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Simulation-based forecasting of the real effective exchange rate of the ruble. / Vorontsovsky, Aleksei ; Vyunenko, Lyudmila .

Proceedings of the Third International Economic Symposium (IES 2018). ed. / Victor Titov. Atlantis Press, 2019. p. 153-163 (Advances in Economics, Business and Management Research; Vol. 104).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Research › peer-review

Harvard

Vorontsovsky, A & Vyunenko, L 2019, Simulation-based forecasting of the real effective exchange rate of the ruble. in V Titov (ed.), Proceedings of the Third International Economic Symposium (IES 2018). Advances in Economics, Business and Management Research, vol. 104, Atlantis Press, pp. 153-163, Third International Economic Symposium - 2018 (IES 2018), St-Petersburg, Russian Federation, 19/04/18. https://doi.org/10.2991/ies-18.2019.19

APA

Vorontsovsky, A., & Vyunenko, L. (2019). Simulation-based forecasting of the real effective exchange rate of the ruble. In V. Titov (Ed.), Proceedings of the Third International Economic Symposium (IES 2018) (pp. 153-163). (Advances in Economics, Business and Management Research; Vol. 104). Atlantis Press. https://doi.org/10.2991/ies-18.2019.19

Vancouver

Vorontsovsky A, Vyunenko L. Simulation-based forecasting of the real effective exchange rate of the ruble. In Titov V, editor, Proceedings of the Third International Economic Symposium (IES 2018). Atlantis Press. 2019. p. 153-163. (Advances in Economics, Business and Management Research). https://doi.org/10.2991/ies-18.2019.19

Author

Vorontsovsky, Aleksei ; Vyunenko, Lyudmila . / Simulation-based forecasting of the real effective exchange rate of the ruble. Proceedings of the Third International Economic Symposium (IES 2018). editor / Victor Titov. Atlantis Press, 2019. pp. 153-163 (Advances in Economics, Business and Management Research).

BibTeX

@inproceedings{aaf989378b6c4301a8675fd7be0b5db8,
title = "Simulation-based forecasting of the real effective exchange rate of the ruble",
abstract = "The real exchange rate of national currency is known to be one of the most important macroeconomic indicators. In this paper, we explore the opportunities of the Monte Carlo simulation technique combined with the polynomial residuals model for a medium-term forecasting the index of the real effective exchange rate for the ruble. The idea of the proposed approach is based on the successive (variable) differences method, designed for smoothing time series characterized by trend component and irregular component. The approach is illustrated numerically with the simulation-based forecast for the ruble real effective exchange rate, the values of the index in September-December 2017 being used to assess the forecast quality. The parameters in the corresponding polynomial residues models were calculated using the Nelder–Mead algorithm. The results of simulations at different {"}estimate depth{"} values and MAPE and RSME values indicate that the proposed approach allows constructing a relatively accurate medium-term forecast for the ruble effective exchange rate.",
keywords = "real effective exchange rates, short-term forecasting, Monte Carlo simulation, polynomial trend approximation",
author = "Aleksei Vorontsovsky and Lyudmila Vyunenko",
year = "2019",
doi = "https://doi.org/10.2991/ies-18.2019.19",
language = "English",
isbn = "9789462528475",
series = "Advances in Economics, Business and Management Research",
publisher = "Atlantis Press",
pages = "153--163",
editor = "Titov, {Victor }",
booktitle = "Proceedings of the Third International Economic Symposium (IES 2018)",
address = "Netherlands",
note = "Third International Economic Symposium - 2018 (IES 2018), IES 2018 ; Conference date: 19-04-2018 Through 21-04-2018",
url = "https://www.atlantis-press.com/proceedings/ies-18, https://download.atlantis-press.com/proceedings/ies-18",

}

RIS

TY - GEN

T1 - Simulation-based forecasting of the real effective exchange rate of the ruble

AU - Vorontsovsky, Aleksei

AU - Vyunenko, Lyudmila

PY - 2019

Y1 - 2019

N2 - The real exchange rate of national currency is known to be one of the most important macroeconomic indicators. In this paper, we explore the opportunities of the Monte Carlo simulation technique combined with the polynomial residuals model for a medium-term forecasting the index of the real effective exchange rate for the ruble. The idea of the proposed approach is based on the successive (variable) differences method, designed for smoothing time series characterized by trend component and irregular component. The approach is illustrated numerically with the simulation-based forecast for the ruble real effective exchange rate, the values of the index in September-December 2017 being used to assess the forecast quality. The parameters in the corresponding polynomial residues models were calculated using the Nelder–Mead algorithm. The results of simulations at different "estimate depth" values and MAPE and RSME values indicate that the proposed approach allows constructing a relatively accurate medium-term forecast for the ruble effective exchange rate.

AB - The real exchange rate of national currency is known to be one of the most important macroeconomic indicators. In this paper, we explore the opportunities of the Monte Carlo simulation technique combined with the polynomial residuals model for a medium-term forecasting the index of the real effective exchange rate for the ruble. The idea of the proposed approach is based on the successive (variable) differences method, designed for smoothing time series characterized by trend component and irregular component. The approach is illustrated numerically with the simulation-based forecast for the ruble real effective exchange rate, the values of the index in September-December 2017 being used to assess the forecast quality. The parameters in the corresponding polynomial residues models were calculated using the Nelder–Mead algorithm. The results of simulations at different "estimate depth" values and MAPE and RSME values indicate that the proposed approach allows constructing a relatively accurate medium-term forecast for the ruble effective exchange rate.

KW - real effective exchange rates

KW - short-term forecasting

KW - Monte Carlo simulation

KW - polynomial trend approximation

U2 - https://doi.org/10.2991/ies-18.2019.19

DO - https://doi.org/10.2991/ies-18.2019.19

M3 - Conference contribution

SN - 9789462528475

T3 - Advances in Economics, Business and Management Research

SP - 153

EP - 163

BT - Proceedings of the Third International Economic Symposium (IES 2018)

A2 - Titov, Victor

PB - Atlantis Press

T2 - Third International Economic Symposium - 2018 (IES 2018)

Y2 - 19 April 2018 through 21 April 2018

ER -

ID: 50562610