nep-cmp New Economics Papers
on Computational Economics
Issue of 2004‒12‒12
29 papers chosen by
Stan Miles
York University

  1. Risk Properties of AMU denominated Asian Bonds By Junko Shimizu; Eiji Ogawa
  2. Agent-Based Models and Human Subject Experiments By John Duffy
  3. The market for cocoa powder By Henk. L.M. Kox
  4. Inflation and Output Dynamics with State-Dependent Frequency of Price Changes By Kolver Hernandez
  5. State-Dependent Nominal Rigidities & Disinflation Programs in Small Open Economies By Kolver Hernandez
  6. Microsimulating the Effects of Household Energy Price Changes in Spain By Xavier Labandeira; Jose M. Labeaga; Miguel Rodriguez
  7. TECHNOLOGICAL PROGRESS, INCOME DISTRIBUTION AND CAPACITY UTILISATION: A COMPUTER SIMULATION-BASED ANALYSIS By Fabio Hideki Ono; José Luis Oreiro
  8. An exact algorithm for the multiple-choice multidimensional knapsack problem By Mhand Hifi; Slim Sadfi; Abdelkader Sbihi
  9. The effect of different needs, decisionmaking processes and network-structures on investor behavior and stock market dynamics: a simulation approach Abstract: Striking investor and stock market behaviour have been recurrent items in the worldwide press for the recent past. Crashes and hypes like the Internet bubble are often hard to explain using existing finance frameworks. Therefore, the authors provide a complementing multitheoretical framework that is built on existing finance research to describe and explain investors behaviour and stock market dynamics. This framework is built on three main components: needs, decision making theory, and (social) network effects. This framework will be used to build a future simulation model of investor behaviour and to generate stock market dynamics. A brief outline of the design of these simulation experiments will be given. By Hoffmann, A.O.I.; Jager, W.
  10. Equilibrium in a dynamic limit order market By ronald l goettler; christine a parlour; uday rajan
  11. A multilevel search algorithm for the maximization of submodular functions By Goldengorin, B.; Ghosh, D.
  12. Shaking the Tree: An Agency Theoretic Model of Asset Pricing By Jamsheed Shorish; Stephen Spear
  13. Would MERCOSUR’s Exports to the EU Profit from Trade Liberalisation? Some General Insights and a Simulation Study for Argentina By Felicitas Nowak-Lehmann D.; Inmaculada Martínez Zarzoso
  14. Basel and Procyclicality: A comparison of the Standardised and IRB Approaches to an Improved Credit Risk Method By Miguel Segoviano; Charles Goodhart
  15. EMU enlargement, inflation and adjustment of tradable goods prices: What to expect? By Philipp Maier
  16. The Economic Effects of a Russia-EU FTA By Miriam Manchin
  17. Auctioning incentive contracts: application to welfare-to-work programs By Sander Onderstal; Pierre Koning
  18. Admission, Tuition, and Financial Aid Policies in the Market for Higher Education By Dennis Epple; Richard Romano; Holger Sieg
  19. Estimating the Effects of Private School Vouchers in Multi-District Economies By Maria Ferreyra
  20. Life-Cyle Fertility Behavior and Human Capital Accumulation By George-Levi Gayle; Robert Miller
  21. Competition Among Hospitals By Martin Gaynor; William Vogt
  22. How much depreciation of the US dollar for sustainability of the current accounts? By Eiji Ogawa; Takeshi Kudo
  23. GEM-PIA: A Real-Financial General Equilibrium Model for Poverty Impact Analysis — Technical Description By Manfred Wiebelt
  24. Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors By Xibin Zhang; Maxwell L. King
  25. Banning banking in EU emissions trading? By Schleich, Joachim; Ehrhart, Karl-Martin; Hoppe, Christian; Seifert, Stefan
  26. Strip generation algorithms for constrained two-dimensional two-staged cutting problems : part II By Mhand Hifi; Rym M'Hallah
  27. Has the ECB been wrong ? A lesson from counterfactual simulations By Jérôme Héricourt
  28. A pratical optimal quarantine measure By Tom Kompas; Tuong Nhu Che
  29. A Simple Decentralized Institution for Learning Competitive Equilibrium By Sean Crockett; Stephen Spear; Shyam Sunder

  1. By: Junko Shimizu; Eiji Ogawa
    Abstract: This paper is to investigate risk properties of AMU (Asian Monetary Unit) denominated Asian bonds by comparing them with those of local currency denominated bonds issued in East Asian countries. We suppose the AMU as an Asian currency unit which is formed as a currency basket of East Asian currencies. In this paper, we simulate a currency basket composed by ASEAN5 countries, Japan, China, Korea, and Hong Kong. Our results indicate that the AMU denominated bonds can lower the risks for both US and Japanese investor. It is because the portfolio effects should reduce the foreign exchange risk. These results depend on the currency system in the East Asian countries.
