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on Computational Economics |
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Issue of 2005‒12‒09
nine papers chosen by |
| By: | Jérôme Héricourt (TEAM) |
| Abstract: | How did European Central Bank (ECB) fit the disparate macroeconomic needs of euro zone members? The purpose of this paper consists in providing quantitative answers to this question presenting an original methodology. After estimating unified frameworks of monetary transmission mechanisms for nine euro zone countries, we compute the national evolutions of output gap and inflation since 1999, in a fictitious context where the euro has never been launched. Using a loss function as a standard for macroeconomic stabilization, these simulations are then compared with the actual outcomes over the period 1999-2003. Our major result is that the ECB did a far better stabilization job for euro zone countries than national central banks would have done. |
| Keywords: | Taylor rules, monetary policy transmission, alternative world, simulations, stabilisation. |
| JEL: | E52 E58 F47 |
| Date: | 2004–01 |
| URL: | http://d.repec.org/n?u=RePEc:mse:wpsorb:bla04004a&r=cmp |
| By: | Francesco Bosello (Fondazione Eni Enrico Mattei); Jian Zhang (EEE Program, Abdus Salam International Center of Theoretical Physics) |
| Abstract: | The economy-wide implications of climate change on agricultural sectors in 2050 are estimated using a static computable general equilibrium model. Peculiar to this exercise is the coupling of the economic model with a climatic model forecasting temperature increase in the relevant year and with a crop-growth model estimating climate change impact on cereal productivity. The main results of the study point out on the one hand the limited influence of climate change on world food supply and welfare; on the other hand its important distributional consequences as the stronger negative effects are concentrated on developing countries. The simulation exercise is introduced by a survey of the relevant literature. |
| Keywords: | Climate change, Computable general equilibrium models, Agriculture |
| JEL: | D58 C68 N50 Q54 |
| Date: | 2005–07 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2005.94&r=cmp |
| By: | Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal)) |
| Abstract: | In this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we simulate another portfolio which aims to replicate a protective put. Finally, we simulate the cushion technique of Black and analyse the sensitivity of the insured portfolio to some parameters like the degree of risk aversion of the investor. We consider the limits of each of the studied strategies. |
| Keywords: | Financial Engineering; Portfolio Insurance; Monte Carlo simulation. |
| JEL: | G12 G13 G33 |
| Date: | 2005–11–23 |
| URL: | http://d.repec.org/n?u=RePEc:pqs:wpaper:0332005&r=cmp |
| By: | Dorothée Boccanfuso (GREDI, Faculte d'administration, Université de Sherbrooke); Luc Savard (GREDI, Faculte d'administration, Université de Sherbrooke) |
| Abstract: | In Senegal, the poverty reduction strategy will take place in a context characterized by international trade liberalization in the agricultural sector, in general and the groundnut sector, in particular. This is the backdrop against which we have developed a micro-simulated multiple household computable general equilibrium such as proposed by Decaluwé et al. (1999b). Four simulations have been made and their impacts assessed at the macroeconomic, sectoral and household levels. The first two simulations concerned tariff reforms, and the last two, the external shocks resulting from a change in export prices on the world market (groundnuts and groundnut oils). These simulations have been used to assess the impacts that the liberalization of the groundnut industry and the privatization of Société Nationale de Commercialisation des Oléagineux du Sénégal (SONACOS) provided for in the Framework Agreement, may have on households and to establish a link between these economic reforms, poverty and income ditribution. This model is very flexible because it allows, in particular, a change in the distribution of the target groups who had not been retained prior to the simulation exercise so that an ex post analysis of poverty and inequality to the modeling exercise could be carried out. |
| Keywords: | computable general equilibrium model, micro-simulation, poverty analysis, income distribution, privatization |
| JEL: | D58 D31 I32 L33 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:shr:wpaper:05-12&r=cmp |
| By: | Nicolas Hérault (Centre d'Économie du Développement (IFReDE-GRES) Université Montesquieu Bordeaux IV and Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) |
| Abstract: | This paper describes a newly-built micro-macro model for South Africa. A computable general equilibrium (CGE) model and a microsimulation (MS) model are combined in a sequential approach in order to build an effective tool to assess the effects of various macroeconomic policies and shocks on South African households. The CGE model is used to simulate the macro-changes in the structure of the economy after the policy change or the macro-shock. In a second step, these changes are passed on to the MS model. Micro-macro consistency equations, along with the direct transmission of prices, ensure that macro-changes are fully transmitted from the CGE to the MS model. Given any change in the macroeconomic structure of the economy predicted by the CGE model, the MS model predicts how individual agents modify their behaviours and how their incomes are affected, while accounting for individual heterogeneity. |
