Author(s): Shahinaz Magdy, Prof. Mohamed Gouda
This paper addresses how the simulation of future scenarios can contribute to the performance of fundamental economic factors in Egypt and the asset returns of the social pension fund; this is through introducing the economic scenario generator (ESG). The paper has used the vector autoregressive (VAR) model to construct an intertemporal dependency among the key economic factors; using historical dataset from 2004/2005Q1 to 2021/2022Q4. After generating the stochastic scenarios of the economic factors, the asset return scenarios for each class can be created based on their relations with these factors. These relationships are described using linear models.