    Keywords: Asian bond, a currency basket, AMU(Asian Monetary Unit), foreign exchange risk
    JEL: F31 F33 G15
    Date: 2004–11
    URL: http://d.repec.org/n?u=RePEc:hst:hstdps:d04-45&r=cmp
  2. By: John Duffy (University of Pittsburgh)
    Abstract: This paper considers the relationship between agent-based modeling and economic decision-making experiments with human subjects. Both approaches exploit controlled ``laboratory'' conditions as a means of isolating the sources of aggregate phenomena. Research findings from laboratory studies of human subject behavior have inspired studies using artificial agents in ``computational laboratories'' and vice versa. In certain cases, both methods have been used to examine the same phenomenon. The focus of this paper is on the empirical validity of agent-based modeling approaches in terms of explaining data from human subject experiments. We also point out synergies between the two methodologies that have been exploited as well as promising new possibilities.
    Keywords: agent-based models, human subject experiments, zero- intelligence agents, learning, evolutionary algorithms
    JEL: C8 C9
    Date: 2004–12–09
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpco:0412001&r=cmp
  3. By: Henk. L.M. Kox
    Abstract: The paper analyses the forces that shape demand and supply processes in the market for cocoa powder. A brief statistical summary is given of the main trends in international demand and production, and the spatial shifts in cocoa processing. Ample attention is given to the role of technology substitution and price factors in production decisions. The paper separately analyses the role of price, income levels and government regulation in the demand for cocoa powder. In the final part of the paper, all preceding elements are brought together in an integrated simulation model of the cocoa processing industry, showing the interactions between the market for cocoa powder and other elements of the cocoa industry (cocoa, cocoa butter, cocoa liquor, chocolate). Empirical evidence is presented with regard to main parameters of the model.
    Keywords: cocoa, cocoa powder, industry study, simulation model, intermediate products, government regulation
    JEL: D24 F14 L11 L19 L66
    Date: 2004–12–06
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpio:0412002&r=cmp
  4. By: Kolver Hernandez (Boston College)
    Abstract: This paper extends Calvo's (1983) time-dependent pricing model to incorporate state-dependent features in pricing, while preserving tractability. The pricing scheme delivers a generalized New Keynesian Phillips curve with an explicit role for the frequency of price revisions. The novel feature shows that inflation responds to movements of relative prices and to endogenous fluctuations in the average frequency of price adjustment. The model offers, therefore, a microfounded rationale for systematic deviations in the inflation- marginal cost relation predicted by the new Keynesian Phillips curve. As a byproduct, the model determines endogenously the short-run slope of the Phillips curve. Simulations predict weaker responses of output and stronger responses of inflation to technology, preference and monetary shocks than those of a close time-dependent model.
    JEL: E
    Date: 2004–11–28
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpma:0411020&r=cmp
  5. By: Kolver Hernandez (Boston College)
    Abstract: Empirical regularities from high-inflation economies, especially in Latin America, suggest that exchange rate-based (ERB) disinflations and money-based (MB) disinflations induce sharply different dynamics in consumption and GDP. I study the role of nominal rigidities to explain business cycle fluctuations associated to ERB and MB disinflations within a single framework. By building on Calvo's (1983) pricing theory, this paper introduces elements of state-dependent pricing at the firm level into an otherwise standard small open economy model. This new feature allows for endogenous variations in the aggregate degree of nominal rigidities. The model contains as a special case a time- dependent pricing model discussed in the literature. Nonlinear simulations show that the model with state-dependent nominal rigidities generates a dynamic behavior that is more consistent with the empirical evidence, compared to the model with time-dependent pricing.
