The objective of this thesis is to develop alternative forms of Dynamic Stochastic General Equilibrium (DSGE) models for forecasting the South African economy and, in turn, compare them with the forecasts generated by the Classical and Bayesian variants of the Vector Autoregression Models (VARs). Such a comparative analysis is aimed at developing a small-scale micro-founded framework that will help in forecasting the key macroeconomic variables of the economy. The thesis consists of three independent papers. The first paper develops a small-scale DSGE model based on Hansen's (1985) indivisible labor Real Business Cycle (RBC) model. The results suggest that, compared to the VARs and the Bayesian VARs, the DSGE model produces large out-of-sample forecast errors. In the basic RBC framework, business cycle fluctuations are purely driven by real technology shocks. This one-shock assumption makes the RBC models stochastically singular. In order to overcome the singularity problem in the RBC model developed in the first paper, the second paper develops a hybrid model (DSGE-VAR), in which the theoretical model is augmented with unobservable errors having a VAR representation. The model is estimated via maximum likelihood technique. The results suggest DSGE-VAR model outperforms the Classical VAR, but not the Bayesian VARs. However, it does indicate that the forecast accuracy can be improved alarmingly by using the estimated version of the DSGE model. The third paper develops a micro-founded New-Keynesian DSGE (NKDSGE) model. The model consists of three equations, an expectational IS curve, a forward-looking version of the Phillips curve, and a Taylor-type monetary policy rule. The results indicate that, besides the usual usage for policy analysis, a small-scale NKDSGE model has a future for forecasting. The NKDSGE model outperforms both the Classical and Bayesian variants of the VARs in forecasting inflation, but not for output growth and the nominal short-term interest rate. However, the differences of the forecast errors are minor. The indicated success of the NKDSGE model for predicting inflation is important, especially in the context of South Africa - an economy targeting inflation. / Thesis (PhD (Economics))--University of Pretoria, 2008. / Economics / unrestricted

The first essay formulates a dynamic general equilibrium optimal control model of an energy crop as part of a country's planned resource use over a period of time. The model attempts to allocate consumption, production, and factors of production to achieve the country's sustainable development goal. A Cobb-Douglas specification is used for both utility and production functions in the model. We calibrate the model with Thailand data. The selected model is used to generate the stationary state solution and to simulate the optimal policy function and optimal time paths. Two methods are used: a linear approximation method and the Runke-Kutta reverse shooting method. The model provides numerical results that can be used as information for decision makers and stakeholders to devise an economic plan to achieve sustainable development goals. The second essay studies the effect of international trade and changes in labor supply, land supply, and the price of imported energy on energy crop production for bio fuel and food, as well as impacts on social welfare. We develop a dynamic general equilibrium model to describe two baseline scenarios, a closed economy and an open economy. We find that international trade increases welfare and decreases the energy price. Furthermore, resources are allocated to produce more food under the open economy scenario than the quantities produced under a closed economy assumption. An increase in labor supply and land supply result in an increase in social welfare. An increase in imported energy price leads to a welfare loss, higher energy production, and lower food production. The third essay develops a partial equilibrium econometric model to project the impacts of an increase in ethanol production on the Thai agriculture sector over the next ten years. The model is applied to three scenarios for analyzing the effect of government ethanol production targets. The results from the baseline model and scenario analysis indicate that an expansion in ethanol production will result in a significant increase in cassava production, price, and land use. The increase in cassava production will shift land use from maize and sugar cane, thus increasing in price of maize.

This study analyzes the trade war between the United States (US) and China using the GTAP (Global Trade Analysis Project) CGE (Computable General Equilibrium) model. Five scenarios focused on economic decoupling are ana- lyzed: 1. Mutual tariff levels increased to 25%, 2. Mutual tariff levels increased to 45%, 3. Bilateral export levels decreased by 25%, 4. Bilateral export levels decreased by 45%, and 5. Trade efficiency decreased by 10%. The analysis shows both the US and China's consumer welfare and GDP decreased across all scenarios, with a larger decrease in China. In addition, when exports from China and the United States decrease, there is an increase in exports from the ASEAN region. JEL Classification C68, F13, F11, Keywords Trade war, CGE, General Equilibrium Title Measuring the Welfare Effects of the US-China Trade War Using a Computable General Equi- librium Model Author's e-mail hehaeunk@gmail.com Supervisor's e-mail vilem.semerak@fsv.cuni.cz

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第18753号 / 経博第504号 / 新制||経||272(附属図書館) / 31704 / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 柴田 章久, 教授 佐々木 啓明, 教授 神事 直人 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

