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

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  • Ramis Khabibullin
  • Alexey Ponomarenko
  • Sergei Seleznev

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.

Suggested Citation

  • Ramis Khabibullin & Alexey Ponomarenko & Sergei Seleznev, 2022. "Forecasting the implications of foreign exchange reserve accumulation with a microsimulation model," Journal of Simulation, Taylor & Francis Journals, vol. 16(3), pages 298-311, May.
    • Handle: RePEc:taf:tjsmxx:v:16:y:2022:i:3:p:298-311
    DOI: 10.1080/17477778.2020.1813641
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