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on Computational Economics |
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Issue of 2016‒07‒30
29 papers chosen by |
| By: | Sue Wing,Ian Newel James; Timilsina,Govinda R. |
| Abstract: | This paper investigates the potential for developing countries to mitigate greenhouse gas emissions without slowing their expected economic growth. A theoretical frame- work is developed that unifies bottom-up marginal abatement cost curves and partial equilibrium techno-economic simulation modeling with computational general equilibrium (CGE) modeling. The framework is then applied to engineering assessments of energy efficiency technology deployments in Armenia and Georgia. The results facilitate incorporation of bottom-up technology detail on energy-efficiency improvements into a CGE simulation of the economy-wide economic costs and mitigation benefits of technology deployment policies. Low-carbon growth trajectories are feasible in both countries, enabling reductions of up to 4 percent of baseline emissions while generating slight increases in GDP (1 percent in Armenia and 0.2 percent in Georgia). The results demonstrate how MAC curves can paint a misleading picture of the true potential for both abatement and economic growth when technological improvements operate within a system of general equilibrium interactions, but also highlight how using their underlying data to identify technology options with high opportunity cost elasticities of productivity improvement can lead to more accurate assessments of the macroeconomic consequences of technology strategies for low-carbon growth. |
| Date: | 2016–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:7742&r=cmp |
| By: | Paetzold, Jörg (University of Salzburg); Tiefenbacher, Markus (University of Salzburg) |
| Abstract: | Contrary to frequent recommendations of the public finance literature and international institutions, a persistently high tax wedge on labor is observed in Europe. At the same time, the scope for shifting taxes from labor to more growth-friendly revenue sources appears underused in many European countries. This motivates our simulation of a revenue-neutral property tax reform for Germany, a country in which tax receipts from land are particularly low. More precisely, we assess by how much social insurance contributions (SIC) can be reduced when Germany switches from its current property tax scheme based on outdated cadastral values to one based on market property values. In order to make such a simulation possible, we match property related information with the input dataset of EUROMOD, the tax-benefit simulation model for the EU. Our results suggest that the implicit tax rate on labor could be reduced from currently 37,2% to 36,5%. Furthermore, we simulate different scenarios of the SIC reduction. Redistributive effects of these different scenarios tend to be modest and depend crucially on the design of the SIC reduction. |
| Keywords: | Statistical Matching; Labor Tax; Property Tax; EUROMOD |
| JEL: | C15 C83 D31 H12 R28 |
| Date: | 2016–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:ris:sbgwpe:2016_003&r=cmp |
| By: | Siddig, Khalid |
| Abstract: | Many countries in the developing world lack the required capacities and data to provide evidence-based policymaking. As a consequence, they apply a trial-and-error approach to their exchange rate, trade and domestic tax policies, among others. Some countries base their policies on the experiences of other countries that are not necessarily similar in terms of economic structure, sectoral linkages and trade openness. This could be partially justified as well by the difficulty of basing economic policies on researched evidence due to the forward and backward linkages that prevail in any economy, which necessitates ex post and ex ante policy impact analysis on the entirety of economic actors. This reality was recognized during the 1960s by researchers and Johansen (1960) was the first to envisage a solution for it in the form of what is currently known as Computable General Equilibrium (CGE) models. The importance of CGE models rests on their ability to provide economy-wide impact assessments with huge flexibility in capturing a detailed representation of the economy depending on the availability of data. Despite the widespread use of CGE models, no comprehensive review of their applications to the different geographical regions of the world, the different types of problems they contributed to and the different disciplines they addressed is available. This kind of review is expected to show their usefulness and identify the regions, themes and disciplines that lack their applications and, hence, to direct future research. These are the main objectives of this study, which starts by exploring the history of CGE models, including the intensity of their applications worldwide and the areas of research in which they have been applied through the time, with a special focus on the period between 1980 and 2014. The study also explores classifying CGE applications by the kind of services they have provided to advise policymaking, especially in developing countries. Afterwards, the study focusses on four countries to provide deep assessments of CGE applications and identify areas for future research using CGE models. The selected countries are Palestine, Israel, the Sudan and Nigeria. The selection of these countries is related to research projects in which the author is involved, as well as personal interest. The study reviews all the CGE applications to the selected countries, their areas of applications and the type of problems they addressed. |
| Keywords: | CGE application, policy research, Palestine, Sudan, Nigeria., Agricultural and Food Policy, Community/Rural/Urban Development, Consumer/Household Economics, Environmental Economics and Policy, Food Security and Poverty, International Development, Labor and Human Capital, Political Economy, Production Economics, Resource /Energy Economics and Policy, |
