Modelisation economique
Introduction
Antoine Bouet
Modelisation economique
Introduction
• Interet de la modelisation
– Pour la recherche economique : modele MIRAGE /
modele INGENUE / modele PEP…
– Pour une utilisation dans les entreprises,
banques… : optimisation d’un flux de transport,
composition optimale d’un portefeuille, modele
de production et de commercialisation d’un
produit…
• Modele simple implementable sous Excel
• Modele plus complique sous GAMS
Modelisation economique
Introduction
• Modele simple
• P est le prix d’un bien ; QS son offre ; QD sa
demande ; a, b, c et d des constantes
positives.
Modelisation economique
Introduction
• Concepts-cle de la modelisation
– Parametres
– Variables exogenes
– Variables endogenes
– Equations
– Calibrage et Resolution
• Modelisation
economique
Introduction
• Classification des
modeles
Modelisation economique
Introduction
• Construction d’un modele sous Excel
• Utiliser la fonction Solver dans le menu Data
• Si modele precedent :
– Parametres = a, b, c et d
– Pas de variable exogene
– Variables endogenes = QS, QD et P
– Distinction valeurs initiales / valeurs finales
– Trois equations = demande / offre / equilibre
Modelisation economique
Introduction
• Modele d’equilibre partiel P1
• Pb avec / sans optimisation
• Distinction valeur finale / valeur courante
• Algorithme de Newton
Modelisation economique
Introduction
• Optimisation lineaire
• Exemple d’une entreprise agroalimentaire :
objectif de minimisation de cout total de
transport (des asperges !)
• 2 fermes : Seattle (Se), San Diego (SD)
• 3 centres urbains: Chicago (Ch), New York
(NY), Topeka (To)
Modelisation economique
Introduction
• Donnees en tonnes
– Offres : Seattle (350) / San Diego (600)
– Demandes : New York (325) / Chicago (300) /
Topeka (275)
– Cout du fret = 90
– Distances en milliers de kms
Modelisation economique
Introduction
• Modelisation :
• Soit xij les acheminements de i a j ; dj les
demandes ; si les offres ; f le cout du fret ; TC
le cout total de transport (en milliers de USD)
Modelisation economique
Introduction
Modelisation economique
Introduction
Variables endogenes Equations
Initial Current Initial Current
sSe 350 xSeNY 325.00 50.00 cost 153.68
sSD 600 xSeCh 25.00 300.00 supplySe 350
dNY 325 xSeTo - - supplySD 550
dCh 300 xSDNY - 275.00 demandNY 325
dTo 275 xSDCh 275.00 - demandCh 300
distSeNY 2.5 xSDTo 275.00 275.00 demandTo 275
distSeCh 1.7 TC 156.15 153.675 posxSeNY 50.00
distSeTo 1.8 posxSeCh 300.00
distSDNY 2.5 Resultats posxSeTo -
distSDCh 1.8 Economie de cout par jour $ 2,475.00 posxSDNY 275.00
distSDTo 1.4 En % 1.6% posxSDCh -
f 90 Economie par mois $ 54,450.00 posxSDTo 275.00
Modelisation economique
Introduction
• Etude d’un modele de portefeuille
• Investisseur doit gerer un portefeuille a partir
de 4 titres :
– Hardware hw
– Software sw
– Showbiz sb
– T-Bonds (obligations du Tresor) tb
Modelisation economique
Introduction
• Rendements moyens:
– hw: 8 (%)
– sw: 9
– sb: 12
– tb: 7
• Interet de diversifier son portefeuille: les titres ne sont
pas parfaitement correles donc on peut les combiner
pour un portefeuille
– Dont le rendement espere sera superieur pour un risque
constant;
– Dont le risque sera inferieur pour un rendement espere
constant.
Modelisation economique
Introduction
• Soit xi la part (en %) du
titre i dans le
portefeuille;
• On demande a
l’investisseur un
portefeuille d’esperance
de rendement 10% en
minimisant le risque
associe.
