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Риск действительно имеет значение: шоки неопределенности в условиях малой экономики страны – экспортера нефти // Risk indeed matters: uncertainty shocks in a small oil-exporting economy

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  • Абилов Н. // Abilov N.

    (CCAMTAC IMF)

Abstract

В этой статье анализируется роль неопределенности в экономике, экспортирующей нефть, где цена на нефть является важным фактором экономической деятельности. Таким образом, в отличие от литературы, которая в основном фокусируется на неопределенности вокруг премии за риск, производительности и шоков денежно-кредитной политики, в данной статье рассматривается влияние неопределенности цен на нефть на экономику. В статье описана модель DSGE для Казахстана и оцениваются процессы стохастической волатильности. Автор приходит к выводу, что выпуск и экспорт снижаются на 0,7 п. п. и 2,1 п. п. ниже устойчивого состояния в ответ на увеличение дисперсии цен на нефть на одно стандартное отклонение, в то время как инфляция снижается из-за слабой экономической активности. В ответ на негативный шок неопределенности центральный банк смягчает денежнокредитную политику в модели, чтобы вернуть инфляцию и выпуск в устойчивое состояние. Этот вывод является убедительным для того, чтобы разработчики политики сосредоточили внимание на распределении прогнозов и реагировали на неопределенность с целью избежать чрезмерной волатильности в экономике. // In this paper, we analyze the role of uncertainty in an oil-exporting economy where the oil price is an important driver of economic activity. Thus, contrary to the literature that mainly focuses on uncertainty around risk premium, productivity and monetary policy shocks, we address the effect of oil price uncertainty on the economy. We build a DSGE model for Kazakhstan and estimate stochastic volatility processes. We conclude that output and exports decline by 0.7 p.p. and 2.1 p.p. below steady state in response to a one standard deviation increase in the variance of oil prices, while inflation falls due to sluggish economic activity. In response to the negative uncertainty shock, the central bank eases monetary policy in the model to bring inflation and output back to steady state. This finding makes it relevant for policymakers to focus on the distribution of forecasts and respond to uncertainty to avoid excessive volatility in the economy.

Suggested Citation

  • Абилов Н. // Abilov N., 2024. "Риск действительно имеет значение: шоки неопределенности в условиях малой экономики страны – экспортера нефти // Risk indeed matters: uncertainty shocks in a small oil-exporting economy," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2 Special, pages 7-23.
  • Handle: RePEc:aob:journl:y:2024:i:2special:p:7-23
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    References listed on IDEAS

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    More about this item

    Keywords

    модель DSGE; неопределенность относительно цен на нефть; многочастичный фильтр; метод моделируемых моментов; Казахстан DSGE model; oil price uncertainty; Particle filter; Simulated method of moments; Kazakhstan;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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