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on Computational Economics |
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Issue of 2013‒09‒13
eight papers chosen by |
| By: | Terciane Carvalho (Cedeplar-UFMG); Aline Magalhães (Face-UFMG); Edson Domingues (Cedeplar-UFMG) |
| Abstract: | This paper analyzes the contribution of the forest cleared for the Amazon economy between 2006 and 2011, as well as the effects of a policy of controlling deforestation between 2012 and 2020. For this, we used the interregional computable general equilibrium model (CGE) CGE-AMAZON, built to capture the specificities and heterogeneity of the region. Estimates of the economic contribution of deforestation to the growth of the Amazon would allow assessing the relative cost of public policies, estimating the implicit value of deforestation in economic dynamics. The simulation results indicate a positive contribution of deforestation between 2006 and 2011 for the Amazon economic growth of 0.3% on the total GDP. This result is reinforced by the economic impacts of a hypothetical policy of controlling deforestation, suggesting a marginal loss of economic growth in the regions. |
| Keywords: | computable general equilibrium, Amazon, deforestation |
| JEL: | Q15 C68 Q58 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:cdp:texdis:td494&r=cmp |
| By: | Admir Betarelli Jr (PhD, Cedeplar-UFMG); Edson Domingues (Cedeplar-UFMG) |
| Abstract: | The aim of this paper is to analyze the long turn economic impacts of tariff review policy of the Brazilian rail freight sector, as well as explore some analytic potential of the dynamic Computable General Equilibrium (CGE) model which captures some forms of market imperfections (such as increasing returns to scale, imperfect markets). The main findings of this application indicated that tariff policies promote positive long turn effects on GDP growth, exports, and investments. In addition, the sectorial projections of such policies suggest a negative effect on the rail sector and positive effects on sectors’ production, which are most dependent on rail modal. |
| Keywords: | rail modal; general equilibrium; market imperfections. |
| JEL: | C68 D4 R40 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:cdp:texdis:td496&r=cmp |
| By: | Admir Betarelli Jr (PhD, Cedeplar-UFMG); Edson Domingues (Cedeplar-UFMG) |
| Abstract: | The aim of this paper is to analyze the objective to discuss the long turn economic impacts of tariff change, instituted in 2013, on domestic operations of the Brazilian cabotage freight sector, as well as explore some analytic potential of the dynamic Computable General Equilibrium (CGE) model which captures some forms of market imperfections (such as increasing returns to scale, imperfect markets). The main findings of this application indicated that tariff policies promote positive long turn effects on GDP growth, exports, and investments. In addition, the sectorial projections of such policies suggest negative effects on cabotage sector and positive effects on sectors’ production, which are most dependent on cabotage. |
| Keywords: | cabotage; general equilibrium; market imperfections. |
| JEL: | C68 D4 R40 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:cdp:texdis:td492&r=cmp |
| By: | Chulmin Kang; Wanmo Kang |
| Abstract: | In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. We perform numerical experiments to demonstrate the performance and accuracy of our method. As a result of numerical experiments, it is shown that our new method is much faster and reliable than Euler discretization method. |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1309.0557&r=cmp |
| By: | Daniel Kemptner |
| Abstract: | This paper proposes a dynamic life cycle model of health risks, employment, early retirement, and wealth accumulation in order to analyze the health-related risks of consumption and old age poverty. In particular, the model includes a health process, the interaction between health and employment risks, and an explicit modeling of the German public insurance schemes. I rely on a dynamic programming discrete choice framework and estimate the model using data from the German Socio-Economic Panel. I quantify the health-related life cycle risks by simulating scenarios where health shocks do or do not occur at different points in the life cycle for individuals with differing endowments. Moreover, a policy simulation investigates minimum pension benefits as an insurance against old age poverty. While such a reform raises a concern about an increase in abuse of the early retirement option, the simulations indicate that a means test mitigates<br /> the moral hazard problem substantially. |
| Keywords: | dynamic programming, discrete choice, health, employment, early retirement, consumption, tax and transfer system |
| JEL: | C61 I14 J22 J26 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwsop:diw_sp583&r=cmp |
| By: | Ligthart, Jenny; He, Xiaoli; Jacobs, Jan; Kuper, Gerard (Groningen University) |
| Abstract: | This paper analyses the impact of the Global Financial Crisis on the Euro area utilizing a simple dynamic macroeconomic model with interaction between monetary policy and fiscal policy. The model consists of an IS curve, a Phillips curve, a term structure relation, a debt accumulation equation and a Taylor monetary policy rule supplemented with a Zero Lower Bound, and a fiscal policy rule. The model is alibrated/estimated for EU-16 countries for the period 1980Q1-2009Q4. The impact of the Global Financial Crisis is studied by means of impulse responses following a combined, prolonged aggregate demand and public debt shock. The simulation mimicking the GFC turns out to work fairly well. However, the required size of the shock is quite large. |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:rugsom:13011-eef&r=cmp |
| By: | Edson Domingues (Cedeplar-UFMG); Admir Betarelli Jr (PhD, Cedeplar-UFMG); Aline Magalhães (Face-UFMG); Debora Cardoso (Cedeplar-UFMG); Flaviane Santiago (Cedeplar-UFMG); Glaucia Motta (Cedeplar-UFMG); Kenia Souza (Cedeplar-UFMG); Terciane Carvalho (Cedeplar-UFMG) |
| Abstract: | The recent behavior of the Brazilian economy seems to indicate that the industry growth runs up against the difficulty of hiring skilled labor, such as technicians and engineers. This shortage may pose an obstacle to the development of the country. This article analyzes the effects of the shortage of skilled labor in the Brazilian economy, with special attention in manufacturing related activities. The results indicate the significant impact of investment dynamics in the demand for engineers and technicians, and that restrictions on the growth of labor supply that may affect mainly the industry of capital goods and intermediate inputs, relevant to a wide range of sectors economy. |
| Keywords: | employment, manufacturing, shortage of manpower, computable general equilibrium |
| JEL: | C68 J21 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:cdp:texdis:td495&r=cmp |
| By: | Abdullah Almansour (Department of Finance and Economics, King Fahd University of Petroleum and Minerals); Margaret Insley (Department of Economics, University of Waterloo) |
| Abstract: | The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determined numerically using the Least Squares Monte Carlo methodology. The analysis is applied to an oil sands project which uses natural gas during extracting and upgrading. The paper takes into account the co-movement between crude oil and natural gas prices and proposes two price models: one incorporates a long-run link between the two while the other has no such link. Incorporating a long-run relationship between oil and natural gas prices has a significant effect on the value of the project and its optimal operation and reduces the sensitivity of the project to the natural gas price process. |
| JEL: | Q30 Q40 C61 C63 |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:wat:wpaper:1303&r=cmp |