A small scale open economy model is estimated for Kazakhstan via Bayesian methods. The model explicitly takes into account the dependence of the economy on commodity exports and also accounts for risk premium shocks in the foreign exchange market. The main contribution of the research is that it is the first DSGE model in literature estimated via Bayesian methods for Kazakhstan. The results of the model are used to determine the historical contribution of structural shocks to endogenous variables, forecast error variance decomposition of observed macroeconomic variables and impulse responses of important endogenous variables to various shocks. It has been found that the output gap turned significantly negative during the Great Recession and the negative oil price shock. The effect of contractionary monetary policy is found to be negative on output gap, but it negligibly affects the inflation rate in the economy. Risk premium shocks are found to account for almost 60% of forecast error variance decomposition of nominal exchange rate of tenge over all horizons. Contribution/ Originality: This research contributes to the literature by estimating a version of Bayesian DSGE model for Kazakhstan and explicitly modelling key characteristics of the economy. The historical decompositions of output gap and inflation rate gap are calculated to detect the fundamental sources of fluctuations in the economy.

The paper builds a structural macroeconometric model for Kazakhstan to generate short-term and medium-term forecasts for main macroeconomic variables and conduct scenario analyses based on dynamic simulation of the model. Due to the poor quality of quarterly data on GDP and its expenditure components, they have been adjusted using volume indexes. The model consists of aggregate supply, aggregate demand, labor market, asset market, the central bank policy and government side equations. Most equations are estimated via econometric techniques and identities are explicitly introduced in line with economic theory. We combine all the regression equations into a single model and solve for the baseline scenario from 2003 to 2017. The simulation results show that the structural macroeconometric model approximates Kazakhstani economy reasonably well. Ex-ante forecasts under oil prices remaining around 50 and 60 US dollars per barrel are generated and compared with the baseline forecast of the National Bank of the Republic of Kazakhstan.

The paper outlines a structural macroeconometric model for the economy of Russia. The aim of the research is to analyze how the domestic economy functions, generate forecasts for important macroeconomic indicators and evaluate the responses of main endogenous variables to various shocks. The model is estimated based on quarterly data starting from 2001 to 2019. The majority of the equations are specified in error correction form due to the non-stationarity of variables. Stochastic simulation is used to solve the model for expost and ex-ante analysis. We compare forecasts of the model with forecasts generated by the VAR model. The results indicate that the present model outperforms the VAR model in terms of forecasting GDP growth, inflation rate and unemployment rate. We also evaluate the responses of main macroeconomic variables to VAT rate and world trade shocks via stochastic simulation. Finally, we generate ex-ante forecasts for the Russian economy under the baseline assumptions.

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