|
on Computational Economics |
|
Issue of 2009‒07‒17
four papers chosen by |
| By: | Kazumasa, Oguro; Junichiro , Takahata; Manabu, Shimasawa |
| Abstract: | In this paper, we present an OLG simulation model with endogenous fertility in order to analyze the relationship between child benefit and fiscal burden in Japan. Our simulation results show that expansion of the child benefit will improve the welfare of current and future generations. On the other hand, our findings show that we cannot expect a significant long-term improvement in welfare solely from implementing a policy of increasing the consumption tax. If both the sustainability of the fiscal budget and the improvement of the welfare of current and future generations are requirements, we will need to promote a strategy consisting of such components as a policy-mix that includes both child benefit expansion and additional fiscal reform, i.e. increasing the consumption tax. Implementation of such a policy-mix could be expected to yield a higher economic level in the welfare of current and future generations than could be expected solely from consumption tax reform. |
| Keywords: | Computable general equilibrium (CGE) model; overlapping generations (OLG); child benefit; endogenous fertility |
| JEL: | E62 J13 H55 E17 D61 J11 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:16132&r=cmp |
| By: | Dominika Kalinowska; Karl W. Steininger |
| Abstract: | The authors apply a computable general equilibrium (CGE) modeling framework to carry out a two-country comparison for Austria and Germany assessing the impact of road charging (RC). The pricing policy measure is introduced for the private motorized transport mode and applies to the overall road network. To derive and compare distributional effects of passenger car RC, the mode-specific travel demand of private households is integrated into the CGE model. Furthermore, the modeling framework accounts for different household categories with respect to disposable net income and the corresponding travel demand profiles introduced in terms of behavioral mobility parameters as well as household travel expenditures. Comparing the country-specific results, we find country-specific differences in the impact of RC on household categories, as well as similarities. The differences that we find indicate the importance of particular parameters for the evaluation of infrastructure pricing policy reforms. We can relate differences to prevalent country-specific differences in sociodemographic characteristics, land use structure, territorial population distribution, as well as macroeconomic indicators. To add substance to the two-country impact assessment, a sensitivity analysis is carried out, introducing different RC revenue use schemes. We find differences in distributional effects under equity concerns to be closely related to the revenue use pattern as well as to country- and household-specific travel demand profiles. |
| Keywords: | Computable general equilibrium model, redistributive effects, road charging |
| JEL: | D58 H23 R48 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp907&r=cmp |
| By: | Avouyi-Dovi, S.; Bardos, M.; Jardet, C.; Kendaoui, L.; Moquet , J. |
| Abstract: | The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions relative to probabilities of default (PDs): in the first procedure, firms are assumed to have identical default probabilities; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures lead to quite different loss distributions. For instance, a negative one standard deviation shock on output leads to a maximum loss of 3.07% of the financial debt of the French manufacturing sector, with a probability of 99%, under the identical default probability hypothesis versus 2.61% with individual default probabilities. |
| Keywords: | macro stress test ; credit risk model ; loss distribution. |
| JEL: | G32 C22 C53 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:238&r=cmp |
| By: | Jan Pieter Krahnen (Goethe University Frankfurt, CFS, and CEPR); Christian Wilde (Goethe University Frankfurt) |
| Abstract: | This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. |
| Keywords: | Credit Risk, Risk Transfer, Systematic Risk |
| JEL: | G21 G28 |
| Date: | 2009–06–24 |
| URL: | http://d.repec.org/n?u=RePEc:cfs:cfswop:wp200911&r=cmp |