Modelisation economique
Introduction
Modelisation economique
Introduction
Modelisation economique
Introduction
• FormVariance=$H3*SUMPRODUCT($H3:$H6,$
F7:$F10)+$H4*SUMPRODUCT($H3:$H6,$F11:
$F14)+$H5*SUMPRODUCT($H3:$H6,$F15:$F1
8)+$H6*SUMPRODUCT($H3:$H6,$F19:$F22)
Modelisation economique
Introduction
Parametres Variables exogenes Variables endogenes Equations
Initial Current Initial Current Initial Current
Target 10 10 mhw 8 8 xhw 25.0% 30.3% xsum 1.00
msw 9 9 xsw 25.0% 8.7% portmean 10
msb 12 12 xsb 25.0% 50.5% posxhw 0.30
mtb 7 7 xtb 25.0% 10.6% posxsw 0.09
vhwhw 4 4 variance 1.63 2.90 posxsb 0.50
vhwsw 3 3 posxtb 0.11
vhwsb -1 -1
vhwtb 0 0
vswhw 3 3
vswsw 6 6
vswsb 1 1
vswtb 0 0
vsbhw -1 -1
vsbsw 1 1
vsbsb 10 10
vsbtb 0 0
vtbhw 0 0
vtbsw 0 0
vtbsb 0 0
vtbtb 0 0
Modelisation economique
Introduction
• On modelise maintenant un modele en equilibre
partiel
• Liberalisation du secteur du ble en Chine
• Donnees 2010
• Demande : QD = 7.8 Mios de USD
• Production : QS = 6.373 Mios de USD
• Surplus de demande MD est importee
• Droit de douane de 10.3%
• Cout de transport de 27.6%
Modelisation economique
Introduction
• On supposera que offre et demande de ble en
Chine suivent des fonctions isoelastiques
definies par rapport au prix interieur P avec
elasticites respectives es=3 et ed=-1.5
• Chine est un grand pays et offre d’importation
suit une fonction isoelastique d’elasticite
em=15
Modelisation economique
Introduction
Modelisation economique
Introduction
• Calibrage:
– Hypothese P=1 (changement d’unite)
– Donc : P*=1/(1+t+w)
– KD=…
– KS=…
– KM=…
Modelisation economique
Introduction
Modelisation economique
Introduction
Parameters Exogenous variables Endogenous variables Eqn
IV IV CV Initial value Current value
ed -1.5 t 10.3% 0.0% QS 6373 5682.718412 EQS 5,682.72
es 3 w 27.6% 27.6% QD 7800 8260.160645 EQD 8,260.16
ems 15 P 1.000 0.963 EP 0.96250739
KD 7,800.00 P* 0.725163162 0.754316136 EPstar 2577.442233
KS 6,373.00 M 1427 2577.442233 EM 2577.442233
KMS 176965.239
Variation
calibration Domestic supply -10.8%
scaling demand 7,800.00 Domestic demand 5.9%
scaling supply 6,373.00 Domestic price -3.7%
scaling imports 176965.239 Foreign price 4.0%
to be copied
in B8:B10 Imports 80.6%
Modelisation economique
Introduction
* A 2 markets 2 regions partial equilibirum model:
* Inspired by V.O.Ronningen, 1997, Multi-Market,
Multi-Region Partial Equilibrium Modeling, in J.F.
Francois and K.A. Reinert, eds, Applied methods for
trade policy analysis, Cambridge, Cambridge
Universirt Press
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• * A 2 markets 2 regions partial equilibirum
model:
• Market 1/ Market 2 ; Meat and Coarse grains
• Supply of meat depends on meat price and
coarse grains price
• Demand for coarse grains depends price of
coarse grains and meat supply
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• Countries r /1,2/ ;
• Variables
• pmt(r) domestic price of meat in r
• pcg(r) domestic price of coarse grain in r
• wpmt world price of meat
• wpcg world price of coarse grain
• smt(r) supply of meat in r
• dmt(r) demand of meat in r
• scg(r) supply of coarse grain in r
• dcg(r) demand of coarse grain in r
• netmt(r) excess supply of meat in r
• netcg(r) excess supply of coarse grain in r ;
• On va appeler les variables dependant de r pmt1, pmt2, pcg1, pcg2,….
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• Model
• Relation between domestic price of meat and world price of meat
• pmt(r) = cpmt(r) + wpmt + ddmt(r) ;
• Supply of meat
• smt(r) = csmt(r)*(pmt(r)**esmt(r))*(pcg(r)**escrmt(r)) ;
• Demand for meat
• dmt(r) = cdmt(r)* (pmt(r)**edmt(r));
• Excess supply of meat
• netmt(r) = smt(r) - dmt(r) ;
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• Relation between domestic price of coarse grain and world price of coarse grain
• pcg(r) = cpcg(r) + wpcg + ddcg(r) ;
• Supply of coarse grain
• scg(r) = cscg(r)*(pcg(r)**escg(r)) ;
• Demand for coarse grain
• dcg(r) = cdcg(r)* (pcg(r)**edcg(r))*(smt(r)**edcrcg(r)) ;
• Excess supply of coarse grain
• netcg(r) = scg(r) - dcg(r) ;
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• World trade of meat
• sum(r,netmt(r)) = 0 ;
• World trade of coarse grain
• sum(r,netcg(r)) = 0 ;
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• Elasticities
• 1 2
• Supply meat /own price 0.7 0.5
• Supply meat /price of grain -0.2 -0.1
• Demand for meat -0.6 -0.8
• Supply grains/own price 0.6 0.4
• Demand for grains/ meat sup. 0.7 0.3
• Demand for grains -0.8 -0.5
• ;
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• World price of meat 2000
• World price of coarse grain 100
• 1 2
• Tariff on meat 600 0
• Tariff on grains 0 50
• Dom. Price of meat 2600 2000
• Dom. Price of grains 100 150
• Supply of meat 30259 64979
• Demand for meat 37847 57391
• Supply of grains 208033 233840
• Demand for grains 170846 271027
• ;
• What is the impact of the removal of tariff on meat and tariff on grains?