| Date: | 2005–11 |
| URL: | http://d.repec.org/n?u=RePEc:iae:iaewps:wp2005n16&r=cmp |
| By: | Sonsbeek, J.M. van (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Gradus, R.H.J.M. |
| Abstract: | This paper introduces a microsimulation model that simulates the budgetary impact of the 2006 regime change in the Dutch disability scheme. A dynamic population model fits the case of the disability benefits the best. As opposed to macro forecasts, a microsimulation can answer questions about the individual or meso income effects, the exact distribution of expenses among different benefits and the time path of the savings. The introduction of the proposed system change decreases the number of disability benefits by more than 25 % from 2020 onwards and reduces total costs by almost _ 2 billion or 20 %. Based on the better incentive structure, participation will increase and boost GDP. Microsimulation can be used to pick the winners and losers of the new system and give the time path of the savings. It is shown that for almost all partially disabled that are working, the total discounted income after the system change is as large as or larger than before the system change, for the non-working total discounted income is lower. |
| Keywords: | Disability schemes; Incentive structures; Micro-simulation |
| JEL: | H55 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2005-12&r=cmp |
| By: | Sergio G. Ferreira (IBMEC Business School - Rio de Janeiro) |
| Abstract: | Brazilian PAYG system has been under financial stress and needs to be reformed. I use a computational general equilibrium model, with 55 overlapping generations to simulate macroeconomic and welfare impacts of alternative social security reforms. Transition turns out to have quite different redistributional effects for the generations involved depending on which tax is used to finance it. Under a variety of possible transitional schemes, there is no tax path that is strictly preferred by every generation. |
| Keywords: | Social Security, Welfare, General Equilibrium, Macroeconomics, Overlapping Generation |
| JEL: | E62 D58 D91 |
| Date: | 2005–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:ibr:dpaper:2005-02&r=cmp |
| By: | Dorothée Boccanfuso (GREDI, Faculte d'administration, Université de Sherbrooke); Luc Savard (GREDI, Faculte d'administration, Université de Sherbrooke) |
| Abstract: | Dans ce travail nous utilisons un modèle d’équilibre général calculable mutli-ménages intégrés pour analyser l’impact de la construction d’une autoroute à péage entre Dakar et Thiès au Sénégal, sur la pauvreté et les inégalités. Nous avons simulé différents scénarios découlant de la construction de l’autoroute tel que des gains de productivité, une réduction du coût moyen des transports et une augmentation de l’offre de travail. Nous avons appliqué les indices de pauvreté Foster, Greer et Thorbecke (1984) et l’indice de Gini. Certains résultats obtenus sont un peu contre intuitif dans la mesure où les effets positifs ne sont parfois plus important en milieu rural que dans la région Dakaroise. In this paper we use an integrated multi-household computable general equilibrium model to analyse the impact of the construction of a toll highway between Dakar and Thies in Senegal. We simulated different potential effects of the highway construction such as productivity gains, decrease in transportation cost |
| Keywords: | Modele d’equilibre general calculable, micro-simulation, analyse de pauvrete, distribution de revenu, infrastructure |
| JEL: | D58 D31 I32 H54 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:shr:wpaper:05-11&r=cmp |
| By: | Elina Eskola (Department of Economics, University of Copenhagen) |
| Abstract: | The study uses a computable general equilibrium (CGE) approach to simulate the welfare gains of improving trade and transport services in Tanzania up to the year 2015. The model takes into account the regional differences in trading margins and the different production patterns of commercial and subsistence producers. The results show that substantial economic growth can be achieved by alleviating the existing bottle necks in marketing. The regional growth patterns of production after market improvement favour the more isolated and often poorer regions, leading to decreased regional inequality over time. The main beneficiaries of the policy change are the rural poor whose income grows faster than the income of the wealthier urban dwellers. The results suggest, that if sufficient resources and political commitment to improving trade and transport sectors can be mobilised, the economic performance can be enhanced to reach the Millennium Development Goals by 2015. |
| Keywords: | computable general equilibrium (CGE); regional growth; commercialisation; infrastructure; trade; pro-poor growth; Tanzania; millennium development goals |
| JEL: | C68 D58 F14 I38 O55 |
| Date: | 2005–11 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kuiedp:0522&r=cmp |