Journal of Simulation ( IF 1.3 ) Pub Date : 2020-09-08 , DOI: 10.1080/17477778.2020.1813641 Ramis Khabibullin 1 , Alexey Ponomarenko 1 , Sergei Seleznev 1
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.
中文翻译:
用微观模拟模型预测外汇储备积累的影响
摘要
我们开发了一个股票流动一致的微观模拟模型,该模型包含货币创造的所有相关机制,并将其参数化以适应实际数据。该模型用于在俄罗斯银行开始/终止外汇储备积累的情况下对广义货币和信贷发展进行样本外预测。我们使用来自微模拟模型的直接预测以及两步法,这意味着使用人工数据来预训练贝叶斯向量自回归模型。我们得出的结论是,所建议的方法在预测方面具有竞争力并产生了有希望的结果。