| Date: | 2016–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:ags:ukdawp:241970&r=cmp |
| By: | Nlemfu Mukoko, Jean Blaise |
| Abstract: | This work examines the impact of social investments and poverty in the D.R.Congo. The general equilibrium approach was used. To this end, a recursive dynamic computable general equilibrium model was built and calibrated based on the 2013 Social Accounting Matrix. Three scenarios were considered in terms of simulations: in the first, an increase in investment expenditure in the education sector has been envisaged; in the second, the corresponding increase in the health sector has been considered and the last scenario combines the two aforementioned. The results show the extent of the implications of such investments on the output and poverty. They reveal also transmission channels by which stakeholders are likely to be affected, while emphasizing the order of magnitude of impacts. The study concludes with a contribution. |
| Keywords: | Social Accounting Matrix, Computable General Equilibrium Model |
| JEL: | C82 E10 E16 |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:72662&r=cmp |
| By: | Jekaterina Navicke; Silvia Avram; Lilas Demmou |
| Abstract: | In 2015 the Lithuanian government launched an ambitious Social Model reform agenda aimed at balancing flexibility of the labour market and security provided through the system of social protection. We simulate alternative scenarios for reforming the unemployment benefit and cash social assistance systems in Lithuania. We first analyse a reform of the social insurance unemployment benefit along the lines currently proposed by the Lithuanian authorities within the new “Social Model”. The social assistance reforms were left outside of the Social Model. However, social assistance, as currently designed, has strong negative effects on the work incentives of the recipients. We construct and consider several reform scenarios: extending the current system of in-work payments; establishing earnings disregards; and modifying the equivalence scale for family. We look at the effects of reforms on financial incentives to search and accept a vacancy as measured by the share of additional income that is taxed away through direct taxes, social insurance contributions or through benefit withdrawal when increasing labour supply (effective marginal tax rate). We also investigate the impact of reforms on poverty, income distribution as well as their first-order financial costs. We use microsimulation techniques applied to a representative sample of Lithuanian households. Our simulations are carried out using EUROMOD –a static tax-benefit microsimulation model developed for the European Union. The model uses micro-data from the 2012 Lithuanian component of the European Union-Survey of Income and Living Conditions (SILC). This Working Paper relates to the 2016 OECD Economic Survey of Lithuania (www.oecd.org/eco/surveys/economic-survey-lithuania.htm). Les effets de différents scénarios de réforme des assurances chômage et aides sociales sur les incitations financières au travail et la pauvreté en Lituanie En 2015, le gouvernement Lituanien a lancé un programme de réforme ambitieux du modèle social visant à trouver un équilibre entre flexibilité de la législation du marché du travail et sécurité fournie par le système de protection sociale. Nous simulons des scénarios alternatifs de réformes des allocations d’assurance chômage et du régime d’aide sociale (allocations payées sous forme d’aide en liquidités) en Lituanie. Nous analysons d'abord les effets d’une réforme de l'allocation d'assurance chômage selon les lignes actuellement proposées par les autorités lituaniennes dans le cadre du nouveau « Modèle Social ». Ce nouveau modèle social ne prévoit pas de reformes de l'aide sociale. Toutefois, le régime d’aide sociale, tel qu'il est actuellement conçu, a des effets fortement négatifs sur les incitations au travail des bénéficiaires. Nous construisons et considérons plusieurs scénarios de réforme du régime d’aide social: une extension du système de prestations liées à l’exercice d’un emploi; la mise en place de mesures d’exemptions de rémunération; et une réforme du facteur d‘équivalence tenant compte de la taille des familles lors de l’octroi des allocations. Nous examinons les effets des réformes sur les incitations financières à rechercher et accepter un poste tel que mesuré par la part du revenu supplémentaire qui est effectivement imposé via les impôts directs, les cotisations d'assurance sociale ou par le retrait des prestations (taux effectif marginal d'imposition). Nous étudions également l'impact des réformes sur la pauvreté, la répartition des revenus ainsi que leurs coûts financiers (de premier tour). Nous utilisons des techniques de microsimulation appliqués à un échantillon représentatif des ménages lituaniens. Nos simulations sont effectuées à l'aide du modèle statique de micro-simulation des taxes et prestations sociales EUROMOD développé pour l'Union européenne. Le modèle utilise des micro-données tirées de l’enquête de l’Union Européenne sur les conditions de revenu et de vie (SILC) 2012. Ce document de travail se rapporte à l’Étude économique de l’OCDE de la Lituanie 2016 (www.oecd.org/fr/eco/etudes/etude-econom ique-lituanie.htm). |
| Keywords: | in-work benefits, effective tax rate, simulations, social assistance benefits, unemployment benefits, taux de taxation effective, aide sociale, simulations, Allocation d’assurance chômage, prestations liées à l'exercice d'un emploi |
| JEL: | D04 D3 I3 J2 J6 |
| Date: | 2016–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1310-en&r=cmp |
| By: | Maximilian Seyrich (Technische Universität Berlin (TU Berlin)); Didier Sornette (Swiss Finance Institute; ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)) |
