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Target Fitting and Robustness Analysis in CGE Models

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  • Gabriel Garber

    ()

  • Eduardo A. Haddad

    ()

Abstract

This paper proposes a methodology to integrate econometric models with Johansen-type computable general equilibrium (CGE) models in instances when it is necessary to generate results consistent with a subset of variables that are endogenous to both models. Results for a subset of the CGE endogenous variables are generated from econometric models, and set as targets to be replicated by the CGE model. The methodology is further extended for robustness testing of the outcomes in cases which the targeted scenarios are random. The proposed methodology is illustrated by simulating the impacts of a monetary shock in Brazil.

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File URL: http://www.fea.usp.br/feaecon/RePEc/documentos/Nereus14WP.pdf
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Bibliographic Info

Paper provided by University of São Paulo (FEA-USP) in its series Working Papers, Department of Economics with number 2012_14.

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Date of creation: 12 Aug 2012
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Handle: RePEc:spa:wpaper:2012wpecon14

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Keywords: Model integration; target fitting; sensitivity analysis; CGE models; monetary;

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  1. Geoffrey J.D. Hewings & Suahasil Nazara & Chokri Dridi, 2004. "Channels of synthesis forty years on: integrated analysis of spatial economic systems," Journal of Geographical Systems, Springer, vol. 6(1), pages 7-25, 04.
  2. Haddad, Eduardo A. & Hewings, Geoffrey J.D., 2005. "Market imperfections in a spatial economy: some experimental results," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(2-3), pages 476-496, May.
  3. DeVuyst, Eric A. & Preckel, Paul V., 1997. "Sensitivity analysis revisited: A quadrature-based approach," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 175-185, April.
  4. Michael Beenstock & Daniel Felsenstein, 2007. "Spatial Vector Autoregressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 2(2), pages 167-196.
  5. André Minella & Nelson F. Souza-Sobrinho, 2009. "Monetary Channels in Brazil through the Lens of a Semi-Structural Model," Working Papers Series 181, Central Bank of Brazil, Research Department.
  6. Di Giacinto, Valter, 2002. "Differential regional effects of monetary policy: a geographical SVAR approach," ERSA conference papers ersa02p257, European Regional Science Association.
  7. Matthew W. Peter & Mark Horridge & G.A.Meagher & Fazana Naqvi & B.R.Parmenter, 1996. "The Theoretical Structure of MONASH-MRF," Centre of Policy Studies/IMPACT Centre Working Papers op-85, Victoria University, Centre of Policy Studies/IMPACT Centre.
  8. Marinho Bertanha & Eduardo Amaral Haddad, 2008. "Efeitos Regionais da Política Monetária no Brasil: Impactos e Transbordamentos Espaciais," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(1), pages 3-29, September.
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