Stanislav Radionov1
  • 1 Financial Research Institute of the Ministry of Finance of the Russian Federation, 3, b. 2, Nastasyinsky Lane, Moscow, 127006, Russian Federation

On the Stochastic Forecasting in the Deterministic Model of the Russian Banking System

2023. Vol. 27. No. 1. P. 33–48 [issue contents]
In this article we propose the method of obtaining forecasts in stochastic terms for deterministic models. The proposed method is computationally simpler than the one used in dyna­mic stochastic general equilibrium (DSGE) models. The method is based on the estimation of parameters in the deterministic paradigm and the estimation of the vector of sample means and the covariance matrix for the increments of exogeneous variables on the in-sample period. For every realization of exogeneous variables, the trajectories of endogenous variables is calculated. The methods of mathematical statistics such as moments calculation, construction of confidence intervals, testing various hypotheses can be applied to them. The approach is illustrated on the model of the Russian banking system, which successfully reproduces the wide set of its indicators. Several interesting properties of the obtained stochastic forecasts were found, including the violation of their normality and the nontrivial dynamics of confidence intervals. Several scenarios of key rate and exchange rate resembling their actual dynamics in the beginning of the 2022. Several conclusions on the influence of key rate and exchange rate on the basic indicators of the banking systems are made. In particular, several effects are found which could not be discovered in the purely deterministic modelling paradigm.
Citation: Radionov S. (2023) O poluchenii stokhasticheskikh prognozov v determinirovannoy modeli bankovskoy sistemy Rossii [On the Stochastic Forecasting in the Deterministic Model of the Russian Banking System]. HSE Economic Journal , vol. 27, no 1, pp. 33-48 (in Russian)
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