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Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model
| Content Provider | Scilit |
|---|---|
| Author | Khabibullin, Ramis Ponomarenko, Alexey Seleznev, Sergei |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal 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. |
| Related Links | http://cbr.ru/Content/Document/File/87591/wp37_e.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3282108 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3282108 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-11-10 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mathematical Social Sciences Money Supply Foreign Exchange Reserves Agent-based Model |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
