Abstract:

The paper investigates interdependence of real and financial indicators of members of the Eurasian Economic Union and other countries. First of all, attention is paid to the study of their impact on the dynamics of macroeconomic indicators of Kazakhstan taking into account its linkages to the global economy. The study is based on the method of global vector autoregression. Individual country vector autoregression and error correction models for 33 countries are constructed. On this basis, the global vector autoregression model was estimated and calculations for the forecast of macroeconomic indicators responses in each country on the different economic shocks (including world oil price shock) were performed. The results may be of interest to the different governments in terms of rapidly changing world of interconnected economies.