Octavio A F Tourinho | UERJ - Universidade do Estado do Rio de Janeiro / Rio de Janeiro State University (original) (raw)
Papers by Octavio A F Tourinho
RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilida... more RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilidade social (SAM) para o Brasil, para os anos de 1990 a 2005. A metodologia empregada é uma adaptação e aprimoramento daquela utilizada para a construção da SAM 2003, descrita em Tourinho, Silva e Alves (2006). O objetivo das principais extensões é detalhar o papel do sistema fi nanceiro na transferência de poupança entre entidades da economia e assegurar a consistência intertemporal das tabelas de dados suplementares às contas nacionais. Ademais, a metodologia foi empregada de modo sistemático e uniforme para todos os anos e, portanto, o conjunto de SAMs é consistente para todo o período considerado. Para cada ano, foram obtidas matrizes a preços correntes e a preços do ano anterior, que permitem decompor a variação entre dois anos consecutivos entre aquelas devidas a variações de quantidades e aquelas devidas a variações de preços. O conjunto completo de matrizes é disponibilizado em formato eletrônico no endereço http://www.bndes.gov.br. ABSTRACT This text describes how a set of Social Accounting Matrices (SAM) spanning the period 1990 to 2005 was constructed for Brazil. The methodology employed is an adaptation and improvement of the one used in the construction of the SAM for 2003, described in Tourinho, Silva e Alves (2006). The objective of the main extensions is to detail the role of the fi nancial system in transferring savings between different entities of the economy, and to insure that the tables of supplementary data to the national accounts are consistent from the intertemporal perspective. In addition, the methodology was employed in a systematic and uniform manner for all years, so that the set of SAMs is consistent for the complete period considered. For all years we obtained matrices at current prices and at previous year prices, which allows the decomposition of the variation in two successive years between those that are due to quantity variations and those due to price changes. The complete set of matrices is available in electronic format at the web address: http://www.bndes.gov.br. * Estudo realizado no âmbito do convênio de cooperação técnica entre o BNDES e o Instituto de Pesquisa Econômica Aplicada (Ipea), nos anos de 2006 e 2007. O autor é o único responsável pelos dados, análise e resultados contidos neste documento ou compilados e manipulados no estudo do qual ele é derivado, e sua publicação não implica de modo algum as entidades que o patrocinaram. ** Do BNDES.
Este artigo utiliza um modelo de equilíbrio geral computável (CGE) da economia brasileira para me... more Este artigo utiliza um modelo de equilíbrio geral computável (CGE) da economia brasileira para medir os impactos de alterações recentes na estrutura tributária nacional. Ele descreve o modelo, discute suas características, formulação, construção e calibração, e o usa para analisar três medidas fiscais: a transformação parcial da COFINS em uma contribuição sobre o valor adicionado e a incidência dos PIS/PASEP e da COFINS sobre as importações, ambas aprovadas em 2003, e a extinção da CPMF, que só foi adotada em 2007. A análise de estática comparativa permite identificar detalhadamente os efeitos destas medidas sobre o desempenho econômico agregado e setorial no longo prazo, depois que todos os seus efeitos transitórios se esgotem e que os seus efeitos indiretos sejam absorvidos.
ABSTRACT We examine further evidence regarding factor proportionality in CGE models, extending t... more ABSTRACT We examine further evidence regarding factor proportionality in CGE models, extending the empirical analysis in Balasko and Tourinho (2014). We examine the angles made by the factor demands in seven additional multiple household static models, and find that they confirm the law of proportionality of factor contents. We also test that law using time series aggregate data on factor proportions and factor prices. and find it is consistent with GARP, for both general and homothetic utility functions. We conclude that the analysis here confirms the proportionality of factor contents as an empirical regularity observed in CGEs .