| Abstract: | We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation picture of the network of traders and the concept that clusters of connected traders share the same opinion. The key ingredient is the notion that a shift of position from buyer to seller of a sufficiently large group of traders can trigger a crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size of a power $s^a$ (with $a>1$) of the cluster sizes $s$, similarly to a generalized percolation susceptibility. The power $s^a$ of cluster sizes emerges from the super-linear dependence of group activity as a function of group size, previously documented in the literature. The crash hazard rate exhibits explosive finite-time singular behaviors when the control parameter (fraction of occupied sites, or density of traders in the network) approaches the percolation threshold $p_c$. Realistic dynamics are generated by modelling the density of traders on the percolation network by an Ornstein-Uhlenbeck process, whose memory controls the spontaneous excursion of the control parameter close to the critical region of bubble formation. Our numerical simulations recover the main stylized properties of the JLS model with intermittent explosive super-exponential bubbles interrupted by crashes. |
| Keywords: | Financial bubbles, rational bubbles, crash hazard rate, percolation, superlinear productivity, finite-time singularity, numerical simulations |
| JEL: | C32 G01 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp1603&r=cmp |
| By: | Pontus Rendahl (University of Cambridge); Michal Kobielarz (Tilburg University); Wouter Den Haan (London School of Economics) |
| Abstract: | This paper proposes an algorithm that finds model solutions at a particular point in the state space by solving a simple system of equations. The key step is to characterize future behavior with a Taylor series expansion of the current period's behavior around the contemporaneous values for the state variables. Since current decisions are solved from the original model equations, the solution incorporates nonlinearities and uncertainty. The algorithm is used to solve the model considered in Coeurdacier, Rey, and Winant (2011), which is a challenging model because it has no steady state and uncertainty is necessary to keep the model well behaved. We show that our algorithm can generate accurate solutions even when the model series are quite volatile. The solution generated by the risky-steady-state algorithm proposed in Coeurdacier, Rey, and Winant (2011), in contrast, is shown to be not accurate. |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed016:272&r=cmp |
| By: | Bell, Peter N |
| Abstract: | This paper presents a method to characterize the typical path of a stochastic process, which I refer to as the Median Path. The paper describes how to estimate the Median Path in simulation and compares it to a different estimate of the typical path that is defined as the median value at each time step, like an ensemble average. The Median Path is an actual path from the stochastic process, whereas the path of median values is not. Therefore, the two paths may have very different properties. The Median Path is a single path from a set of simulated paths and is identified using a Ranking Algorithm that calculates the rank of each path at each time and then averages the ranks over time, similar to a time average. The Median Path is potentially useful in simulation applications where it is important to characterize the actual behaviour of a path generated by the stochastic process rather than the behaviour of statistics of the process over time. |
| Keywords: | Simulation, Ensemble Average, Time Average. |
| JEL: | C1 C14 C15 C6 C63 |
| Date: | 2015–11–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:72680&r=cmp |
| By: | Gissela Landa (Observatoire français des conjonctures économiques) |
| Abstract: | This document offers an empirical application of the notion of energy transition to the Mexican economy and it takes the next step of simulating medium- and long-term impacts of proposed and future energy and fiscal policy on the environment and the Mexican economy. The starting point of the analysis is the ThreeME framework, a Multi-sectoral Macroeconomic Model based on Keynesian theory. It is designed to address the dynamics of global economic activity, energy system development and carbon emissions causing climate change. The ThreeME model is well- suited for policy assessment purposes in the context of developing economies as it informs the transitional effects of policy intervention. In particular, disequilibrium can arise in the form of involuntary unemployment, the inertia of technical systems and rigidity in labor and energy markets as a result of delayed market clearing in the goods markets and slow adjustment between prices and quantities over the simulation time path. |
| Keywords: | environment; low carbon; model |
| JEL: | Q4 Q43 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/192fcun0f09bg94v6tftmhhbdl&r=cmp |
| By: | Christoph Böhringer (University of Oldenburg, Department of Economics, Germany); Florian Landis (ETH Zürich, Switzerland); Miguel Angel Tovar Reaños (Center for European Research (ZEW), Mannheim, Germany) |
| Abstract: | Over the last decade Germany has boosted renewable energy in power production by means of massive subsidies. The flip side are very high electricity prices which raises concerns that the transition cost towards a renewable energy system will be mainly borne by poor households. In this paper, we combine computable general equilibrium and microsimulation analysis to investigate the cost-effectiveness and incidence of Germany's renewable energy promotion. We find that the regressive effects of renewable energy promotion could be attenuated by alternative subsidy financing mechanisms which achieve the same level of electricity generation from renewable energy sources. |
