Forecasting the implications of foreign exchange reserve accumulation with a microsimulation model

Ramis Khabibullin, Alexey Ponomarenko and Sergei Seleznev

Journal of Simulation, 2022, vol. 16, issue 3, 298-311

Abstract: We develop a stock-flow-consistent microsimulation model that comprises all relevant mechanisms of money creation and parametrise 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 miscrosimulation 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.

Date: 2022
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DOI: 10.1080/17477778.2020.1813641

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