Este artigo apresenta extensões da formulação do Mocam, na parte relativa à modelagem de benefici... more Este artigo apresenta extensões da formulação do Mocam, na parte relativa à modelagem de beneficiamento, e os aprimoramentos que foram feitos na base de dados do modelo. Mostra, também, sua utilização na análise da política de produção de carvão metalúrgico, e no levantamento das curvas de oferta de carvão mineral nacional.
We examine further evidence regarding factor proportionality in CGE models, extending the empiri... more We examine further evidence regarding factor proportionality in CGE models, extending the empirical analysis in Balasko and Tourinho (2014). We examine the angles made by the factor demands in seven additional multiple household static models, and find that they confirm the law of proportionality of factor contents. We also test that law using time series aggregate data on factor proportions and factor prices. and find it is consistent with GARP, for both general and homothetic utility functions. We conclude that the analysis here confirms the proportionality of factor contents as an empirical regularity observed in CGEs .
Closed SAMs for 11 countries discussed in Balasko & Tourinho (2015)
RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilida... more RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilidade social (SAM) para o Brasil, para os anos de 1990 a 2005. A metodologia empregada é uma adaptação e aprimoramento daquela utilizada para a construção da SAM 2003, descrita em Tourinho, Silva e Alves (2006). O objetivo das principais extensões é detalhar o papel do sistema fi nanceiro na transferência de poupança entre entidades da economia e assegurar a consistência intertemporal das tabelas de dados suplementares às contas nacionais. Ademais, a metodologia foi empregada de modo sistemático e uniforme para todos os anos e, portanto, o conjunto de SAMs é consistente para todo o período considerado. Para cada ano, foram obtidas matrizes a preços correntes e a preços do ano anterior, que permitem decompor a variação entre dois anos consecutivos entre aquelas devidas a variações de quantidades e aquelas devidas a variações de preços. O conjunto completo de matrizes é disponibilizado em formato eletrônico no endereço http://www.bndes.gov.br. ABSTRACT This text describes how a set of Social Accounting Matrices (SAM) spanning the period 1990 to 2005 was constructed for Brazil. The methodology employed is an adaptation and improvement of the one used in the construction of the SAM for 2003, described in Tourinho, Silva e Alves (2006). The objective of the main extensions is to detail the role of the fi nancial system in transferring savings between different entities of the economy, and to insure that the tables of supplementary data to the national accounts are consistent from the intertemporal perspective. In addition, the methodology was employed in a systematic and uniform manner for all years, so that the set of SAMs is consistent for the complete period considered. For all years we obtained matrices at current prices and at previous year prices, which allows the decomposition of the variation in two successive years between those that are due to quantity variations and those due to price changes. The complete set of matrices is available in electronic format at the web address: http://www.bndes.gov.br. * Estudo realizado no âmbito do convênio de cooperação técnica entre o BNDES e o Instituto de Pesquisa Econômica Aplicada (Ipea), nos anos de 2006 e 2007. O autor é o único responsável pelos dados, análise e resultados contidos neste documento ou compilados e manipulados no estudo do qual ele é derivado, e sua publicação não implica de modo algum as entidades que o patrocinaram. ** Do BNDES.
Economic Theory Bulletin, 2014
The factor contents of different consumers' consumption bundles computed from a country's CGE mod... more The factor contents of different consumers' consumption bundles computed from a country's CGE model with multiple households are seen to be proportional or almost proportional in the case of four different countries, namely USA, Brazil, Spain and Ivory Coast. These countries have been chosen because of the existence for these countries of CGE models with multiple households (by opposition to a representative consumer) and good quality data. This study has been limited to these four countries because we thought that the implications for CGE modeling of our findings should not delay any further their publication even though further studies are obviously needed. Taken as a law, we show that proportionality of factor contents at equilibrium for all endowment vectors and fixed preferences implies that households' implicit preferences for factor contents are identical and homothetic. Another consequence is that factor and goods' equilibrium prices are unique and depend only on total factor resources, not on the distribution of these factors between households. Factor proportionality may therefore be at the root of the puzzling rigidity and uniqueness of equilibrium prices of goods and factors observed in CGE models with multiple households.
