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THE ECONOMIC IMPLICATIONS OF DIGITAL TENGE ON MONETARY POLICY IN KAZAKHSTAN
(Nazarbayev University Graduate School of Business, 2024-12-11) Kalaganova, Nurdana
This paper analyzes the economic implications of Digital Tenge (DT) introduction on the monetary policy of Kazakhstan. The research mainly focuses on formulating suggestions for the cost and distribution of DT. Optimal suggestions are derived by analyzing the effect of various options for cost and possible distribution limitations on economic agents’ welfare. The analysis reports minor positive welfare gains in the case of costless DT (from 0.0010% to 0.0040%) with a slightly higher welfare achieved and cost range possible through allowing only 20% of the population to carry DT.
MEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN
(Nazarbayev University Graduate School of Business, 2024-12-12) Abdullina, Medina; Mendygaliev, Kaiyrbek
This paper investigates the relationship between high-frequency and low-frequency liquidity measures in a frontier market, specifically Kazakhstan. Using one year of trade and quote data from two exchanges – the Astana International Exchange (AIX) and the Kazakhstan Stock Exchange (KASE) – covering eight and nine stocks, respectively, we find that Abdi Ranaldo's daily liquidity measure emerges as the most effective low-frequency proxy for intraday liquidity in this frontier market.
THE EFFECT OF MONETARY POLICY REGIME ON THE DEVELOPMENT OF THE ECONOMY
(Nazarbayev University Graduate School of Business, 2024-12) Qaiyrzhan, Maqsat
This work investigates how the Kazakhstani economy is affected by the monetary regimes, given the susceptibility to volatile oil prices and foreign
capital flows. Dynamic Stochastic General Equilibrium Model (DSGE) was utilized to analyze the effect of shocks on real GDP, consumption, investment,
wages, exports, imports, prices, and real exchange rates. Next, the effectiveness of fixed exchange rates, inflation targeting, strict inflation targeting, and hybrid
inflation targeting monetary policy regimes in smoothing the impulse of shocks on the above-mentioned variables. The results suggest that hybrid inflation targeting regime has relatively better performance.
IS THERE EVIDENCE OF A CARBON PREMIUM IN THE STOCK MARKETS OF EMERGING ECONOMIES?
(Nazarbayev University Graduate School of Business, 2024-12-12) Kessikbay, Aruzhan
This thesis aims to determine the existence of carbon premium in the stock markets of emerging economies that have different financial and regulatory systems than the developed markets. The current study employs portfolio sorting and panel regression analyses to examine the linkage between stock returns and carbon emissions with the help of absolute levels and intensity of emissions. The findings of this study reveal that intensity of emissions as a size matched variable is a better explanatory factor of returns than the levels of emissions. While brown portfolios generally outperform green portfolios, the carbon premium varies across countries, being significant in some (e.g., Brazil) and absent in others. These findings offer insights for sustainable investment strategies and policymaking in emerging markets.
UTILIZATION OF MACHINE LEARNING FOR EMPIRICAL ASSET PRICING IN EMERGING MARKETS
(Nazarbayev University Graduate School of Business, 2024-12-12) Adilov, Dastan
We perform Principal Component Regression (PCR) analysis to predict cross-sectional stock returns in emerging market economies. As a benchmark comparison, we employ OLS models and demonstrate predictive power of the machine learning based PCR model. We utilize 64 firm characteristics to determine the most significant predictors for the emerging market countries as well as for individual countries. The results, demonstrate predictive power of the PCR model over the linear regression model, showing consistent results in both the country-specific analysis and in the overall analysis of the emerging market. The most important set of predictors throughout the analysis proved to be book-to-market, sales-to-price, leverage (lev), cash flow-to-price (cfp), dividends (dy), and gross profitability (gma).