INTERNATIONAL PRICE TRANSMISSION IN CGE MODELS: HOW TO RECONCILE ECONOMETRIC EVIDENCE AND ENDOGENOUS MODEL RESPONSE?
INTERNATIONAL PRICE TRANSMISSION IN CGE MODELS: HOW TO RECONCILE ECONOMETRIC EVIDENCE AND ENDOGENOUS MODEL RESPONSE?
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DOI：
10.1016/j.econmod.2013.11.038
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发表时间：
2014-02
影响因子：
4.7
通讯作者：
K. Siddig;H. Grethe
中科院分区：
文献类型：
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作者：
K. Siddig;H. Grethe
尤其是自2006-2008年粮食价格上涨以来，对国际价格向国内市场的传导及其对国内市场的影响进行实证分析的重要性日益增加。然而，该领域主要是计量经济学价格传导分析（PTA），但令人惊讶的是，它与基于模拟模型（如可计算一般均衡（CGE）模型）的分析脱节。这些工具之间缺乏协调可能是由于PTA往往关注高频数据和短期调整过程，这与CGE分析的年度数据不一致;不同的研究团队在计量经济学时间序列分析和CGE建模中通常很少重叠;以及CGE模型中价格传导的内隐性。由于这种内隐性，CGE模型对经验观察到的价格传导的校准并不简单，因为模型参数和规格的无限组合允许达到一定水平的价格传导。本文旨在通过分析如何在一个单一国家的CGE模型中满足从国际市场到国内市场的一定程度的价格传导，为PTA和CGE模型的综合使用铺平道路。我们检查和验证七个假设的决定因素，包括模型的结构特征，参数化的行为功能和有关部门的属性。本文的研究结果支持在CGE模型中控制价格从国际市场向国内市场的传递。
The importance of empirically analyzing the transmission of international prices to and their impacts on domestic markets is growing particularly since the 2006–2008 food price hikes. However, the field is dominated by econometric Price Transmission Analysis (PTA) but surprisingly disconnected from analyses based on simulation models such as Computable General Equilibrium (CGE) models. The missing reconciliation among these tools could be due to PTA often being concerned with high frequency data and short-term adjustment processes, which does not reconcile well with the annual data of CGE analyses; different research teams in econometric time series analysis and CGE modeling with typically little overlap; and the endogeneity of price transmission in CGE models. Due to this endogeneity, the calibration of CGE models to empirically observed price transmission is not straightforward, as an infinite combination of model parameters and specifications allows for reaching a certain level of price transmission. This paper aims at paving the way for the integrated use of PTA and CGE models by analyzing how a given degree of price transmission from the international to the domestic market, which may be determined empirically e.g. based on a vector error correction model, can be met in a single country CGE model. We examine and validate seven hypothetical determinants including structural characteristics of the model, the parameterization of behavioral functions and properties of the sectors concerned. The findings of this paper support controlling the pass-through of prices from the international to the domestic market in CGE models.