nep-cis New Economics Papers
on Confederation of Independent States
Issue of 2021‒03‒08
eight papers chosen by

  1. How persistent is inflation in Kazakhstan? A fractionally integrated approach By Alisher Tolepbergen
  2. Resource rents in the diamond industry 2014-19: Rents, issues, methods, and data availability By Anton Löf; Olof Löf; Magnus Ericsson
  3. FRM Financial Risk Meter for Emerging Markets By Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang Karl
  4. Employment vs. homestay and the happiness of women in the South Caucasus By Karine Torosyan; Norberto Pignatti
  5. The role of banking and credit in business cycle fluctuations in Kazakhstan By Nurdaulet Abilov
  6. The role of labor market structure and shocks for monetary policy in Kazakhstan By Alisher Tolepbergen
  7. Exchange Rate Predictability with Nine Alternative Models for BRICS Countries By Afees A. Salisu; Rangan Gupta; Won Joong Kim
  8. Weltwirtschaft im Winter 2020 - Weltwirtschaftliche Erholung schreitet insgesamt voran By Gern, Klaus-Jürgen; Hauber, Philipp; Kooths, Stefan; Stolzenburg, Ulrich

  1. By: Alisher Tolepbergen (NAC Analytica, Nazarbayev University)
    Abstract: The paper analyzes persistence properties of monthly inflation and its components in Kazakhstan using fractionally integrated approach for the period between February 2001 and June 2020. The results suggest the presence of long memory behavior in inflation series. General inflation, food inflation, and non-food inflation experience a break in late 2015 when the National Bank of Kazakhstan announced a shift in the monetary policy regime. The evidence for the effect of the policy change on inflation persistence is mixed. Non-food inflation is fractionally cointegrated with the nominal depreciation rate. Finally, the estimation of persistence parameter is sensitive to the choice of data frequency.
    Keywords: Inflation; persistence; fractional integration
    JEL: C22 E31
    Date: 2020–09
  2. By: Anton Löf; Olof Löf; Magnus Ericsson
    Abstract: The focus of this study is rent in the diamond industry. Based on extensive datasets and a discussion of all relevant costs, we present resource rent statistics from the diamond industry in key producer countries in emerging economies such as Angola, Botswana, Democratic Republic of the Congo, Lesotho, Namibia, Sierra Leone, and South Africa, as well as the Russian Federation. Resource rents give an indication of the available space for taxation.
    Keywords: resource rent, diamond, Tax, Minerals, Industrial policy, World Bank, Africa, Rents
    Date: 2021
  3. By: Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang Karl
    Abstract: The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and hedging strategies are needed to help investors protect their investments against this risk. In this paper, a daily systemic risk measure, called FRM (Financial Risk Meter) is proposed. The FRM@ EM is applied to capture systemic risk behavior embedded in the returns of the 25 largest EMs' FIs, covering the BRIMST (Brazil, Russia, India, Mexico, South Africa, and Turkey), and thereby reflects the financial linkages between these economies. Concerning the Macro factors, in addition to the Adrian & Brunnermeier (2016) Macro, we include the EM sovereign yield spread over respective US Treasuries and the above-mentioned countries' currencies. The results indicated that the FRM of EMs' FIs reached its maximum during the US financial crisis following by COVID 19 crisis and the Macro factors explain the BRIMST' FIs with various degrees of sensibility. We then study the relationship between those factors and the tail event network behavior to build our policy recommendations to help the investors to choose the suitable market for investment and tail-event optimized portfolios. For that purpose, an overlapping region between portfolio optimization strategies and FRM network centrality is developed. We propose a robust and well-diversified tail-event and cluster risk- sensitive portfolio allocation model and compare it to more classical approaches.
    Keywords: FRM (Financial Risk Meter),Lasso Quantile Regression,Network Dynamics,Emerging Markets,Hierarchical Risk Parity
    JEL: C30 C58 G11 G15 G21
    Date: 2021
  4. By: Karine Torosyan (International School of Economics at Tbilisi State University, Tbilisi (ISET);); Norberto Pignatti (International School of Economics at Tbilisi State University (ISET), Tbilisi; IZA)
    Abstract: Modern women often face an uneasy choice: dedicating their time to reproductive household work, or joining the workforce and spending time away from home and household duties. Both choices are associated with benefits, as well as non-trivial costs, and necessarily involve some trade-offs, influencing the general feeling of happiness women experience given their decision. The trade-offs are especially pronounced in traditional developing countries, where both the pressure for women to stay at home and the need to earn additional income are strong, making the choice even more controversial. To understand the implications of this choice on the happiness of women in these types of countries we compare housewives and working women of the South Caucasus region. The rich data collected annually by the Caucasus Research Resource Center allows us to match working women with their housewife counterparts and to compare the level of happiness across the two groups – separately for each country as well as for Armenian and Azerbaijani minorities residing in Georgia. We find a significant negative happiness gap for working women in Armenia and in Azerbaijan, but not in Georgia. The absence of such a gap among the Armenian and Azerbaijani minorities of Georgia indicates that the gap is mostly a country- rather than an ethnicity-specific effect.
    Keywords: Female employment, reproductive housework, life satisfaction and happiness, propensity score matching.
    Date: 2020
  5. By: Nurdaulet Abilov (NAC Analytica, Nazarbayev University)
