The Macroeconomic Modelling in the National Bank of Kazakhstan
Prepared by OLZHAS TULEUOVSenior Analyst
The Research and Strategic Analysis Department
Workshop on Macroeconomic Modelling in Asia and the Pacific
8‐11 December 2015Bangkok, United Nations Conference Centre (UNCC)
About The National Bank of the Republic of Kazakhstan
The Republic of Kazakhstan has a two‐tierbanking system. The National Bank of theRepublic of Kazakhstan (hereinafter ‐ NBK) is thecentral bank of Kazakhstan and presents theupper (first) tier of the banking system ofKazakhstan. All other banks present lower(second) tier of the banking system.
About The National Bank of the Republic of Kazakhstan
The primary goal of NBK is to ensure the stability of prices in theRepublic of Kazakhstan. To accomplish the main goal, the NationalBank is assigned the following tasks:• development and implementation of the state’s monetary policy;• ensuring the functioning of payment systems;• implementation of foreign exchange regulation and foreign
exchange control;• promotion of the stability of financial system;• regulation, control and supervision of the financial market and
financial institutions and also other parties, within its competence;• ensuring a due level of protection of the rights and legitimate
interests of consumers of financial services;• carrying out statistics activities in the area of monetary statistics
and external sector statistics.
The Purpose of Macroeconomic Modelling in NBKThe successful providing of monetary policy requiresmaking a right decision on the size of base interest rate,which in turn depends on forecast of the mainmacroeconomic indicators. This forecast based on themacroeconomic models.
Near‐Term Forecast Models
Midterm Forecast Model
GDP (final use method):‐ Domestic Demand (Consumption of households and government, gross
capital formation),‐ Exports, Imports.GDP (production method):‐ Growth rate of main economic sector.CPI:‐ CPI Food,‐ CPI Non‐Food.Nominal exchange rate US Dollar and KZ Tenge.Other indicators
Making a right decision on the size of base interest rate
Previously Macroeconomic Models in NBKMacroeconomic models for forecast main indicators:‐ KMOD (structural model in Eviews area), 2008‐2010‐ KazMOD (small macroeconomic model consist of 33 regression
equations in Eviews area), 2010‐2012‐ KazMOD2015 (simplified and re‐specified macro‐econometric model,
designed to replace the old KazMOD), 2015‐ Transmission mechanism model (econometrical equations in Eviews),
2010‐2012
Satellite models:‐ Inflation factor model (regression equations in Eviews), 2011‐2012‐ Model of impact estimatimation of nominal exchange rate
devaluation on inflation (regression equations in Eviews area), 2013
Methods of estimation current situation:‐ Analyze fiscal policy and financial market (different indicators’
calculation, judgment, visual analyze of variable dynamic), 2011‐2014‐ Analyze of real sector based on business survey, 2012‐2015
Currently Macroeconomic Models in NBKNear‐Term Forecast Models System (econometrical equations in Eviews) consist of:‐ Bridge equations model for forecast GDP by final use method‐ Bridge equations model for forecast GDP by production method‐ Dynamic factor model for forecast CPI‐ Output GAP forecast models‐ Nominal exchange rate forecast model
Main assumption – price of oil (Brent), world food prices (FAO Indices) and economicgrowth rate in main trade partners (EU, Russia, China)
Data sources:‐ Statistic Committee of National Economy Ministry of Republic of Kazakhstan
(official and main provider of statistic data in Kazakhstan)‐ National Bank of Republic of Kazakhstan (data on financial sector and BOP)‐ Ministry of Finance of Republic of Kazakhstan (data on fiscal sector)‐ National Statistic Bureau of main trade partners (EU, Russia, China)‐ Bloomberg, Reuters
GDP
GDP by production method
GDP by final use method
Import
Household consumption
General government consumption
Gross capital formation
Export
Real wages
Employment
Terms of Trade
The state budget expenditures
Tax revenues to the state budget
The volume of lending to individuals
The rate of corporate lending
Proceeds from the sale of large and medium‐sized enterprises in the
economy
Eurozone GDP
MONTHLY INDICATORS
QUARTERLY INDICATORS
The growth rate of transport
The growth rate of the manufacturing
industry
The growth rate of the miningindustry
The growth rate of construction
The growth rate of trade
Investments in fixed assets
Industrial production in Italy
Lending
Real money incomes
Investment in housing construction
Oil prices
MONTHLY INDICATORS
CPICPI FOOD CPI NON‐FOOD
MONEY SUPPLY
NOMINAL EXCHANGE RATEUSD/KZT
REAL MONEY INCOMES
RUSSIA CPI FOOD
RUSSIA CPI NON‐FOOD
FAO CEREALS INDEX
OIL PRICES (BRENT)
SHORT‐TERM ECONOMIC INDICATOR OUTPUT GAP
THE TRANSMISSION MECHANISM OF NEAR‐TERM FORECASTING SYSTEM
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Currently Macroeconomic Models in NBKMidterm Forecast Model based on Quarterly Projection Model (QPM) inMatlab IRIS area (Czech National Bank)
Main assumption – price of oil (Brent), world food prices (FAO Indices)and economic growth rate in main trade partners (EU, Russia, China)
Data sources:‐ Statistic Committee of National Economy Ministry of Republic of
Kazakhstan (official and main provider of statistic data in Kazakhstan)‐ National Bank of Republic of Kazakhstan (data on financial sector and
BOP)‐ Ministry of Finance of Republic of Kazakhstan (data on fiscal sector)‐ National Statistic Bureau of main trade partners (EU, Russia, China)‐ Bloomberg, Reuters
The transmission mechanism of quarterly projection model (QPM)
9TONIA – Tenge Over Night Index Average (repo transactions)
The process of making a decision on Monetary Policy
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Preparing for the forecast macroeconomic models
Prepare forecasts of external conditions and near‐term forecast
Basic midterm forecast
Introduction the Monetary Policy Committee to the baseline scenario
and discussion of alternative conditions
The final forecast including alternative options for the forecast (presentation to the Monetary
Policy Committee)
Making a decision on the base interest rate
Publication of a press release and the "Inflation Report"
Thank you for your attention
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