| Keywords: | Renewable energy policy, feed-in tariffs, CGE, microsimulation |
| JEL: | Q42 H23 C63 |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:old:dpaper:390&r=cmp |
| By: | Chen, Yujiao; Malkawi, Ali; Liu, Zhu; Freeman, Richard Barry; Tong, Zheming |
| Abstract: | Natural ventilation (NV) is a key sustainable solution for reducing the energy use in buildings, improving thermal comfort, and maintaining a healthy indoor environment. However, the energy savings and environmental benefits are affected greatly by ambient air pollution in China. Here we estimate the NV potential of all major Chinese cities based on weather, ambient air quality, building configuration, and newly constructed square footage of office buildings in the year of 2015. In general, little NV potential is observed in northern China during the winter and southern China during the summer. Kunming located in the Southwest China is the most weather-favorable city for natural ventilation, and reveals almost zero loss due to air pollution. Building Energy Simulation (BES) is conducted to estimate the energy savings of natural ventilation in which ambient air pollution and total square footage must be taken into account. Beijing, the capital city, displays limited per-square-meter saving potential due to the unfavorable weather and air quality for natural ventilation, but its largest total square footage of office buildings makes it become the city with the greatest energy saving opportunity in China. Our analysis shows that the aggregated energy savings potential of office buildings at 35 major Chinese cities is 112 GWh in 2015, even after allowing for a 43 GWh loss due to China’s serious air pollution issue especially in North China. 8–78% of the cooling energy consumption can be potentially reduced by natural ventilation depending on local weather and air quality. The findings here provide guidelines for improving current energy and environmental policies in China, and a direction for reforming building codes. |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:hrv:faseco:27733689&r=cmp |
| By: | Raj Kumari Bahl; Sotirios Sabanis |
| Abstract: | In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of a well-defined mortality index to generate payoffs for bondholders. Pricing this type of bonds is a challenging task and no closed form solution exists in the literature. In our approach, we adapt the payoff of such a bond in terms of the payoff of an Asian put option and present a new approach to derive model-independent bounds exploiting comonotonic theory as illustrated in \cite{prime1} for the pricing of Asian options. We carry out Monte Carlo simulations to estimate the bond price and illustrate the strength of the bounds. |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1607.07108&r=cmp |
| By: | Chrysa Leventi; Manos Matsaganis |
| Abstract: | Estimating the impact of the crisis on income distribution requires up-to-date information. Due to the complexity of income surveys such as EU-SILC, income data usually become available with considerable delay. In this context, micro-simulation models are an appropriate and widely used alternative to bridge the gap in official data, allowing for an early evaluation of the distributional impact of changes in tax-benefit policies and in the wider economy. This paper analyses the effects of the Greek crisis on inequality and poverty in 2009-2014 using the micro-simulation model EUROMOD. Specifically, the paper updates earlier OECD estimates of distributional effects of the crisis in 2009-2012, and provides new estimates for 2013-2014, a period for which survey data are not yet publicly available. The results indicate that inequality, as measured by most indicators, rose in 2010-2013 as the recession deepened and unemployment rose, and fell back in 2014 as the economy stabilised. Relative poverty seems to have increased in 2012, after remaining broadly unchanged in the previous two years; in 2013 it appears to have stabilised, while in 2014 it fell back to only slightly above its level in 2010 (13.8% vs.13.2% respectively). This pattern is more pronounced when poverty is measured against an “anchored” benchmark: the proportion of population whose income fell below a poverty line anchored in pre-crisis terms increased steadily and steeply, until 2014 when it finally stabilised at 27.4% (from 13.2% in 2010). Not all population groups were affected evenly by recent developments: the rise of poverty in 2010-2013 especially affected the unemployed, the self-employed, the young, the middle-aged, families living in Athens, families paying rent or mortgage rather than outright owning their dwelling; on the contrary, relative poverty actually fell among groups traditionally seen as ‘poor’, such as farmers and the elderly – although in the latter case the relative improvement in terms of income may have been offset by difficulties in access to health care. The paper also assesses first-round effects of austerity policies on the income distribution given changes in the wider economy, i.e. abstracting from second-round effects associated with the deflationary impact of austerity on output. In this sense, early austerity policies per se appear to have had a small positive distributional impact, partly offsetting the increases in inequality and poverty due to the recession. As fiscal consolidation intensified in 2012, tax and benefit policies appear to have exacerbated the adverse distributional effects of the recession, causing poverty and inequality to rise further. From 2013, austerity policies seem to have had a more equalizing effect, especially at the bottom of the distribution and in terms of its distance from the top. This working paper relates to the 2016 OECD Economic Survey of Greece (www.oecd.org/eco/surveys/economic-survey-greece.htm). Estimer les effets de la crise grecque sur la distribution des revenus (2009-2014) La présente étude s’appuie sur des modèles de microsimulation afin d’actualiser les estimations réalisées par l'OCDE quant aux effets de la crise sur les inégalités et la pauvreté en Grèce en 2009-2012, et en produire de nouvelles pour 2013-2014. À l’aune de la plupart des indicateurs utilisés pour les mesurer, les inégalités se sont creusées en 2010-2013 parallèlement à l’aggravation de la récession et à la montée du chômage, pour reculer ensuite en 2014 à la faveur de la stabilisation de l’économie. Le taux de pauvreté relative semble avoir augmenté en 2012, après être resté globalement inchangé au cours des deux années précédentes. Il s’est ensuite stabilisé en 2013 pour retomber, en 2014, en deçà du niveau de 2012. Cette tendance est encore plus marquée lorsque la pauvreté est mesurée par rapport à un seuil « ancré ». Toutes les populations n’ont pas été touchées dans les mêmes proportions par l’aggravation de la pauvreté relative : la montée de la pauvreté en 2010-2013 a particulièrement touché les chômeurs, les travailleurs indépendants, les jeunes, les personnes d’âge moyen, les ménages résidant à Athènes, et les ménages qui paient un loyer ou remboursent un prêt immobilier. À l’inverse, la pauvreté relative a en fait reculé parmi les populations traditionnellement considérées comme « pauvres », comme les exploitants agricoles et les personnes âgées – même si, pour ces dernières, l’amélioration relative des revenus pourrait avoir été compensée par des difficultés d’accès aux services de santé. Il semble que les politiques d’austérité en elles-mêmes (hors effets de l’assainissement budgétaire sur la production) ont eu un modeste impact sur les inégalités et la pauvreté relative dans un premier temps, atténuant en partie les effets de la récession. Avec l’intensification de l’effort d’assainissement des finances publiques en 2012, les politiques fiscales et sociales semblent avoir favorisé une hausse de la pauvreté et des inégalités. Depuis 2013, les mesures d’austérité semblent avoir contribué à réduire les inégalités, surtout au bas de l’échelle de distribution des revenus et en termes d’écart entre le bas et le haut de la distribution. La part de la population dont le revenu est tombé sous le seuil de la pauvreté ancrée avant la crise a augmenté avec chaque cycle de mesures d’austérité, et la hausse régulière du chômage n’a fait qu’amplifier le mouvement, jusqu’en 2014 lorsqu’elle a fini par se stabiliser. Ce Document de travail se rapporte à l’Étude économique de l’OCDE de la Grèce 2016 (www.oecd.org/fr/eco/etudes/etude-econom ique-grece.htm). |
| Keywords: | taxation, poverty, labour market, inequality, distributional impact, impact distributif, marché du travail, inégalité, pauvreté, imposition |
| JEL: | D31 D63 E62 H22 I32 I38 |
| Date: | 2016–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1312-en&r=cmp |
| By: | Di Nola, Alessandro; Kocharkov, Georgi; Vasilev, Aleksandar |
| Abstract: | This paper evaluates the relative importance of labor productivity vs. income taxes and social security contributions for tax compliance in an economy with a large degree of informality. To this end, we build a bargaining model in which matched employer-employee pairs of heterogeneous productive capacities make decisions on output sharing and the degree of tax evasion. The quantitative model takes as inputs the income tax structure and the estimated aggregate productivity series. The estimation strategy recovers the bargaining parameters and the cost function of tax evasion in the model by matching the empirical series for the size of the informal sector (2000-2014). The results from the performed computational experiments point out that the most important factor is labor productivity, followed by the corporate tax. Income tax progressivity in Bulgaria is found not to be quantitatively relevant for tax evasion. |
| Keywords: | informal economy,tax evasion |
| JEL: | H24 H25 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:144164&r=cmp |
| By: | Sunil Mitra Kumar |
| Abstract: | In India, caste shapes access to a variety of resources and outcomes mainly through its influence on inter-generational prosperity, but also the linked phenomenon of discrimination. This paper examines whether caste-based differences in access to formal agricultural loans reflect discrimination in banks. lending. We find, first, that there are significant caste-based differences in loan application rates. Having controlled for the decision to seek credit and various borrower characteristics, we also find that loan approval rates across castes are largely equal across three of four caste-groups, but that Scheduled Tribe (ST) borrowers are less likely to have loans approved. Through a simulation-based approach, we show that these lower approval rates for STs are most likely not explained by unobserved credit histories, suggesting that banks do discriminate against STs. We discuss the policy implications that arise from these findings. Keywords: caste, rural bank credit, discrimination, simulation, India |
| Keywords: | caste, rural bank credit, discrimination, simulation, India |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:unu:wpaper:wp2016-086&r=cmp |
| By: | Taylor, Richard D. |
| Abstract: | This report evaluates the U.S. and world wheat markets for the 2016-2025 time period using the Global Wheat Policy Simulation Model. This analysis is based on a series of assumptions about general economic conditions, agricultural policies, weather conditions, and technological change. Both the U.S. and world wheat economies are predicted to remain soft for the next ten years. World demand for both common and durum wheat are expected to remain stable however the large supplies of 2013, 2014 and 2015 will continue to pressure the market. The high price levels in 2010, 2011 and early 2012 will not be maintained because they are the result of a small wheat crop in 2010 and 2012 in the Former Soviet Union (FSU) and Argentina in 2012. The lower price levels for all commodities will also impact the wheat market. It is expected that wheat production in the FSU will return to normal in the future. World trade volumes of both durum and common wheat are expected to expand, but trade volume of common wheat may grow faster than that of durum wheat. |
