Download Workshop on Macroeconomic Modelling in Asia  and the Pacific 8‐11 December 2015 Bangkok, United Nations Conference Centre (UNCC)

Workshop on Macroeconomic Modelling in Asia and the Pacific
8‐11 December 2015
Bangkok, United Nations Conference Centre (UNCC)
The Macroeconomic Modelling in the National Bank of Kazakhstan
Prepared by OLZHAS TULEUOV
Senior Analyst
The Research and Strategic Analysis Department About The National Bank of the Republic of Kazakhstan The Republic of Kazakhstan has a two‐tier
banking system. The National Bank of the
Republic of Kazakhstan (hereinafter ‐ NBK) is the
central bank of Kazakhstan and presents the
upper (first) tier of the banking system of
Kazakhstan. 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 the
Republic of Kazakhstan. To accomplish the main goal, the National
Bank 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 NBK
The successful providing of monetary policy requires
making a right decision on the size of base interest rate,
which in turn depends on forecast of the main
macroeconomic indicators. This forecast based on the
macroeconomic 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 NBK
Macroeconomic 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 NBK
Near‐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 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 NEAR‐TERM FORECASTING SYSTEM
MONTHLY INDICATORS
MONTHLY INDICATORS
Real wages
QUARTERLY INDICATORS
The growth rate of the mining
industry
Employment
Household consumption
Terms of Trade
Industrial production in Italy
Lending
GDP by final use method
The volume of lending to individuals
The growth rate of the manufacturing industry
General government consumption
Tax revenues to the state budget
The state budget expenditures
Investments in fixed assets
The growth rate of construction
Real money incomes
Gross capital formation
GDP
The rate of corporate lending
Investment in housing construction
The growth rate of trade
Proceeds from the sale of large and medium‐
sized enterprises in the economy
Oil prices
Import
The growth rate of transport
Eurozone GDP
GDP by production method
Export
FAO CEREALS INDEX
REAL MONEY INCOMES
CPI FOOD
RUSSIA CPI FOOD
SHORT‐TERM ECONOMIC INDICATOR
MONEY SUPPLY
CPI
OIL PRICES (BRENT)
CPI NON‐FOOD
RUSSIA CPI NON‐FOOD
OUTPUT GAP
NOMINAL EXCHANGE RATE
USD/KZT
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Currently Macroeconomic Models in NBK
Midterm Forecast Model based on Quarterly Projection Model (QPM) in
Matlab 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)
TONIA – Tenge Over Night Index Average (repo transactions)
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The process of making a decision on Monetary Policy
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
Making a decision on the base interest rate
The final forecast including alternative options for the forecast (presentation to the Monetary Policy Committee)
Publication of a press release and the "Inflation Report"
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Thank you for your attention
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