SSRN Electronic Journal, 2000
EconomiA, 2013
This paper tests sustainability of Brazilian public debt in the period 1991 to 2009, and analyzes... more This paper tests sustainability of Brazilian public debt in the period 1991 to 2009, and analyzes implications of requiring that the Brazilian fiscal policy be primarily committed to the sustainability of the public debt. The retrospective analysis utilizes a set of unit root tests and avoids some of the criticism leveled at previous studies by using data which has not previously been used for this purpose, and concludes that the public debt was sustainable in the period we consider. The prospective analysis is based on the DSGE model proposed by Jodi Galí et al. calibrated for Brazil, using the conclusions of the retrospective analysis for the fiscal parameters. The scenarios produced with the help of the model show that maintaining the sustainability of the public debt is consistent with the monetary policy of inflation targeting. We also conclude that it is possible to reduce interest rates to levels below those prevalent at the end of 2010 simultaneously maintaining the stability of the trajectory of the public debt.
This paper discusses the construction of a Social Accounting Matrix (SAM) for a closed economy - ... more This paper discusses the construction of a Social Accounting Matrix (SAM) for a closed economy - one without the foreign sector, government or capital formation - from a full SAM, to produce a description of the economy that brings forward
the fundamental general equilibrium interaction of domestic demand and supply of commodities and factors.
The methodology which is proposed is based on the redistribution to the entities that appear in the closed SAM of the flows of the full SAM to and from entities which do not appear in the closed SAM. This is done by a sequence of multi-proportional adjustments steps in the spirit of those used in the RAS matrix re-balancing technique. These steps are described in detail here with reference to actual SAMs,
and are designed to retain in the closed SAM as much as possible of the description of original technology present in the original SAM. We apply this approach to construct closed SAMs from ten SAMs found in the literature that display household disaggregation, which are used to test for factor proportionality in these economies using the methodology developed in Balasko and Tourinho (2014). The reason for prioritizing multiple household SAMs in the examples is that representative consumer SAMs trivially display factor proportionality. Four of the cases are discussed here appear as illustrations in Balasko and Tourinho (2014) while the six other cases are discussed in Balasko and Tourinho (2015}.
Whvwlqj wkh h{lvwhqfh ri exeeohv lq wkh Eud}loldq h{fkdqjh udwh Pdogrqdgr Z1 E Wrxulqkr R1 D1 I1 ... more Whvwlqj wkh h{lvwhqfh ri exeeohv lq wkh Eud}loldq h{fkdqjh udwh Pdogrqdgr Z1 E Wrxulqkr R1 D1 I1 E2 Ydool P1 E E Xqlyhuvlgdgh Ihghudo Ioxplqhqvh E2 Lqvwlwxwr gh Shvtxlvd Hfrq÷plfd Dsolfdgd E Ydool)Fdpsrv Frqvxowruld Dsulo 48/ 5335
This paper shows how a dynamic multisector equilibrium model can be formulated to be able to anal... more This paper shows how a dynamic multisector equilibrium model can be formulated to be able to analyze the optimal borrowing policy of a developing country. It also describes how a non-linear programming model with the proposed features was constructed for Brazil, and discusses the optimal solution of a base case scenario for the economy in the next 20 years. The sensitivity analysis emphasizes the response of the model to different interest rates on foreign borrowing, alternative export expansion and imports requirements scenarios, and different hypothesis with respect to future petroleum prices and domestic petroleum production. The main conclusion is that the optimal long run borrowing policy for Brazil is quite sensitive to the expected future interest rates, and may be different from some myopic strategies which are currently being suggested to handle the developing countries' foreign debt problems. The other important conclusion is that in the less favorable scenarios -protectionist foreign environment or higher petroleum prices -it is not optimal to postpone the required domestic adjustments by increased foreign borrowing. The usefulness of the model is not restricted to this set of simulations, since it can be readily adapted to address related issues such as foreign trade, investment and indirect taxation policies. the analysis of the Brazilian situation 1 . The innovations of the model proposed here are a rather detailed representation of the foreign debt dynamics, the liberal use of non-linear relationships in the utility function and in the interest rate calculations, and a novel specification of the terminal