| Keywords: | common wheat, durum wheat, production, exports, consumption, ending stocks, Consumer/Household Economics, Crop Production/Industries, International Relations/Trade, Production Economics, |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:ags:nddaae:242090&r=cmp |
| By: | Johannes Muhle-Karbe (ETH Zurich and Swiss Finance Institute); Ibrahim Ekren (ETH Zurich); Ren Liu (ETH Zurich) |
| Abstract: | We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to small transaction costs in a general, multidimensional diffusion setting, and compare their performance to a number of alternatives using Monte Carlo simulations. |
| Keywords: | transaction costs, optimal trading frequency, optimal investment, multiple assets |
| JEL: | G11 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp1544&r=cmp |
| By: | Mueller, Georg P. |
| Abstract: | There is an increasing number of interview projects like the European Values Study (EVS) or the International Social Survey Programme (ISSP), which collect in many different countries internationally comparative interview data. Some of them even offer time series, which go back to the 1980ies. Unfortunately, these public datasets are generally not suitable for the analysis of political conflicts and socio-cultural cleavages. Hence the present paper tackles the problem of extracting conflict data from such interview projects by means of a new microsimulation method: instead of analysing the original interviews by focusing on individuals, the paper proposes to look at the value-differences between randomly matched artificial pairs of respondents. These artificial dyadic data records are used to simulate virtual encounters of persons, who may have either the same or different opinions about a certain issue. In the first case there is harmony, in the second virtual conflict that can be statistically aggregated for all analysed dyads of persons. This way it becomes possible to measure the total amount of conflict of a group (i) with the rest of society, (ii) with a similar group in another country, and (iii) with a politically opposite group. The afore-mentioned methodology of simulated virtual conflicts is used in order to analyse the variation of the ideology of the political left in different European countries. Of special interest are conflicts about traditional left values like equality, social security, and state ownership of industry, which concern respondents, who are partisans of the left as well as those, who identify with a right party. On the basis of the already mentioned European Values Study, the analysis is performed for three typical countries with rather different left party traditions: Sweden, France, and the UK. |
| Keywords: | conflict simulation; network analysis; international comparison; virtual encounters; interview data; political semantics |
| JEL: | C53 D63 H55 P31 |
| Date: | 2016–07–07 |
| URL: | http://d.repec.org/n?u=RePEc:fri:fribow:fribow00471&r=cmp |
| By: | Taylor, Richard D. |
| Abstract: | This report evaluates the U.S. and world sugar markets for 2015-2025 using the Global Sugar Policy Simulation Model. This analysis is based on assumptions that general economic conditions, agricultural policies, population growth, weather conditions, and technological changes remain at the long-run conditions. Both the U.S. and world sugar economies are predicted to remain constant over the next ten years. World sugar prices increased from 18.7 cents/lb in 2009 to 27.0 cents/lb in 2010 and 32.0 cents/lb in 2011 before falling to 18.0 cents/lb in 2013, 16.8 cents/lb in 2014, and 13.4 cent/lb in 2015. World sugar production declined 6.9% in 2015 while consumption increased by 4.2%. World sugar prices are expected to increase to 13.6 cents/lb by 2025. The U.S. wholesale price of sugar is projected to decrease from a 34.9 cents/lb in 2015 to near 33.9 cents/lb by 2025. It is projected that Mexican exports to the United States will decrease from 1.60 million metric tons in 2015 to 1.55 million metric tons in 2025. World trade volumes of sugar are expected to increase throughout the forecast period. |
| Keywords: | sugar, production, exports, consumption, ending stocks, Food Consumption/Nutrition/Food Safety, International Relations/Trade, Production Economics, |
| Date: | 2016–06 |
| URL: | http://d.repec.org/n?u=RePEc:ags:nddaae:242089&r=cmp |
| By: | Yasin Kursat Onder |
| Abstract: | No, at least for a rich parameter space. A common view within the class of sovereign default models is they are subject to multiple equilibria. This paper quantitatively analyzes such claims by using the model and the extensions of Eaton and Gersovitz (1981); a benchmark sovereign default model for quantitative investigation of endogenous default risks. It is shown that within the confines of a rich parameter space the issue of multiplicity never arises in the model simulations when the government debt has one-period or long-term maturity. This paper also shows that inclusion of renegotiation process for endogenous debt recovery to these models as well as inflation and non-defaultable debt along with non-state contingent defaultable debt do not generate multiplicity. This paper sharpens our understanding of such models and presents that the quantitative implications of the literature following these models are not byproduct of bad equilibrium selection. |
