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The housing market in a DSGE model for Kazakhstan

Author

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  • Akbobek Akhmedyarova

    (NAC Analytica, Nazarbayev University)

Abstract

In this paper, we build a DSGE model with the housing market, the non-resource sector and the endogenous oil production sector for an oil-exporting economy. We assess the role of housing market shocks in business cycle fluctuations for Kazakhstan. The model incorporates four key sectors and is estimated using Bayesian methods over the period from 2007Q2 to 2022Q1. We find that inflationary processes in Kazakhstan are mainly driven by shocks arising from housing and import markups. We also find that productivity and housing investment shocks are pivotal in explaining the disturbances in GDP growth. Impulse responses of the model show that a housing productivity shock exerts a stronger impact on output than a housing investment shock. We observe that a positive shock to an oil price leads to a negligible increase in output for all sectors except the non-resource sector, while its impact on inflation is limited.

Suggested Citation

  • Akbobek Akhmedyarova, 2022. "The housing market in a DSGE model for Kazakhstan," NAC Analytica Working Paper 25, NAC Analytica, Nazarbayev University, revised Mar 2023.
    • Handle: RePEc:ajx:wpaper:25
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    More about this item

    Keywords

    DSGE; Housing market; Bayesian estimation; multi-sector; Kazakhstan;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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