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Modelling Five Variables BVAR for Economic Policies and Growth in Azerbaijan, Kazakhstan and Russia: 2005 2020

Author

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  • Ivan Aleksandrovich Kopytin

    (Head of Center for Energy Research, Primakov National Research Institute of World Economy and International Relations, Russian Academy of Sciences, Profsoyuznaya Str.23, Moscow, 117997, Russian Federation)

  • Nikolay Petrovich Pilnik

    (Senior Research Fellow, Primakov National Research Institute of World Economy and International Relations, Russian Academy of Sciences, Profsoyuznaya Str.23, Moscow, 117997, Russian Federation,)

  • Ivan Pavlovich Stankevich

    (Junior Research Fellow, Primakov National Research Institute of World Economy and International Relations, Russian Academy of Sciences, Profsoyuznaya Str.23, Moscow, 117997, Russian Federation.)

Abstract

The paper applies the Bayesian Vector Auto Regression (BVAR) framework to analysis of the influence of world oil price and exchange rate and interest rate policies on economic growth and consumer inflation in three post-Soviet oil exporters: Azerbaijan, Kazakhstan and Russia. It is shown that transition to inflation targeting regime with floating exchange rate in 2014 2015 weakened the link between economic growth and world oil price in Russia and Kazakhstan. In Azerbaijan previously nonexistent systemic link between GDP growth and world oil price has emerged. It is also shown that all three countries de facto diverted from free floating exchange rate regime after 2017.

Suggested Citation

  • Ivan Aleksandrovich Kopytin & Nikolay Petrovich Pilnik & Ivan Pavlovich Stankevich, 2021. "Modelling Five Variables BVAR for Economic Policies and Growth in Azerbaijan, Kazakhstan and Russia: 2005 2020," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 510-518.
    • Handle: RePEc:eco:journ2:2021-05-58
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    References listed on IDEAS

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    Cited by:

    1. Joohun Han & John N. Ng’ombe, 2023. "The relation between wheat, soybean, and hemp acreage: a Bayesian time series analysis," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 11(1), pages 1-12, December.
    2. Sugra Humbatova & Ibrahim Guliyev Gadim & Sabuhi Tanriverdiyev Mileddin & Natig Gadim-Oglu Hajiyev, 2023. "Impact of Oil Factor on Consumer Market: The Case of Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 202-215, July.

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    More about this item

    Keywords

    Brent Oil Price; Nominal Exchange Rate; Economic growth; Interest Rate; Inflation.;
    All these keywords.

    JEL classification:

    • E11 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Marxian; Sraffian; Kaleckian
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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