    JEL: E
    Date: 2004–11–28
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpma:0411021&r=cmp
  6. By: Xavier Labandeira (rede & Department of Applied Economics. University of Vigo); Jose M. Labeaga (Department of Economic Analysis 2. UNED); Miguel Rodriguez (rede & Department of Applied Economics. University of Vigo)
    Abstract: In this paper we present a microsimulation model to calculate the effects of hypothetical ex-ante price changes in the Spanish energy domain. The model rests on our prior estimation of a demand system which is especially designed for simultaneous analysis of different energy goods and uses household data from 1973 to 1995. Our objective is to obtain in-depth information on the behavioural responses by different types of households, which will allow us to determine the welfare effects of such price changes, their distribution across society and the environmental consequences within the residential sector. Although the model used is able to reproduce any type of price change, we illustrate the paper with an actual simulation of the effects of energy taxes that resemble a 50 Euro tax on CO2 (carbon dioxide) emissions. The results show a significant response by households, sizeable emission reductions, tax revenues, welfare changes and distributional effects. The simulated policy can thus be considered a feasible option to tackle some of the current and severe inefficiencies in Spanish energy and environmental domains.
    Keywords: Energy, taxation, demand, Spain; CO2
    JEL: D6 D7 H
    Date: 2004–12–02
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwppe:0412001&r=cmp
  7. By: Fabio Hideki Ono; José Luis Oreiro
    Abstract: The paper presents a post-keynesian growth model in which (i) the mark-up rate varies in the long-term due to a misalignment between the actual rate and the 'desired' profit rate; and (ii) the capital-output ratio is not necessarily constant, on the contrary it may shift as a result of the technological progress, which according the Harrod's typology can be neutral, capital saving or capital intensive. We demonstrate that the economic stability is only reached if the technological progress is neutral or capital intensive and the investiment is susceptible to fluctuations in the mark-up rate. After undergoing computer simulations, we noticed that an endogenous transition from a wage-led to a profit-led accumulation regime is feasible. Furthermore, we identified a tendency to the stabilization of the profit rate, conditioned to a high savings out of profits ratio.
    JEL: E12 O49 C62
    Date: 2004
    URL: http://d.repec.org/n?u=RePEc:anp:en2004:085&r=cmp
  8. By: Mhand Hifi (LaRIA et CERMSEM); Slim Sadfi (LaRIA et CERMSEM); Abdelkader Sbihi (CERMSEM)
    Abstract: In this paper, we propose an optimal algorithm for the Multiple-choice Multidimensional Knapsack Problem MMKP. The main principle of the approach is twofold : (i) to generate an initial solution, and (ii) at different levels of the tree search to determine a new upper bound used with a best-first search strategy. The developed method was able to optimally solve the MMKP. The performance of the exact algorithm is evaluated on a set of small and medium instances. This algorithm is parallelizable and it is one of its important feature.
    Keywords: Combinatorial optimization, branch and bound, sequential algorithm, Knapsack problem
    JEL: C44 C61 C63
    Date: 2004–03
    URL: http://d.repec.org/n?u=RePEc:mse:wpsorb:b04024&r=cmp
  9. By: Hoffmann, A.O.I.; Jager, W. (Groningen University)
    Date: 2004
    URL: http://d.repec.org/n?u=RePEc:dgr:rugsom:04b25&r=cmp
  10. By: ronald l goettler; christine a parlour; uday rajan
    Abstract: We provide an algorithm for solving for equilibrium in a dynamic limit order market. Our model relaxes many of the restrictive assumptions in the prior literature, leading to a more realistic framework for policy experiments on market design. We formulate a limit order market as a stochastic sequential game and use a simulation technique based on Pakes and McGuire (2001) to find a stationary equilibrium. Given the stationary equilibrium, we generate artificial time series and perform comparative dynamics. We explicitly determine investor welfare in our numerical solution. We find that the effective spread is {\it negatively} correlated with transactions costs and uncorrelated with welfare. As one policy experiment, we evaluate the effect of changing tick size.
    Date: 2003–10
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:-1344101852&r=cmp
  11. By: Goldengorin, B.; Ghosh, D. (Groningen University)
    Abstract: Maximization of submodular functions on a ground set is a NP-hard combinatorial optimization problem. Data correcting algorithms are among the several algorithms suggested for solving this problem exactly and approximately. From the point of view of Hasse diagrams data correcting algorithms use information belonging to only one level in the Hasse diagram adjacent to the level of the solution at hand. In this paper, we propose a data correcting approach that looks at multiple levels of the Hasse diagram and hence makes the data correcting algorithm more efficient. Our computations with quadratic cost partition problems show that this multilevel search effects a eight to ten fold reduction in computation times, so that some of the dense quadratic partition problem instances of size 500, currently considered as some of the most difficult problems and far beyond the capabilities of current exact methods, are solvable on a personal computer working at 300 MHz within ten minutes.
