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Влияние цен на нефть на бизнес циклы Казахстана: эмпирический подход с учетом асимметрии // The Impact of Oil Prices on Kazakhstan’s Business Cycles: An Empirical Approach Considering Asymmetry

Author

Listed:
  • Ахмет Алишер // Akhmet Alisher

    (National Bank of Kazakhstan)

  • Мусса Айдынбек // Mussa Aidynbek

    (National Bank of Kazakhstan)

Abstract

В данном исследовании изучается влияние колебаний мировых цен на нефть на бизнес-циклы Казахстана с использованием векторных моделей авторегрессии (VAR, TVAR) и модели Марковского переключения (MSM). Такой подход позволяет учесть, как линейные, так и нелинейные зависимости, а также асимметрию реакций экономики на изменения цен на нефть в различных экономических циклах. Результаты показывают, что негативные шоки цен на нефть в целом оказывают наиболее выраженное влияние на ВВП Казахстана в кризисные периоды, тогда как положительные шоки остаются статистически незначимыми. Пороговое значение квартальной динамики реальных цен на нефть, выявленное в модели TVAR, составляет -14%, при пересечении которого влияние цен на нефть на ВВП становится значительно более выраженным. Это значение подчеркивает чувствительность экономики Казахстана к крупным шокам на нефтяном рынке. Анализ модели MSM подтвердил наличие высокой вероятности перехода в кризисный режим при значительном снижении нефтяных котировок. Выводы исследования дополняют существующую литературу и предоставляют эмпирическую основу для разработки экономической политики, направленной на повышение устойчивости экономики к волатильности цен на сырьевые товары. // This study examines the impact of global oil price fluctuations on Kazakhstan’s business cycles using vector autoregression models (VAR, TVAR) and the Markovswitching model (MSM). This approach allows for the consideration of both linear and nonlinear relationships, as well as the asymmetry in the economy’s response to oil price changes across different economic cycles. The results indicate that negative oil price shocks exert the most pronounced effect on Kazakhstan’s GDP during crisis periods, whereas positive shocks remain statistically insignificant. The threshold value for the quarterly dynamics of real oil prices, identified in the TVAR model, is -14%, beyond which the impact of oil prices on GDP becomes significantly more pronounced. This finding highlights the Kazakh economy's sensitivity to major oil market shocks. The analysis using the MSM model confirmed a high probability of transitioning into a crisis regime in the event of a substantial decline in oil prices. The study’s conclusions contribute to the existing literature and provide an empirical foundation for the development of economic policies aimed at enhancing the resilience of Kazakhstan’s economy to commodity price volatility.

Suggested Citation

  • Ахмет Алишер // Akhmet Alisher & Мусса Айдынбек // Mussa Aidynbek, 2025. "Влияние цен на нефть на бизнес циклы Казахстана: эмпирический подход с учетом асимметрии // The Impact of Oil Prices on Kazakhstan’s Business Cycles: An Empirical Approach Considering Asymmetry," Working Papers #2025-2, National Bank of Kazakhstan.
  • Handle: RePEc:aob:wpaper:64
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    More about this item

    Keywords

    бизнес циклы; ВВП; цены на нефть; асимметрия; VAR; TVAR; Марковское переключение; экономический рост; Казахстан; business cycles; GDP; oil prices; asymmetry; VAR; TVAR; Markovswitching; economic growth; Kazakhstan;
    All these keywords.

    JEL classification:

    • 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
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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