| Keywords: | Sovereign default, Multiple equilibria |
| JEL: | E58 D71 D78 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:1610&r=cmp |
| By: | d'Artis Kancs; Patrizio Lecca |
| Abstract: | The issues of the forced migration and the integration of refugees in the society and labour markets are high on the policy agenda of the EU. Apart from humanitarian aspects, a sustainable integration of refugees is important also for social, economic, budgetary and others reasons. Indeed, the potential consequences of the asylum seeker acceptance are being often discussed, though little scientific evidence has been provided for the policy debate so far. The present study attempts to shed light on the long-run social, economic and budgetary effects of forced immigration into the EU by applying a macroeconomic model of the European Commission and performing scenario analysis of alternative refugee integration scenarios. Our simulation results suggest that, although, refugee integration (e.g. by providing language and professional training) is costly for the public budget, in the medium- to long-run, the social, economic and fiscal benefits may significantly outweigh the short-run refugee integration costs. In addition, the integration policy has the potential to play an important role in improving the social inclusion, filling vacancies, improving the ratio of workers to economically inactive, addressing Europe’s alarming demographic challenges, and boosting jobs and growth in the EU. |
| Keywords: | Migration, refugees, social inclusion, labour market, integration policy, modelling, scenario analyses. |
| JEL: | F22 J6 J11 J24 |
| Date: | 2016–01–08 |
| URL: | http://d.repec.org/n?u=RePEc:eei:rpaper:eeri_rp_2016_08&r=cmp |
| By: | Giang, Long; Nguyen, Cuong |
| Abstract: | This study was aimed to estimate how cash transfer to children could help to reduce their poverty as well as to increase access to education, health and other material life conditions. We find that cash transfers would have a positive effect of income on school enrolment: a one percent increase in per capita income could lead to a 0.0394 percent increase in the probability of children’s primary and secondary school enrolment. In addition, increased income resulted from cash transfers could significantly increase out-of-pocket (OOP) spending on education: a one percent increase in per capita income could help households increase OOP spending on education and OOP spending on education excluding tuition fee by 0.883 percent and 0.454 percent, respectively. Finally, the simulations show that generally the transfer amount of VND 70,000/month/child (which was merely 2.31% of GDP per capita in 2012) could increase the school enrolment rate of children by 0.125 percent. However, there were no significant effects of cash transfers on health care contacts (both impatience and outpatience) and out-of-pocket spending on health care. |
| Keywords: | Cash transfers, children, health, education, Vietnam. |
| JEL: | H5 I0 |
| Date: | 2015–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:72628&r=cmp |
| By: | Fuchs, Johann (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]); Söhnlein, Doris (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]); Weber, Brigitte (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]); Weber, Enzo (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]) |
| Abstract: | "This paper is concerned with the projection of the population in Germany and the labour supply till 2060 in an integrated model. A new and redesigned populationprojection of the IAB is presented and also labour participation is re-estimated. For the population forecast alternative approaches to previous deterministic computations are used, which allow completely integrated simulations and the possibility to illustrate the uncertainties in the form of confidence intervals." (Author's abstract, IAB-Doku) ((en)) |
| Date: | 2016–07–18 |
| URL: | http://d.repec.org/n?u=RePEc:iab:iabfob:201610&r=cmp |
| By: | Pesheva, Milena; Vasilev, Aleksandar |
| Abstract: | This paper estimates the contribution of Foreign Direct Investment (FDI) to the Total Factor Productivity (TFP) of Bulgaria for the period 2004-2013. Since TFP captures the joint efficiency of capital and labor, it is likely to be influenced by investments from abroad. As predicted by theory, a positive relationship between TFP and FDI is documented. The effect of ignoring the implications of this model on the economy is explored through simulations and it is proven that this action leads to a distorted view of the growth path of the economy. The standard Ramsey (optimal) growth model, augmented with the FDI channel is used to compare the speed of convergence to an identical setup without FDI. The results of the study can serve as justification for introduction of policies and development of governmental strategies for attracting FDI inflows. |
| Keywords: | TFP,FDI |
| JEL: | E13 E22 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:144163&r=cmp |
| By: | Yasin Kursat Onder |
| Abstract: | This paper delivers a framework to quantitatively investigate the introduction of liquidity lines during a liquidity crisis. In an endogenous sovereign default model, I quantify the gains of arranging such lines by comparing simulations of the model with the simulations found when the government issues only non-state contingent bonds. I find that liquidity lines mitigate the borrowing costs and generate gains both for the government and its creditors. I also show that when the liquidity lines are introduced and the sovereign is committed not to exceed its mean debt-to-income ratio prior to liquidity lines being established, then the gains are significantly larger. These findings shed light on the current policy discussions for the utilization of liquidity lines. |
| Keywords: | Sovereign default, Liquidity shocks, Swap lines, Global safety nets, FCL, PLL |