    Keywords: Data Correcting, Hasse Diagram, Multilevel Search, Quadratic Cost Partition Problem
    Date: 2004
    URL: http://d.repec.org/n?u=RePEc:dgr:rugsom:04a20&r=cmp
  12. By: Jamsheed Shorish; Stephen Spear
    Abstract: In this paper, we develop an agency-theoretic extension of the Lucas asset pricing model and examine the resulting asset price dynamics. In the model, an agent of the firm can expand or contract the firm's output and dividend payments in response to exogenous shocks, although expansions become increasingly costly for the agent to maintain. Analysis of numerical simulations shows that the time-series of equilibrium asset prices exhibits both significant time-varying conditional heteroskedasticity, and longer memory persistence.
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:-1602558152&r=cmp
  13. By: Felicitas Nowak-Lehmann D. (Department of Economics, Uiversity of Goettingen); Inmaculada Martínez Zarzoso
    Abstract: In this study, MERCOSUR\'s past exports to the EU under the protectionist environment of the period between 1988 and 1996 are examined and an attempt is made to determine MERCOSUR\'s exports\' growth potential in a liberalised EU market. A sectoral study is considered indispensable since tariff and non-tariff trade barriers vary strongly among sectors. The influence of the macroeconomic environment on MERCOSUR\'s exports is examined in a dynamic panel analysis. A simulation study based on a quite comprehensive evaluation of EU trade barriers is performed for the Argentinean case in order to evaluate the impact of EU trade liberalisation.
    Keywords: MERCOSUR-EU trade trade barriers sectoral study panel data
    JEL: F13 F14 C23
    Date: 2003–05–01
    URL: http://d.repec.org/n?u=RePEc:got:iaidps:092&r=cmp
  14. By: Miguel Segoviano; Charles Goodhart
    Abstract: The regulation of bank capital in the form of capital adequacy requirements is itself inherently procyclical; it bites in downturns, but fails to restrain in booms. The more ¶risk-sensitive¶ the regulation, the greater the scope for pro-cyclicality to become a problem, particularly in view of the changing nature of macroeconomic cycles. The simulation exercises performed in this paper suggest that the new Basel II accord, which deliberately aimed at significantly increasing the risk sensitiveness of capital requirements, may in fact considerably accentuate the procyclicality of the regulatory system. Since the experience in the past, also discussed in this paper, suggests that a required hoisting of capital ratios in downturns may be brought about by cutting back lending rather than raising capital, the new capital accord may therefore lead to an amplification of business cycle fluctuations, especially in downturns.
    Date: 2004–11
    URL: http://d.repec.org/n?u=RePEc:fmg:fmgdps:dp524&r=cmp
  15. By: Philipp Maier
    Abstract: Inflation differentials resulting from EMU enlargement have so far mostly been discussed within the Balassa-Samuelson framework, i.e. resulting from inflation in nontradable goods. We analyse the inflationary consequences of convergenceof tradable goods' prices. Using disaggregated price level data, simulations show that inflation in the new EU member states might on average be 1.5-3.5 percentage points higher than in the current euro area (with considerable variation between the new EU members). These inflationary effects even exceed most simulations of the Balassa-Samuelson effect. The `burden of adjustment' rests mainly on the shoulders of the new EU members if the European Central Bank sets monetary policy in response to inflation developments in the entire currency area. In contrast the impact of EMU enlargement on the current euro area is limited, due to the small economic weight of the new EU member states.
    Keywords: Price level differences; convergence; EMU enlargement
    JEL: E30 E31 E50 F40
    Date: 2004–09
    URL: http://d.repec.org/n?u=RePEc:dnb:dnbwpp:010&r=cmp
  16. By: Miriam Manchin (Faculty of Economics, Erasmus Universiteit Rotterdam)
    Abstract: The paper examines the effects of Russia joining the WTO taking into account energy sector reform and the impact of a future Free Trade Agreement (FTA) between the enlarged EU and Russia. The paper uses Computable General Equilibrium Modelling techniques for quantifying the different possible scenarios. The scenarios include a standard assessment of the removal of tariff barriers including agriculture, services and removal of non-tariffbarriers. The results suggest that a potential FTA would be beneficial for Russia only if it would incorporate not only reduction in industrial tariffs but also in agriculture and liberalisation in services.
