Forecasting the implications of foreign exchange reserve accumulation with an agent-based model

Ramis Khabibullin, Alexey Ponomarenko and Sergei Seleznev

No wps37, Bank of Russia Working Paper Series from Bank of Russia

Abstract: We develop a stock-flow-consistent agent-based model that comprises a realistic mechanism of money creation and parametrize it to fit actual data. The model is used to make out-of-sample projections of broad money and credit developments under the commencement/termination of foreign reserve accumulation by the Bank of Russia. We use direct forecasts from the agent-based model as well as the two-step approach, which implies the use of artificial data to pre-train the Bayesian vector autoregression model. We conclude that the suggested approach is competitive in forecasting and yields promising results.

Keywords: Money supply; foreign exchange reserves; forecasting; agent-based model; Russia. (search for similar items in EconPapers)
JEL-codes: C53 C63 E51 E58 F31 G21 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2018-11
New Economics Papers: this item is included in nep-cis, nep-cmp, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://cbr.ru/Content/Document/File/87591/wp37_e.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps37

Access Statistics for this paper

More papers in Bank of Russia Working Paper Series from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by BoR Research ( this e-mail address is bad, please contact ).