| JEL: | F30 F34 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:1536&r=cmp |
| By: | Matus Senaj (Council for Budget Responsibility); Zuzana Siebertova (Council for Budget Responsibility); Norbert Svarda (Council for Budget Responsibility); Jana Valachyova (Council for Budget Responsibility) |
| Abstract: | This paper provides a microeconometric analysis of extensive margin labour force participation elasticities in Slovakia. Using a fully parametric framework, a probability model for participation in labour force is estimated. Our results show that low-skilled and females are the groups that are particularly responsive to changes in income taxes and transfers. We perform a microsimulation of two counterfactual scenarios of abolition of the flat tax regime and we demonstrate that abolishing flat-tax regime may differ in the impact on labour participation decisions. We find out that recent departure from flat tax system in Slovakia reduces the average probability of being economically active only negligible at the extensive margin. More significant average effect is found in the hypothetical scenario with similar fiscal revenue impact, simulating a departure from flat-tax system by reintroducing five tax brackets. Finally, we show that the impact on selected subgroups of population is different. |
| Keywords: | Labour force participation elasticity, Extensive margin, Micro-simulation, Flat-tax |
| JEL: | H31 H53 I38 J21 |
| Date: | 2016–06 |
| URL: | http://d.repec.org/n?u=RePEc:cbe:wpaper:201601&r=cmp |
| By: | Collard-Wexler, Allan; De Loecker, Jan |
| Abstract: | Production functions are a central component in a variety of economic analyzes. However, these production functions often first need to be estimated using data on individual production units. There is reason to believe that, more than any other input in the production process, there are severe errors in the recording of capital stock. Thus, when estimating production functions, we need to account for the ubiquity of measurement error in capital stock. This paper shows that commonly used estimation techniques in the productivity literature fail in the presence of plausible amounts of measurement error in capital. We propose an estimator that addresses this measurement error, while controlling for unobserved productivity shocks. Our main insight is that investment expenditures are informative about a producer's capital stock, and we propose a hybrid IV-Control function approach that instruments capital with (lagged) investment, while relying on standard intermediate input de- mand equations to offset the simultaneity bias. We rely on a series of Monte Carlo simulations and find that standard approaches yield downward-biased capital coefficients, while our estimator does not. We apply our estimator to two standard datasets, the census of manufacturing firms in India and Slovenia, and find capital coefficients that are, on average, twice as large. |
| Keywords: | measurement error inputs; Production function |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11399&r=cmp |
| By: | Guilherme DEMOS (ETH Zurich); Qunzhi ZHANG (ETH Zurich); Didier SORNETTE (ETH Zurich and Swiss Finance Institute) |
| Abstract: | Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist due to the difficulty of agreeing on the end of bubbles. We present systematic tests of the precision and reliability with which the beginning t_1 and end t_c of a bubble can be determined. For this, we use a specific bubble model, the log-periodic power law singularity (LPPLS) model, which represents a bubble as a transient noisy super-exponential price trajectory decorated by accelerated volatility oscillations. Generalising the estimation procedure to endogenise the beginning of the fitting time interval, we quantify the uncertainty on the calibrated t_1 and t_c (as well as the other model parameters) via the eigenvalues of the Hessian matrix, which characterise the shape of the calibration cost function in the different directions in parameter space, on many synthetic data and four historical bubble cases. We find overwhelming evidence that the beginning of bubbles is much better constrained that their end. Our results are robust over all four empirical bubbles and many synthetic tests, as well as when changing the time of analysis (the "present") during the development of the bubbles. As a bonus, we find that the two structural parameters of the LPPLS model, the exponent m controlling the super-exponential growth of price and the angular log-periodic frequency omega describing the log-periodic acceleration of volatility, are very "rigid" according the Hessian matrix analysis, which supports the LPPLS model as a reasonable candidate for describing the generating process of prices during bubbles. |
| Keywords: | Financial bubbles, sloppiness, Hessian matrix, Time Series Analysis, Numerical Simulation |
| JEL: | C32 C53 G01 G17 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp1557&r=cmp |
| By: | Bell, Peter N |
| Abstract: | This paper explores how present value varies over time when the underlying cash flow has a deterministic period. I assume that cash flows are known with certainty and follow a cycle with a long or short period. When the cash flow has a short period, the present value is relatively stable over time because the present value calculation smooths out several cycles. However, when the cash flow has a long period the present value itself develops a long and large cycle. These results are driven by the mathematical definition of the present value and are relevant to the use of present value as a pricing tool in situations where the cash flows of an investment have a long cycle. |
| Keywords: | Present Value, Investment, Simulation. |
| JEL: | C6 C65 E4 E44 G1 G12 |
| Date: | 2015–11–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:72681&r=cmp |