utility term, all in the quest of attaining more realism in the intertemporal choice aspects of the problem. Several economy-wide equilibrium models have been built for Brazil in the past, but none stressed the foreign debt problem and the intertemporal choice issues associated with it. Lysy and Taylor [19803 used a Johansen-type model to analyze income distribution issues in the '70s, with a medium-run perspective. Their model incorporates a detailed input-output representation of the productive sector, but does not include any formal utility maximization. Modiano E1983) linked a process representation of the energy system with a detailed econometric model of the rest of the economy, in a model where the market equilibrium for energy goods is found by maximizing consumers' plus producers' surplus. That model is solved forward in time, without dynamic optimization, and does not include a disaggregated representation of the intersectoral flows, as the one here. McCarthy E1983] has built a non-optimizing model for identity-based medium-run policy evaluation which includes the intersectoral flows, and also attempts to account for all the financial flows and budget requirements of the several actors of the economy.
This article presents and extends the first known model in real options, proposed in Tourinho (19... more This article presents and extends the first known model in real options, proposed in Tourinho (1979), and provides thoughts on addressing issues that are still outstanding 30 years later. It discusses the need to
ensure the existence of market equilibrium when applying real options valuation to price assets, once all agents behave as suggested by the solution to the pricing equation. It argues that this can be achieved
by using a stochastic process for the price that is sufficiently general to respond to supply and demand imbalances in the market for the resource. Once the individual decision rules are derived, the parameters of the process must be determined to ensure market equilibrium exists. For reserves of natural resources, this can be done by using a mean-reverting process for the price of the commodity and ensuring that the long-term price to which it reverts equals the trigger price for development of the marginal reserve.
RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilida... more RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilidade social (SAM) para o Brasil, para os anos de 1990 a 2005. A metodologia empregada é uma adaptação e aprimoramento daquela utilizada para a construção da SAM 2003, descrita em Tourinho, Silva e Alves (2006). O objetivo das principais extensões é detalhar o papel do sistema fi nanceiro na transferência de poupança entre entidades da economia e assegurar a consistência intertemporal das tabelas de dados suplementares às contas nacionais. Ademais, a metodologia foi empregada de modo sistemático e uniforme para todos os anos e, portanto, o conjunto de SAMs é consistente para todo o período considerado. Para cada ano, foram obtidas matrizes a preços correntes e a preços do ano anterior, que permitem decompor a variação entre dois anos consecutivos entre aquelas devidas a variações de quantidades e aquelas devidas a variações de preços. O conjunto completo de matrizes é disponibilizado em formato eletrônico no endereço http://www.bndes.gov.br. ABSTRACT This text describes how a set of Social Accounting Matrices (SAM) spanning the period 1990 to 2005 was constructed for Brazil. The methodology employed is an adaptation and improvement of the one used in the construction of the SAM for 2003, described in Tourinho, Silva e Alves (2006). The objective of the main extensions is to detail the role of the fi nancial system in transferring savings between different entities of the economy, and to insure that the tables of supplementary data to the national accounts are consistent from the intertemporal perspective. In addition, the methodology was employed in a systematic and uniform manner for all years, so that the set of SAMs is consistent for the complete period considered. For all years we obtained matrices at current prices and at previous year prices, which allows the decomposition of the variation in two successive years between those that are due to quantity variations and those due to price changes. The complete set of matrices is available in electronic format at the web address: http://www.bndes.gov.br. * Estudo realizado no âmbito do convênio de cooperação técnica entre o BNDES e o Instituto de Pesquisa Econômica Aplicada (Ipea), nos anos de 2006 e 2007. O autor é o único responsável pelos dados, análise e resultados contidos neste documento ou compilados e manipulados no estudo do qual ele é derivado, e sua publicação não implica de modo algum as entidades que o patrocinaram. ** Do BNDES.
