International Journal on Science and Technology

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Exploring the Dynamic Interdependencies of Exchange Rates, Exports, and Imports in Kazakhstan: Johansen Cointegration & A Vector Autoregression Analysis

Author(s) Dr. Shyam Charan Barma
Country India
Abstract This study examines the relationships among exchange rate, exports, and imports in the Kazakhstan economy using monthly data from November 1993 to October 2022. All variables are non-stationary at levels but become stationary after first differencing, indicating they are integrated of order one, I(1). Granger Causality Analysis suggested that a unidirectional causal relationship from exchange rate to imports and a bidirectional relationship between exports and imports, highlighting their interdependence. Johansen Cointegration Analysis confirmed that the existence of stable long-run relationships among the variables at levels. A VAR(1,9) model further supports these findings, with significant coefficients in the exchange rate equation indicating that lags 3 and 4 of the exchange rate and lag 9 of imports drive depreciation, while lags 6 and 9 of exports promote appreciation through foreign currency inflows. The import equation shows mean-reversion at lag 1 and a linkage with export lags 1 and 8, reflecting export-driven import demand. The export equation indicates mean-reversion at lags 1, 2, 7, 8, and 9 with import lags 4, 5, 8, and 9 boosting exports, likely due to imported inputs for oil production. The VAR model is stable, with all inverse roots inside the unit circle, ensuring reliable dynamics.
Keywords Stationarity Test, ADF Test, Johansen Cointegration Test, VAR Stability Condition Check, Vector Autoregressive Model, Variance Covariance Matrix, Inverse Roots of AR Characteristics Polynomial
Field Mathematics > Economy / Commerce
Published In Volume 16, Issue 3, July-September 2025
Published On 2025-09-05
DOI https://doi.org/10.71097/IJSAT.v16.i3.8049
Short DOI https://doi.org/g93b6p
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