    Keywords: EU-Russia Free Trade Agreement; WTO accession; trade liberalization; CGE modeling
    JEL: F13 F15
    Date: 2004–11–30
    URL: http://d.repec.org/n?u=RePEc:dgr:uvatin:20040131&r=cmp
  17. By: Sander Onderstal; Pierre Koning
    Abstract: This paper applies the theory of auctioning incentive contracts to welfare-to-work programs. In several countries, the government procures welfare-to-work projects to employment service providers. In doing so, the government trades off adverse selection (the winning provider is not the most efficient one) and moral hazard (the winning provider shirks in his effort to reintegrate unemployed people). <P> We compare three simple auctions with the socially optimal mechanism and show that two of these auctions approximate the optimal mechanism if the number of providers is large. <P> Using simulations, we observe that competition between three bidders is already sufficient for the outcome of these auctions to reach 95% of the optimal level of social welfare.
    Keywords: adverse selection; auctions; incentive contracts; moral hazard; welfare-to-work programs
    JEL: D44 D82 J68
    Date: 2004–08
    URL: http://d.repec.org/n?u=RePEc:cpb:discus:38&r=cmp
  18. By: Dennis Epple; Richard Romano; Holger Sieg
    Abstract: In this paper, we present a general equilibrium model of the market for higher education. Our model simultaneously predicts student selection into institutions, financial aid, and educational outcomes. We show that the model gives rise to a strict hierarchy of colleges that differ by the educational quality provided to the students. We develop an efficient algorithm to compute equilibria for these types of models. To evaluate the model, we develop an estimation strategy that accounts for the fact that important variables are likely to be measured with error. We estimate the structural parameters using data collected by the National Center for Educational Statistics and aggregate data from Peterson's and NSF. Our empirical findings suggest that our model explains observed admission and price policies reasonably well. The findings also suggest that the market for higher education is quite competitive.
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:55766133&r=cmp
  19. By: Maria Ferreyra
    Abstract: ---------- This paper estimates a general equilibrium model of school quality and household residential and school choice for economies with multiple public school districts and private (religious and non-sectarian) schools. The estimates are used to simulate two large-scale private school voucher programs in the Chicago metropolitan area: universal vouchers, and vouchers restricted to non-sectarian schools. In the simulations, both programs increase private school enrollment, and affect household residential choice. Under universal vouchers enrollment grows at all private schools, yet under non-sectarian vouchers private school enrollment expands less, and religious school enrollment declines with the voucher level. Fewer households benefit from non-sectarian vouchers. ------------
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:1568856149&r=cmp
  20. By: George-Levi Gayle; Robert Miller
    Abstract: This paper develops and implements a semiparametric estimator for investigating, with panel data, the importance of human capital accumulation, non-separable preferences of females and child care costs on females life-cycle fertility and labor supply behaviors. It presents a model in which the agents' expectations are correlated with their future choices and provides a set of conditions under which statistical inferences are possible from a short panel. Under the assumption that observed allocations are Pareto optimal, a dynamic model of female labor supply, labor force participation and fertility decision is estimated. In that model, experience on the job raises future wages, time spent nurturing children affects utility, while time spent off the job in the past directly affects current utility(or, indirectly through productivity in the non-market sector). This paper then uses the estimates from the model to conduct different policy simulations which shows that human capital accumulation is the most important determinant of life-cycle fertility behavior.
