Аннотация:
We use factor models to assess accuracy of macroeconomic performance indicators in Kazakhstan over 2011-2018. Specifically, the annual GDP growth rate
and unemployment rate are analyzed based on the fundamental factors underlying the economy. The model is a version of dynamic factor models with exact
factor structure. We exploit a two-step estimator that provides consistent estimates of the factors when n ! 1 and T ! 1. The findings indicate that there
are two fundamental factors responsible for driving real and nominal variables
in the economy. These two factors are just vectors whose entries were estimated
via principal components and Kalman Filter. Although the growth rate of GDP
from public sources indicate that there has not been a recession in the country,
we find that the alternative GDP growth rate implied by the fundamental factors points to the recession in 2016. In addition, the finding is supported by the
backcasts of unemployment rate which shows us that the unemployment rate
started rising after the severe decline in oil prices that negatively affected the
Kazakhstani economy. We also find that the official unemployment rate was
below the backcasts of unemployment rate by 2 percentage points on average.