In this thesis, I take a theoretical dynamic stochastic general equilibrium (DSGE) approach to investigate optimal aggregate dividend policy. I make the following contribution: 1. I extend the standard DSGE model to incorporate a residual dividend policy, external financing and default and find that simulated optimal aggregate payouts are much more volatile than the observed data when other variables are close to the values observed in the data. 2. I examine the sensitivity of optimal aggregate dividend policy to the level of the representative agent¿s habit motive. My results show that, when the habit motive gets stronger, the volatility of optimal aggregate payouts increases while the volatility of aggregate consumption decreases. This is consistent with the hypothesis that investors use cash payouts from well diversified portfolios to help smooth consumption. 3. I demonstrate that the variability of optimal aggregate payouts is sensitive to capital adjustment costs. My simulated results show that costly frictions from changing the capital base of the firm cause optimal aggregate dividends and real investments to be smooth and share prices to be volatile. This finding is consistent with prior empirical observations. 4. I run simulations that support the hypothesis that optimal aggregate dividend policy is similar when the representative firm is risk averse to when it has capital adjustment costs. In both cases, optimal aggregate dividends volatility is very low. 5. In all calibrated DSGE models, apart from case 4, optimal aggregate payouts are found to be countercyclical. This supports the hypothesis that corporations prefer to hold more free cash flows for potential investment opportunities instead of paying dividends when the economy is booming, but is inconsistent with observed data. Keywords: Dynamic Stochastic General Equilibrium (DSGE), real business cycle, utility function, habits, dividends

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Yes / Over last few decades, there has been a growing interest among researchers in understanding the link between trade liberalization and regional disparities within the context of an individual country. In this study, we develop the first ever single-country multiregional Computable General Equilibrium (CGE) model for the Indian economy to investigate this linkage. Overall our results suggest that, in the short run, trade liberalization has a beneficial impact on the rich and fast-growing middle-income states and a marginal or negative impact on the poor states.

The purpose of this thesis was to assess the economic implications of an export promotion policy on poverty reduction and inter-industry growth of Ethiopia. The study was conducted in four steps. The first and the second steps involved simulation scenarios. Scenario 1 simulated the change in the incidence of poverty when FDI capital was selectively introduced into non-coffee export agriculture. Scenario 2 simulated a situation in which the coffee industry received the same policy treatment as other export agriculture in accessing FDI capital. Step three analyzed inter-industry growth under the two scenarios. In the fourth step, sensitivity analysis was conducted to assess the possible outcomes of Scenario 1 and 2 under fluctuations in world coffee prices and changes in substitution parameters. A micro-simulated CGE model was constructed to determine optimum production, income and consumption. A Beta frequency distribution function and FGT poverty measures were used to examine the changes in three household groups' income distribution and prevalence of poverty. For these analyses, the National Accounting Matrix and the Household Income and Expenditure Sample Survey data set were used. At the macro level, growth in GDP due to expansion of export agriculture was significant. But at a micro level, the magnitude and dimension of economic changes were different with respect to each policy alternative. In the selective export promotion, for instance, only rural households were able to achieve statistically significant income changes. More particularly, about 10 percent of rural households were drawn out of poverty while only 1.7 and 0.5 percent of small and large urban households overcame poverty. When export promotion was assumed to be implemented across the board of all agricultural activities, the welfare gains were extended beyond rural household groups. In this policy alternative, statistically significant mean income changes were observed for both rural and urban household members. Specifically, about 12 percent of rural, 9 percent of small urban and 5 percent of large urban households were able to escape poverty. These achievements were attributed to higher intensification of coffee production and better linkages with other industries to efficiently allocate factors of production where they provided higher rates of return. The increase in income and consumption of millions of coffee dependent households has also stimulated more agricultural and some non-agricultural productions. Simulation results were observed to deteriorate when export promotion was evaluated under world coffee price fluctuation. The negative effect of a price shock, however, was observed to be minimized under alternative an export promotion approach. / Ph. D.

No / Conventional models of economic behavior have failed to account for a number of observed empirical regularities in macroeconomics and international economics. This may be due to preference specifications in conventional models. In this paper, we consider preferences with the ¿spirit of capitalism¿ (the desire to accumulate wealth as a way of acquiring status). We analyze a number of potential effects of international catching-up and the spirit of capitalism on savings, growth, portfolio allocation and asset pricing. Moreover, we obtain a multi-factor Capital Asset Pricing Model (CAPM). Our results show that status concerns have non-trivial effects on savings, growth, portfolio allocation, asset prices and the foreign exchange risk premium.