Preprint Article Version 2 Preserved in Portico This version is not peer-reviewed

Toward the Modeling of Russia's Monetary System

Version 1 : Received: 4 March 2020 / Approved: 5 March 2020 / Online: 5 March 2020 (11:54:49 CET)
Version 2 : Received: 19 September 2021 / Approved: 20 September 2021 / Online: 20 September 2021 (10:36:27 CEST)

How to cite: Borodachev, S. Toward the Modeling of Russia's Monetary System. Preprints 2020, 2020030086 (doi: 10.20944/preprints202003.0086.v2). Borodachev, S. Toward the Modeling of Russia's Monetary System. Preprints 2020, 2020030086 (doi: 10.20944/preprints202003.0086.v2).

Abstract

The paper explains the dynamics of monetary aggregates in Russia with the help of country's trade balance, the creation of deposits by commercial banks and cross-border flows of rubles and (foreign) currency. The volumes of deposits and flows, in turn, depend on changes in the currency/ruble exchange rate and favorable external economic conditions. The model was estimated by the Kalman filter, the adequacy was confirmed by stimulation. Monthly money supply forecasts have an accuracy of ~ 1%. It was found that the volume of additional deposits created per month is ~ 300 billion RUB (this leads to real inflation of 9.5% per annum), money flows that are not related to payments for goods: rubles inflow from abroad ~ 100 billion RUB, currency goes abroad ~ 15 billion USD. With the growth / fall of the dollar exchange rate by 1 RUB per month, during the same month, the creation of additional ruble deposits and the arrival of rubles from outside decreases / increases by 0.114 billion USD. The increase of the Currency Reserve Assets of Russia is accompanied by going abroad ~ 5% of the increase.

Keywords

broad money supply; currency outflow; money creation; exchange rate; Kalman filter

Comments (1)

Comment 1
Received: 20 September 2021
Commenter: S. M. Borodachev
Commenter's Conflict of Interests: Author
Comment: Improved and enlarged 
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