Este artigo utiliza um modelo de equilíbrio geral computável (CGE) da economia brasileira para me... more Este artigo utiliza um modelo de equilíbrio geral computável (CGE) da economia brasileira para medir os impactos de alterações recentes na estrutura tributária nacional. Ele descreve o modelo, discute suas características, formulação, construção e calibração, e o usa para analisar três medidas fiscais: a transformação parcial da COFINS em uma contribuição sobre o valor adicionado e a incidência dos PIS/PASEP e da COFINS sobre as importações, ambas aprovadas em 2003, e a extinção da CPMF, que só foi adotada em 2007. A análise de estática comparativa permite identificar detalhadamente os efeitos destas medidas sobre o desempenho econômico agregado e setorial no longo prazo, depois que todos os seus efeitos transitórios se esgotem e que os seus efeitos indiretos sejam absorvidos.
ABSTRACT We examine further evidence regarding factor proportionality in CGE models, extending t... more ABSTRACT We examine further evidence regarding factor proportionality in CGE models, extending the empirical analysis in Balasko and Tourinho (2014). We examine the angles made by the factor demands in seven additional multiple household static models, and find that they confirm the law of proportionality of factor contents. We also test that law using time series aggregate data on factor proportions and factor prices. and find it is consistent with GARP, for both general and homothetic utility functions. We conclude that the analysis here confirms the proportionality of factor contents as an empirical regularity observed in CGEs .
Este artigo apresenta extensões da formulação do Mocam, na parte relativa à modelagem de benefici... more Este artigo apresenta extensões da formulação do Mocam, na parte relativa à modelagem de beneficiamento, e os aprimoramentos que foram feitos na base de dados do modelo. Mostra, também, sua utilização na análise da política de produção de carvão metalúrgico, e no levantamento das curvas de oferta de carvão mineral nacional.
We examine further evidence regarding factor proportionality in CGE models, extending the empiri... more We examine further evidence regarding factor proportionality in CGE models, extending the empirical analysis in Balasko and Tourinho (2014). We examine the angles made by the factor demands in seven additional multiple household static models, and find that they confirm the law of proportionality of factor contents. We also test that law using time series aggregate data on factor proportions and factor prices. and find it is consistent with GARP, for both general and homothetic utility functions. We conclude that the analysis here confirms the proportionality of factor contents as an empirical regularity observed in CGEs .
Closed SAMs for 11 countries discussed in Balasko & Tourinho (2015)
RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilida... more RESUMO Este texto descreve como foi construído um conjunto consistente de matrizes de contabilidade social (SAM) para o Brasil, para os anos de 1990 a 2005. A metodologia empregada é uma adaptação e aprimoramento daquela utilizada para a construção da SAM 2003, descrita em Tourinho, Silva e Alves (2006). O objetivo das principais extensões é detalhar o papel do sistema fi nanceiro na transferência de poupança entre entidades da economia e assegurar a consistência intertemporal das tabelas de dados suplementares às contas nacionais. Ademais, a metodologia foi empregada de modo sistemático e uniforme para todos os anos e, portanto, o conjunto de SAMs é consistente para todo o período considerado. Para cada ano, foram obtidas matrizes a preços correntes e a preços do ano anterior, que permitem decompor a variação entre dois anos consecutivos entre aquelas devidas a variações de quantidades e aquelas devidas a variações de preços. O conjunto completo de matrizes é disponibilizado em formato eletrônico no endereço http://www.bndes.gov.br. ABSTRACT This text describes how a set of Social Accounting Matrices (SAM) spanning the period 1990 to 2005 was constructed for Brazil. The methodology employed is an adaptation and improvement of the one used in the construction of the SAM for 2003, described in Tourinho, Silva e Alves (2006). The objective of the main extensions is to detail the role of the fi nancial system in transferring savings between different entities of the economy, and to insure that the tables of supplementary data to the national accounts are consistent from the intertemporal perspective. In addition, the methodology was employed in a systematic and uniform manner for all years, so that the set of SAMs is consistent for the complete period considered. For all years we obtained matrices at current prices and at previous year prices, which allows the decomposition of the variation in two successive years between those that are due to quantity variations and those due to price changes. The complete set of matrices is available in electronic format at the web address: http://www.bndes.gov.br. * Estudo realizado no âmbito do convênio de cooperação técnica entre o BNDES e o Instituto de Pesquisa Econômica Aplicada (Ipea), nos anos de 2006 e 2007. O autor é o único responsável pelos dados, análise e resultados contidos neste documento ou compilados e manipulados no estudo do qual ele é derivado, e sua publicação não implica de modo algum as entidades que o patrocinaram. ** Do BNDES.