    Abstract: We analyze the role of banking sector and credit in business cycle fluctuations in Kazakhstan by adopting the dynamic stochastic general equilibium (DSGE) model with financial frictions and banks. We introduce financial frictions that lead to the amplification of the effects of shocks in the economy. We find that bank capital adjustment costs are essential in the model due to the large capital adjustment cost parameter. This implies that banks' capital adjusts very slowly to exogenous shocks in the economy. We also analyze impulse responses of endogenous variables to exogenous shocks, including a negative bank capital shock, in order to understand the propagation mechanisms of the shocks. The results from the historical decomposition exercise show us that the financial shocks have played an important role in business cycle fluctuations in Kazakhstan since 2015.
    Keywords: DSGE; financial frictions; banking sector; Kazakhstan
    JEL: C11 E32 E37 E44 E51
    Date: 2020–12
  6. By: Alisher Tolepbergen (NAC Analytica, Nazarbayev University)
    Abstract: In this paper we study the role of labor market structure and shocks for monetary policy in Kazakhstan employing a New Keynesian model with labor market rigidities. First, we examine to what extent more flexible labor market affects the transmission of monetary policy in the calibrated version of the model. The results show that more flexible wage-setting process improves the transmission mechanism. A monetary policy shock translates faster to inflation. Further, we find that the relevance of other features of labor market for the transmission of monetary policy shocks is limited. Second, we estimate the model using Bayesian techniques to identify labor market shocks that are important for monetary policy making. The estimation results suggest that shocks to the bargaining power of workers explain most of output and inflation fluctuations and thus should be closely monitored by the central bank.
    Keywords: DSGE; labor market; wage rigidity; Bayesian estimation
    JEL: E32 E52 J64 C11
    Date: 2020–12
  7. By: Afees A. Salisu (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria); Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa); Won Joong Kim (Department of Economics, Konkuk University, Seoul, Republic of Korea)
    Abstract: We examine exchange rate predictability using time-varying and constant parameter models that are conditioned on three variants of Taylor rules as well as six additional alternative models, namely, monetary model (MM); purchasing power parity (PPP); uncovered interest rate parity (UIRP) and three different factor (F1, F2 and F3) models, for BRICS countries. Monthly consumer price index, industrial production index, interest rate, broad money and exchange rates were used to construct the alternative fundamentals for exchange rate predictability for the period of January 1999 and March 2020. The out-of-sample forecast performances of the contending models were evaluated at the forecasting horizons of 1, 4, 8 and 12 using RMSFE and DM statistics, under the full, pre-GFC and post-GFC sample periods. We find that models conditioned on the Taylor rule fundamentals with homogeneous coefficients without interest rate smoothing as well as PPP- and UIRP-based fundamentals offer better exchange rate predictability of the BRICS than the random walk model across the forecast horizons. In addition, constant parameter models offer superior forecasting ability relative to the time-varying parameter models. Our results are sensitive to the data sample, frequency and the choice of fundamentals captured in the predictive model of exchange rate.
    Keywords: Exchange Rate Predictability, BRICS, time-varying parameter (TVP) model, Taylor rule, random walk
    JEL: F31 F37
    Date: 2021–02
  8. By: Gern, Klaus-Jürgen; Hauber, Philipp; Kooths, Stefan; Stolzenburg, Ulrich
    Abstract: Die Weltwirtschaft hat im dritten Quartal einen erheblichen Teil der in der ersten Jahreshälfte aufgrund der Covid-19-Pandemie erlittenen Rückgänge im Produktionsniveau wieder aufgeholt. Derzeit wird die Erholung durch eine weitere Infektionswelle und Maßnahmen zu ihrer Eindämmung zwar gebremst, im weltwei-ten Aggregat bleibt die Produktion aber aufwärtsgerichtet. Während das Bruttoinlandsprodukt in Europa im vierten Quartal wohl erneut zurückgeht, dürfte es in der übrigen Welt zumeist weiter steigen; in China ist die konjunkturelle Dynamik aktuell sogar recht hoch. Anders als im Frühjahr sind bislang keine gravierenden negativen Auswirkungen der Pandemie auf die Produktion im Verarbeitenden Gewerbe, den interna-tionalen Warenhandel und die Rohstoffpreise erkennbar. Mit dem erwarteten Abflauen der Infektionswelle dürfte sich die wirtschaftliche Aktivität im Verlauf des ersten Quartals auch dort wieder erholen, wo sie zwischenzeitlich spürbar gesunken war. Für den weiteren Verlauf des Jahres ist dann mit zunehmender Durchimpfung der Bevölkerung eine nachhaltige Verringerung der Infektionsrisiken und eine fortschreitende Normalisierung der Rahmenbedingungen auch für die besonders kontaktintensiven Wirtschaftszweige zu erwarten. Für 2021 rechnen wir mit einem Anstieg der Weltproduktion (gemessen auf Basis von Kaufkraftparitäten) um 6,1 Prozent, nach einem Einbruch um 3,8 Prozent im laufenden Jahr. Auch im Jahr 2022 wird die weltwirtschaftliche Aktivität mit 4,1 Prozent voraussichtlich stärker steigen als im mittelfristigen Trend, die Produktion wird gleichwohl längerfristig deutlich unter dem Niveau bleiben, mit dem vor der Krise gerechnet werden konnte. Damit haben wir unsere September-Prognose für das Jahr 2020 um 0,2 Prozentpunkte und für das Jahr 2021 um 0,6 Prozent-punkte reduziert. Für den Welthandel (Waren) rechnen wir mit einem Anstieg von 8,8 Prozent, nach ei-nem Rückgang um 5,4 Prozent in diesem Jahr.
    Keywords: Weltwirtschaft,Fortgeschrittene Volkswirtschaften,Schwellenländer,Geldpolitik,Japan,Russland,ASEAN,Covid-19,COVOD-19,COVID19
    Date: 2020

General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.