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

Abstract

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

Suggested Citation

Khabibullin, Ramis and Ponomarenko, Alexey and Seleznev, Sergei, Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model (November 10, 2018). Bank of Russia Working Paper Series No. 37. Available at SSRN: https://ssrn.com/abstract=3282108 or http://dx.doi.org/10.2139/ssrn.3282108

Ramis Khabibullin

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Alexey Ponomarenko (Contact Author)

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Sergei Seleznev

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

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