Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model
Bank of Russia Working Paper Series No. 37
30 Pages Posted: 6 Dec 2018
Date Written: November 10, 2018
We develop a stock-flow-consistent agent-based model that comprises a realistic mechanism of money creation and parametrize it to fit actually observed 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
JEL Classification: C53, C63, E51, E58, F31, G21
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