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:1764912820&r=cmp
  21. By: Martin Gaynor; William Vogt
    Abstract: Our objective is to determine the effect of ownership type (for-profit, not-for-profit, government) on firm conduct in hospital markets. Secondary objectives include estimating hospital demand systems useful for market definition and merger simulation. To this end, we estimate a structural model of demand and pricing in the short term hospital industry in California, and then use the estimates to simulate the effect of a merger. Demand is modeled at the level of individual consumers using discrete choice techniques and micro data on individuals. Price in the demand equation is endogenous, and we use recently developed instrumental variables techniques to correct for this. We allow the behavior of for-profit and not-for-profit firms to differ, modeling these differences structurally following the relevant theory literature. We find that California hospitals in 1995 faced a downward-sloping demand for their products, with an average price elasticity of demand of -5.67. Not-for-profit hospitals face less elastic demand and have lower marginal costs. Their prices are lower, but markups are higher than those of for-profits. We simulate the effects of the 1997 merger of two hospital chains. In unconcentrated markets such as Los Angeles and San Diego, the merger has virtually no effect on prices. However, in San Luis Obispo County, where the merger creates a near monopoly, prices rise by up to 58%, and the predicted price increase would not be substantially smaller were the chains to be not-for-profit.
    Date: 2002–11
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:1465316569&r=cmp
  22. By: Eiji Ogawa; Takeshi Kudo
    Abstract: In this paper, we conduct a simulation analysis to investigate how much depreciation of the US dollar is needed to reduce the current account deficits in the near future. We use some VAR models to estimate relationships between the exchange rate of the US dollar and the current accounts in the United States. We conclude that some scenarios of the US dollar depreciation would reduce the current account deficits to a level under 2% of GDP in the next several years. The results are regarded as robust for each of the scenarios thought they depend on our supposed VAR models.
    Keywords: US dollar depreciation, Current account sustainability, Investment-saving balance, International trade flows, Vector Autoregression (VAR)
    JEL: F32 F31 F47
    Date: 2004–11
    URL: http://d.repec.org/n?u=RePEc:hst:hstdps:d04-44&r=cmp
  23. By: Manfred Wiebelt
    Abstract: This paper provides a technical description of GEM-PIA, a recursive-dynamic computable General Equilibrium Model for Poverty Impact Analysis in individual countries. The model combines the optimizing behavior of CGE models with the asset portfolio behavior of macromodels, thereby addressing the role of financial markets. Moreover, the model is linked to household survey information, thereby capturing the socio-economic characteristics of individual households. GEM-PIA can be used for counterfactual analysis of external shocks as well as various policies at the macro and meso level, and to assess their allocational and distributional consequences. The model is calibrated to Bolivian data and its working is illustrated in two scenarios: A permanent rise of gas exports and a temporary devaluation.
    Keywords: Computable General Equilibrium Model, Portfolio Choice, Income Distribution, Poverty, Bolivia
    JEL: C68 G11 O1 R23
    Date: 2004–10
    URL: http://d.repec.org/n?u=RePEc:kie:kieliw:1230&r=cmp
  24. By: Xibin Zhang; Maxwell L. King
    Abstract: This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the marginal density of asset returns has heavytails. To test for the significance of the Box-Cox transformation parameter, we present the likelihood ratio statistic, in which likelihood functions can be approximated using a particle filter and a Monte Carlo kernel likelihood. When applying the heavy-tailed asymmetric Box-Cox SV model and the proposed sampling algorithm to continuously compounded daily returns of the Australian stock index, we find significant empirical evidence supporting the Box-Cox transformation of the squared volatility against the alternative model involving a logarithmic transformation.
    Keywords: Leverage effect; Likelihood ratio test; Markov Chain Monte Carlo; Monte Carlo kernel likelihood; Particle filter
    JEL: C12 C15 C52
    Date: 2004–11
    URL: http://d.repec.org/n?u=RePEc:msh:ebswps:2004-26&r=cmp
  25. By: Schleich, Joachim (Fraunhofer Institute for Systems and Innovations Research, Karlsruhe); Ehrhart, Karl-Martin (Universitaet Karlsruhe); Hoppe, Christian (Universitaet Karlsruhe); Seifert, Stefan (Universitaet Karlsruhe, IWM)
    Abstract: Admitting banking in emissions trading systems reduces overall compliance costs by allowing for inter-temporal flexibility: cost savings can be traded over time. However, unless individual EU Member States (MS) decide differently, the transfer of unused allowances from the period of 2005–2007 into the first commitment period under the Kyoto Protocol, i.e. 2008–2012, will be prohib-ited. In this paper, we first explore the implications of such a ban on banking when initial emission targets are lenient. This analysis is based on a simulation which was recently carried out in Germany with companies and with a student control group. The findings suggest that an EU-wide ban on banking would lead to efficiency losses in addition to those losses which arise from the lack of inter-temporal flexibility. Second, we use simple game-theoretic considerations to argue that, under reasonable assumptions, such an EU-wide ban on banking will be the equilibrium outcome. Thus, to avoid a possible prisoners’ dilemma, MS should co-ordinate their banking decisions.
