Azərbaycan üzrə DSÜT modeli: qiymətləndirmə və proqnozlaşdırma

Huseynov, Salman and Ahmadov, Vugar (2014): Azərbaycan üzrə DSÜT modeli: qiymətləndirmə və proqnozlaşdırma.

Abstract

In this paper, we estimate a DSGE model for the national economy, which also draws on the unique economic characteristics of the country. The empirical estimation is based on quarterly data and taking into account the short length of the time series for the national economy Bayesian estimation methods are applied. Econometric estimation reveals some important results. First, it seems that the calibration practices employed in the previous New Keynesian models for the national economy are not in compliance with the empirical findings and do not reflect the characteristics of the economy. Second, though most structural parameters demonstrate stability during the sample period, serious changes happened in the structure of the shocks hitting the national economy. This finding may be considered as one of the main factors in making the forecasting of the national economy in the post-oil boom years a challenging task. Third, there are serious problems in the identification of the parameters related to the monetary aggregates. Nevertheless, the model successfully passes through the adequacy and validation tests. The model can be used for various scenario analysis and forecasting purposes by different policy institutions. In addition, the estimated model has policy importance as being the first New Keynesian model for the country, which reflects the unique aspects of the national economy in detail besides being estimated.

• Item Type: MPRA Paper
• English Title: A DSGE model for Azerbaijan: estimation and forecasting
• Language: Azerbaijani
• Keywords: Dynamic Stochastic General Equilibrium model; Bayesian estimation; forecasting; oil-rich country
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications

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