ADBI Working Paper 904
Y. Dosmagambet et al.
13
3.2 Data Description and Analysis
We consider a structural VAR model based on monthly time series data for Kazakhstan
over the period from 2000:08 to 2017:08 (a total of 205 observations), for
z
t
= (
prod
t
,
rea
t
,
rpo
t
,
kase
t
), where
prod
t
is the percentage change in global crude
oil production,
rea
t
is
a measure
of real economic activity,
rpo
t
is the
real price of oil, and
kase
t
is
the stock index. Concerning the percentage change in global crude oil production,
prod
,
we employ the oil production
data from the
Bloomberg
database to estimate
the log differences of world crude oil production in millions of barrels pumped
per day
(and averaged by month). We use Kilian’s (2009) detrended Baltic real freight rate
index
to estimate the component of real economic activity (
rea
) that indicates the demand for
industrial commodities in global markets. As Kilian (2009) suggested, this index
comprises dry-cargo single-voyage ocean freight rates. We deflate
the index using the
Consumer Price Index (CPI) to convert it into real terms. To remove the
long-term trend and thus single
out the global business cycle, we linearly detrend
the real freight rate index. Refer to Kilian (2009) for a detailed description of the
construction of the global real economic activity measure.
