Title: The intertemporal general equilibrium model of the economy with the product, money and stock markets

Authors: N.P. Pilnik; I.G. Pospelov; S.A. Radionov; A.A. Zhukova

Addresses: Higher School of Economics and Computing Centre of RAS, Moscow 101000, Russia ' Computing Centre of RAS and Moscow Institute of Physics and Technology, Moscow 141700, Russia ' Higher School of Economics and Computing Centre of RAS, Moscow 101000, Russia ' Computing Centre of RAS, Moscow 119333, Russia

Abstract: This paper presents the general economic equilibrium model of the Republic of Kazakhstan. The model includes eight macroagents. Four of the macroagents, Household, Producer, Bank, Owner, are described by optimisation problems. The other four macroagents follow prescribed scenarios. All agents contact through market interactions. This framework appears to be an appropriate method to include the stock, money and product markets in a single macroeconomic model. The version of the model calibrated on quarterly data of 2005-2010 simulates the trajectories of variables that characterise the state of the real and financial sectors. The results presented in this paper demonstrate the ability of the model to represent the main effects and trends in the economy of the Republic of Kazakhstan.

Keywords: general economic equilibrium; mathematical modelling; rational expectations; banking system; economic crisis; computational economics; Kazakhstan; stock markets; money markets; product markets; real sector; financial sector; optimisation; macroagents; intertemporal general equilibrium model; economy; simulation.

DOI: 10.1504/IJCEE.2014.060286

International Journal of Computational Economics and Econometrics, 2014 Vol.4 No.1/2, pp.207 - 233

Received: 26 Jun 2013
Accepted: 26 Sep 2013

Published online: 08 Apr 2014 *

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