    Date: 2004–12–03
    URL: http://d.repec.org/n?u=RePEc:xrs:sfbmaa:04-60&r=cmp
  26. By: Mhand Hifi (LaRIA et CERMSEM); Rym M'Hallah (Kuwait University)
    Abstract: We study the two-staged fixed orientation constrained two-dimensional two-staged cutting stock problem. We solve the problem using several approximate algorithms, that are mainly based upon a strip generation procedure (HESGA) already developed in ([13)]. We evaluate the performance of these algorithms on instances extracted from the literature. The obtained results are compared to the results reached by the Cplex solver.
    Keywords: Approximate algorithms, cutting problems, dynamic programming, single constrained knapsack problems, optimization
    JEL: C44 C61 C63
    Date: 2004–11
    URL: http://d.repec.org/n?u=RePEc:mse:wpsorb:b04095&r=cmp
  27. By: Jérôme Héricourt (TEAM)
    Abstract: How did European Central Bank (ECB) fit the disparate macroeconomic needs of euro zone members ? The purpose of this paper consists in providing quantitative answers to this question using an original methodology. Using simple specifications of monetary transmission mechanisms, we simulate the national evolutions of GDP growth and inflation since 1999, in a fictitious context where the euro was never launched. Our major result is that the ECB did a far better stabilisation job for euro zone countries than national central banks would have done.
    Keywords: Taylor rules, monetary policy transmission, alternative world, simulations, stabilisation
    JEL: E52 E58 F47
    Date: 2004–01
    URL: http://d.repec.org/n?u=RePEc:mse:wpsorb:bla04004&r=cmp
  28. By: Tom Kompas; Tuong Nhu Che
    Abstract: Quarantine programs have generally provided an essential protection against the importation of exotic diseases, thus protecting both consumers and producers from major health concerns and pests and diseases that can potentially destroy local agricultural production. However, quarantine measures also impose costs in the form of expenditures on the quarantine program itself and the welfare losses that are associated with such trade restrictions. This paper develops a simple model to determine the optimal level of quarantine activity for imported livestock by minimizing the present-value of the direct costs of the disease, the cost of the quarantine program and any resulting welfare losses. The result defines a practical measure for the optimal number of infected livestock that may potentially enter a region in a given year. The model is then applied to the case of Ovine Johne’s Disease and its potential entry to the sheep industry in Western Australia. All key parameter values are subject to random variation and the optimal solution and sensitivity measures are obtained with a genetic algorithm.
    JEL: Q17 Q28 R59
    Date: 2003
    URL: http://d.repec.org/n?u=RePEc:idc:wpaper:idec03-1&r=cmp
  29. By: Sean Crockett; Stephen Spear; Shyam Sunder
    Abstract: The epsilon-intelligent competitive equilibrium algorithm is a decentralized alternative to Walras' tatonnement procedure for markets to arrive at competitive equilibrium. We build on the Gode-Spear-Sunder zero-intelligent algorithm in which random generation of bids and offers from agents' welfare-enhancing opportunity sets generates Pareto optimal allocations in a pure exchange economy. We permit agents to know if they are subsidizing others at such allocations, and to veto such allocations, restricting the subsequent iterations of the algorithm only to those trades that are both Pareto-improving and provide strictly greater wealth, and ultimately utility, for such agents. In this simple institution actions of minimally intelligent agents based on local information can lead the market to approximate competitive equilibrium in a larger set of economies than the tatonnement process would allow. This helps address one of the major shortcomings of the Arrow-Debreu-McKenzie model with respect to the instability of tatonnement in an open set of economies. It also addresses the behavioral critique of mathematically derived equilibria for the inability of cognitively-limited humans to maximize. The proof of convergence of the algorithm presented here also provides a way of showing the existence of competitive equilibrium for monotonic, convex exchange economies with heterogeneous agents and many goods without application of a fixed-point theorem.
    Date: 2002–12
    URL: http://d.repec.org/n?u=RePEc:cmu:gsiawp:-2052381325&r=cmp

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General information on the NEP project can be found at http://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.