Economic Theory Bulletin, 2014
The factor contents of different consumers' consumption bundles computed from a country's CGE mod... more The factor contents of different consumers' consumption bundles computed from a country's CGE model with multiple households are seen to be proportional or almost proportional in the case of four different countries, namely USA, Brazil, Spain and Ivory Coast. These countries have been chosen because of the existence for these countries of CGE models with multiple households (by opposition to a representative consumer) and good quality data. This study has been limited to these four countries because we thought that the implications for CGE modeling of our findings should not delay any further their publication even though further studies are obviously needed. Taken as a law, we show that proportionality of factor contents at equilibrium for all endowment vectors and fixed preferences implies that households' implicit preferences for factor contents are identical and homothetic. Another consequence is that factor and goods' equilibrium prices are unique and depend only on total factor resources, not on the distribution of these factors between households. Factor proportionality may therefore be at the root of the puzzling rigidity and uniqueness of equilibrium prices of goods and factors observed in CGE models with multiple households.
SSRN Electronic Journal, 2000
EconomiA, 2013
This paper tests sustainability of Brazilian public debt in the period 1991 to 2009, and analyzes... more This paper tests sustainability of Brazilian public debt in the period 1991 to 2009, and analyzes implications of requiring that the Brazilian fiscal policy be primarily committed to the sustainability of the public debt. The retrospective analysis utilizes a set of unit root tests and avoids some of the criticism leveled at previous studies by using data which has not previously been used for this purpose, and concludes that the public debt was sustainable in the period we consider. The prospective analysis is based on the DSGE model proposed by Jodi Galí et al. calibrated for Brazil, using the conclusions of the retrospective analysis for the fiscal parameters. The scenarios produced with the help of the model show that maintaining the sustainability of the public debt is consistent with the monetary policy of inflation targeting. We also conclude that it is possible to reduce interest rates to levels below those prevalent at the end of 2010 simultaneously maintaining the stability of the trajectory of the public debt.
This paper discusses the construction of a Social Accounting Matrix (SAM) for a closed economy - ... more This paper discusses the construction of a Social Accounting Matrix (SAM) for a closed economy - one without the foreign sector, government or capital formation - from a full SAM, to produce a description of the economy that brings forward
the fundamental general equilibrium interaction of domestic demand and supply of commodities and factors.
The methodology which is proposed is based on the redistribution to the entities that appear in the closed SAM of the flows of the full SAM to and from entities which do not appear in the closed SAM. This is done by a sequence of multi-proportional adjustments steps in the spirit of those used in the RAS matrix re-balancing technique. These steps are described in detail here with reference to actual SAMs,
and are designed to retain in the closed SAM as much as possible of the description of original technology present in the original SAM. We apply this approach to construct closed SAMs from ten SAMs found in the literature that display household disaggregation, which are used to test for factor proportionality in these economies using the methodology developed in Balasko and Tourinho (2014). The reason for prioritizing multiple household SAMs in the examples is that representative consumer SAMs trivially display factor proportionality. Four of the cases are discussed here appear as illustrations in Balasko and Tourinho (2014) while the six other cases are discussed in Balasko and Tourinho (2015}.