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Analytical methodologies of international
trade
– Non spatial Partial equilibrium model
– Spatial Partial equilibrium model
– Single country GE trade model
– Multi - country GE trade model
• Multi country CGEM
• Gravity equations
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Analytical methodologies of international
trade
– Non spatial Partial equilibrium model
• it does not consider equilibrium on all markets in order
to focus on one or several markets
• increased tractability or allows for more analytical
details
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Non spatial Partial equilibrium model
– Suppose n countries (i=1, 2, …n) with 1 being the domestic country, j = 2, …n is
the index for foreign countries
– imports and domestic goods are imperfect substitutes
– Demand function for domestically produced goods :
Q1D = Q1D ( P1 ; P2 ;...; Pn )
– Demand function for imports
Q Dj = Q Dj ( P1 ; P2 ;...; Pn )
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Non spatial Partial equilibrium model
– Supply of domestic good:
Q1S = Q1S ( P1 )
– Supply of foreign goods:
Q Sj = Q Sj ( P * j )
– Gap between domestic and foreign prices
Pj = P * j .(1 + t j + τ j )
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Analytical methodologies of international
trade
– General equilibrium model
• How is equilibrium determined on all markets
simultaneously?
• Full integration of income and interdependence effects
• Fully consistent, but simultaneously needs simplifying
assumptions on specific elements
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Single country General equilibrium model
– one country and N sectors (k=1, 2…N)
– imported and domestic goods are perfect
substitutes
– no intermediate consumption in production, no
government
– labor is the sole productive factor
– perfect competition
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Single country General equilibrium model
– Demand function of good k
QkD = QkD ( P1; P2 ...PN ; Y ) = QkD ( P; Y )
– Supply of good k
QkS = QkS ( Pk ; w)
– Domestic Excess Demand for good k
EDk = QkD ( P; Y ) − QkS ( Pk ; w)
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Single country General equilibrium model
– Rest of the world’s Excess Supply of good k
ES *k = ES *k ( P*)
– Relation between domestic and world prices
Pk = P *k .(1 + t k )
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Single country General equilibrium
model
– Labor market equilibrium
∑ L (w; P ) = L
k
D
k k
– National income
Y = wL + ∑ tk P *k EDk
k
– The current account is constant
− ∑ P *k EDk = CA
k
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• Identification of economic agents and behaviours that
will be accounted for
• Collecting macroeconomic data
• Econometric estimation of behavioural parameters
(elasticities in particular): they can also be taken from the
literature
• Calibration
• Implementation of shocks
• Study of results
• Sensitivity analysis
12/8/2011 Initiation to economic modeling - M2 EAEI
Partial / General equilibrium analysis/Spatial-non spatial
models
• These analytical instruments are complementary, not substitute.
• General equilibrium models account for income effects, interdependence
between factor and product markets.
• They are complex and demanding in terms of statistical information.
• The modeler is bound to simplify theoretical representation.
• Partial equilibrium models give the modeler more freedom to study a
specific aspect of trade liberalization
• Excellent instrument to analyze complex behavior (strategic interaction,
asymmetric information), complex production system or complex policy
instrument
12/8/2011 Initiation to economic modeling - M2 EAEI
A simple CGE
• Object: making of a (very) simple CGEM
• Simple economy with one good, two primary factors, labour and capital, a
Cobb-Douglass technology, no relations with abroad.
Y = A0.KDα .LD1−α
W .LD = (1 − α ).P.Y
R.KD = α .P.Y
INC = W .LS + R.KS
P.C = INC
Y =C
LD = LS
KD = KS
12/8/2011 Initiation to economic modeling - M2 EAEI
A simple CGE
• Object: making of a (very) simple CGEM
• Note that one equation is not independent:
P.Y = P.C = INC = α .P.Y + (1 − α ).P.Y
So : R.KD + W .LD = INC
Since : LD = LS , it ensures that : KD = KS
So : KD = KS is implied by other equations
• This is due to Walras’s law.
Write: KD=KS + Leon
Leon is a new variable, initialized at 0
So 9 variables, 8 equations: introduce a numeraire, P
Since KD=KS is not independent, leon will remain at 0
12/8/2011 Initiation to economic modeling - M2 EAEI
A simple CGE
• Parameters
• LS
• KS
• ;
• LS = 7000;
• KS = 3000;
• What is the impact of an increase in Labor Supply by
10%?
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
• Modele 1-2-3 : modele concu par Devarajan, Go, Lewis, Robinson et Sinko (2007)
• Economie du Sri Lanka : modele d’un petit pays avec deux secteurs avec secteur
expose et secteur abrite
• Un pays ; deux secteurs ; trois biens
• D bien domestique vendu seulement dans l’economie nationale
• E bien produit domestiquement et exporte
• M importations
• Plein emploi des FP et PIB reel constant
12/8/2011 Initiation to economic modeling - M2 EAEI
Modelisation economique
Introduction
Modelisation economique
Introduction
Modelisation economique
Introduction
Modelisation economique
Introduction
Modelisation economique
Introduction
