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

Ramis Khabibullin (), Alexey Ponomarenko and Sergei Seleznev ()
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Ramis Khabibullin: Bank of Russia, Russian Federation
Sergei Seleznev: Bank of Russia, Russian Federation

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)
New Economics Papers: this item is included in nep-cis, nep-cmp, nep-for, nep-mac and nep-mon
Date: 2018-11
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