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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.

Suggested Citation

  • Gabriel Garber & Eduardo A. Haddad, 2012. "Target Fitting and Robustness Analysis in CGE Models," Working Papers, Department of Economics 2012_14, University of São Paulo (FEA-USP).
    • Handle: RePEc:spa:wpaper:2012wpecon14
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    5. 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.
    6. Juan J. de Lucio & Mario Izquierdo, "undated". "Local responses to a global monetary policy: The regional structure of financial systems," Working Papers 99-14, FEDEA.
    7. Bertanha, Marinho & Haddad, Eduardo Amaral, 2008. "Efeitos Regionais da Política Monetária no Brasil: Impactos e Transbordamentos Espaciais," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(1), September.
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    More about this item

    Keywords

    Model integration; target fitting; sensitivity analysis; CGE models; monetary;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • R13 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General Equilibrium and Welfare Economic Analysis of Regional Economies
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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