Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › научная › Рецензирование
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). ред. / Victor Titov. Atlantis Press, 2019. стр. 153-163 (Advances in Economics, Business and Management Research; Том 104).Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › научная › Рецензирование
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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