nep-cmp New Economics Papers
on Computational Economics
Issue of 2005‒03‒20
three papers chosen by
Stan Miles
York University

  1. Microsimulating the Effects of Household Energy Price Changes in Spain By Xavier Labandeira; José M. Labeaga; Miguel Rodríguez
  2. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents By Amilon, Henrik
  3. Russia from Bust to Boom: Oil, Politics or the Ruble? By Bruno Merlevede; Koen Schoors; Bas van Aarle

  1. By: Xavier Labandeira; José M. Labeaga; Miguel Rodríguez
    URL: http://d.repec.org/n?u=RePEc:fda:fdaeee:196&r=cmp
  2. By: Amilon, Henrik (European Central Bank)
    Abstract: Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized facts, such as volatility clustering and fat tails. Here, we are interested in how well the proposed models can explain all the properties seen in real data, not just one or a few at a time. Hence, we do a proper estimation of some simple versions of such a model by the use of efficient method of moments and maximum likelihood and compare the results to real data and more traditional econometric models. We discover two main findings. First, the similarities with observed data found in earlier simulations rely crucially on a somewhat unrealistic modeling of the noise term. Second, when the stochastic is more properly introduced we find that the models are able to generate some stylized facts, but that the fit generally is quite poor.
    Keywords: Efficient method of moments; heterogeneous expectations; bounded rationality; evolutionary dynamics; adaptive beliefs
    JEL: C13 C15 C32 C51 G12
    Date: 2005–01–01
    URL: http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0177&r=cmp
  3. By: Bruno Merlevede; Koen Schoors; Bas van Aarle
    Abstract: This paper develops and estimates a small macroeconomic model of the Russian economy. The model is tailored to analyze the impact of the oil price, the exchange rate, and political stability on economic performance. The model does very well in explaining Russia’s economic history in the period 1995-2002. We then use the model to simulate two sets of scenarios, one with various oil price scenarios and one with various adverse shocks. The simulations suggest that the Russian economy is still very vulnerable to oil price swings, and that these swings have asymmetric effects. Indeed the cost of a downward swing of oil prices seems to be larger than the benefit of an upward swing. We also find that the aggregate effects of an oil price collapse are comparable to these of renewed political instability. Although their propagation mechanism is quite different, both adverse shocks do have a similar effect on real GDP. A real exchange rate appreciation on the other hand has relatively mild effects on real GDP. All in all, it is suggested that Russia should reduce its vulnerability to adverse oil price shocks and maintain political stability.
    Keywords: Russia, Macroeconomic Modeling, Macroeconomic stabilization
    JEL: C70 E17 E58 E63
    Date: 2004–10–01
    URL: http://d.repec.org/n?u=RePEc:wdi:papers:2004-722&r=cmp

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