Template-Type: ReDIF-Paper 1.0
Author-Name: Ramis Khabibullin
Author-Email: KhabibullinRA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Sergei Seleznev
Author-Email: SeleznevSM@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation




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

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.


Length: 30 pages
Creation-Date: 2018-11
Revision-Date:
Publication-Status:
File-URL: http://cbr.ru/Content/Document/File/87591/wp37_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps37
Classification-JEL: C53, C63, E51, E58, F31, G21.
Keywords: Money supply, foreign exchange reserves, forecasting, agent-based model, Russia.
Handle:RePEc:bkr:wpaper:wps37