Whvwlqj wkh h{lvwhqfh ri exeeohv lq wkh Eud}loldq h{fkdqjh udwh Pdogrqdgr Z1 E Wrxulqkr R1 D1 I1 ... more Whvwlqj wkh h{lvwhqfh ri exeeohv lq wkh Eud}loldq h{fkdqjh udwh Pdogrqdgr Z1 E Wrxulqkr R1 D1 I1 E2 Ydool P1 E E Xqlyhuvlgdgh Ihghudo Ioxplqhqvh E2 Lqvwlwxwr gh Shvtxlvd Hfrq÷plfd Dsolfdgd E Ydool)Fdpsrv Frqvxowruld Dsulo 48/ 5335
This paper shows how a dynamic multisector equilibrium model can be formulated to be able to anal... more This paper shows how a dynamic multisector equilibrium model can be formulated to be able to analyze the optimal borrowing policy of a developing country. It also describes how a non-linear programming model with the proposed features was constructed for Brazil, and discusses the optimal solution of a base case scenario for the economy in the next 20 years. The sensitivity analysis emphasizes the response of the model to different interest rates on foreign borrowing, alternative export expansion and imports requirements scenarios, and different hypothesis with respect to future petroleum prices and domestic petroleum production. The main conclusion is that the optimal long run borrowing policy for Brazil is quite sensitive to the expected future interest rates, and may be different from some myopic strategies which are currently being suggested to handle the developing countries' foreign debt problems. The other important conclusion is that in the less favorable scenarios -protectionist foreign environment or higher petroleum prices -it is not optimal to postpone the required domestic adjustments by increased foreign borrowing. The usefulness of the model is not restricted to this set of simulations, since it can be readily adapted to address related issues such as foreign trade, investment and indirect taxation policies. the analysis of the Brazilian situation 1 . The innovations of the model proposed here are a rather detailed representation of the foreign debt dynamics, the liberal use of non-linear relationships in the utility function and in the interest rate calculations, and a novel specification of the terminal utility term, all in the quest of attaining more realism in the intertemporal choice aspects of the problem. Several economy-wide equilibrium models have been built for Brazil in the past, but none stressed the foreign debt problem and the intertemporal choice issues associated with it. Lysy and Taylor [19803 used a Johansen-type model to analyze income distribution issues in the '70s, with a medium-run perspective. Their model incorporates a detailed input-output representation of the productive sector, but does not include any formal utility maximization. Modiano E1983) linked a process representation of the energy system with a detailed econometric model of the rest of the economy, in a model where the market equilibrium for energy goods is found by maximizing consumers' plus producers' surplus. That model is solved forward in time, without dynamic optimization, and does not include a disaggregated representation of the intersectoral flows, as the one here. McCarthy E1983] has built a non-optimizing model for identity-based medium-run policy evaluation which includes the intersectoral flows, and also attempts to account for all the financial flows and budget requirements of the several actors of the economy.
This article presents and extends the first known model in real options, proposed in Tourinho (19... more This article presents and extends the first known model in real options, proposed in Tourinho (1979), and provides thoughts on addressing issues that are still outstanding 30 years later. It discusses the need to
ensure the existence of market equilibrium when applying real options valuation to price assets, once all agents behave as suggested by the solution to the pricing equation. It argues that this can be achieved
by using a stochastic process for the price that is sufficiently general to respond to supply and demand imbalances in the market for the resource. Once the individual decision rules are derived, the parameters of the process must be determined to ensure market equilibrium exists. For reserves of natural resources, this can be done by using a mean-reverting process for the price of the commodity and ensuring that the long-term price to which it reverts equals the trigger price for development of the marginal reserve.