstan: selected issues and statistical appendix. International monetary fund country report no 03-211

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  • Ramamurthy S, Tandberg E (2002) Treasury reform in Kazakhstan: lessons for other countries. International monetary fund working paper no 02-129

  • Wyplosz C (2000) The ten years of transformation: macroeconomic lessons. CEPR discussion paper, no 2254

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Author information

Authors and Affiliations

  1. Aix-Marseille Université (AMSE), Aix-en-Provence, France

    Gilles Dufrenot & Adelya Ospanova

  2. Banque de France, Paris, France

    Gilles Dufrenot

  3. CEPII, Paris, France

    Gilles Dufrenot

  4. DEFI, Château Lafarge, Route des Milles, 13290, Les Milles, Aix-en-Provence, France

    Gilles Dufrenot & Adelya Ospanova

  5. GATE Lyon Saint Etienne (CNRS: UMR5824—Université Lumière Lyon II—Ecole Normale Supérieure de Lyon), ENS Lyon 15 Parvis René Descartes, BP 7000, 69342, Lyon Cedex, France

    Alain Sand-Zantman

Authors
  1. Gilles Dufrenot
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  2. Adelya Ospanova
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  3. Alain Sand-Zantman
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Corresponding author

Correspondence to Gilles Dufrenot.

Appendices

Appendix 1

See Table 2.

Table 2 Variables
Full size table

Appendix 2: Results of simulations

See Figs. 1, 2, 3, 4, 5.

Fig. 4
figure 4

A 1 point Increase in interest rate

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Fig. 5
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A 30 % Increase in wages

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Appendix 3: Stability tests outcomes

3.1 Real consumption equation

See Figs. 6, 7, 8.

Fig. 6
figure 6

Evolution of the coefficients over the time

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Fig. 7
figure 7

CUSUM and CUSUM squared test’s results

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Fig. 8
figure 8

Harvey and Collier Phi-test

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3.2 Investment rate equation

See Figs. 9, 10, 11.

Fig. 9
figure 9

Evolution of the coefficients over time

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Fig. 10
figure 10

CUSUM and CUSUM squared test’s results

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Fig. 11
figure 11

Harvey and Collier Phi-test

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3.3 Real exports equation

See Figs. 12, 13, 14.

Fig. 12
figure 12

Evolution of the coefficients over time

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Fig. 13
figure 13

CUSUM and CUSUM squared test’s results

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Fig. 14
figure 14

Harvey and Collier Phi-test

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3.4 Real imports equation

See Figs. 15, 16, 17.

Fig. 15
figure 15

Evolution of the coefficients over the time

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Fig. 16
figure 16

CUSUM and CUSUM squared test’s results

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Fig. 17
figure 17

Harvey and Collier Phi-test

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3.5 Changes in inventories equation

See Figs. 18, 19, 20.

Fig. 18
figure 18

Evolution of the coefficients in the time

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Fig. 19
figure 19

CUSUM and CUSUM squared test’s results

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Fig. 20
figure 20

Harvey and Collier Phi-test

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3.6 Real government expenditures equation

See Figs. 21, 22, 23.

Fig. 21
figure 21

Evolution of the coefficients over the time

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Fig. 22
figure 22

CUSUM and CUSUM squared test’s results

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Fig. 23
figure 23

Harvey and Collier Phi-test

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3.7 Employment equation

See Figs. 24, 25, 26.

Fig. 24
figure 24

Evolution of the coefficients over the time

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Fig. 25
figure 25

CUSUM and CUSUM squared test’s results

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Fig. 26
figure 26

Harvey and Collier Phi-test

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3.8 Productivity equation

See Figs. 27, 28, 29.

Fig. 27
figure 27

Evolution of the coefficients over the time

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Fig. 28
figure 28

CUSUM and CUSUM squared test’s results

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Fig. 29
figure 29

Harvey and Collier Phi-test

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3.9 Real wages equation

See Figs. 30, 31, 32.

Fig. 30
figure 30

Evolution of the coefficients over the time

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Fig. 31
figure 31

CUSUM and CUSUM squared test’s results

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Fig. 32
figure 32

Harvey and Collier Phi-test

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3.10 Consumer prices equation

See Figs. 33, 34, 35.

Fig. 33
figure 33

Evolution of the coefficients over the time

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Fig. 34
figure 34

CUSUM and CUSUM squared test’s results

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Fig. 35
figure 35

Harvey and Collier Phi-test

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3.11 Producer prices equation

See Figs. 36, 37, 38.

Fig. 36
figure 36

Evolution of the coefficients over the time

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Fig. 37
figure 37

CUSUM and CUSUM squared test’s results

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Fig. 38
figure 38

Harvey and Collier Phi-test

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3.12 Interest rate equation

See Figs. 39, 40, 41.

Fig. 39
figure 39

Evolution of the coefficients over the time

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Fig. 40
figure 40

CUSUM and CUSUM squared test’s results

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Fig. 41
figure 41

Harvey and Collier Phi-test

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3.13 Nominal exchange rate equation

See Figs. 42, 43, 44.

Fig. 42
figure 42

Evolution of the coefficients in the time

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Fig. 43
figure 43

CUSUM and CUSUM squared test’s results

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Fig. 44
figure 44

Harvey and Collier Phi-test

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Dufrenot, G., Ospanova, A. & Sand-Zantman, A. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process. Econ Change Restruct 47, 1–39 (2014). https://doi.org/10.1007/s10644-012-9126-3

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  • DOI: https://doi.org/10.1007/s10644-012-9126-3

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