nep-cmp New Economics Papers
on Computational Economics
Issue of 2005‒10‒15
five papers chosen by
Stan Miles
York University

  1. "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach" By Matsuoka, Ryosuke; Akihiko Takahashi; Yoshihiko Uchida
  2. Trade Preference Erosion: Expanded Assessment of Countries at Risk of Welfare Losses By Przemyslaw Kowalski; Douglas C. Lippoldt
  3. Trade Preference Erosion: Potential Economic Impacts By Przemyslaw Kowalski; Douglas C. Lippoldt
  4. Impact of Changes in Tariffs on Developing Countries' Government Revenue By Przemyslaw Kowalski
  5. The Anatomy of Electricity Demand: A CGE Decomposition for Norway By Erling Holmøy

  1. By: Matsuoka, Ryosuke (Tokyo Marine & Nichido Fire Insurance co., Ltd.); Akihiko Takahashi (Faculty of Economics, University of Tokyo); Yoshihiko Uchida (Graduate School of Economics, Osaka University)
    Abstract: We developed a new scheme for computing "Greeks"of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and Vegas of plain vanilla and av-erage European call options under general Markovian processes of underlying asset prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. Finally, several numerical examples under CEV processes con?rmed the validity of our method.
    Date: 2005–09
  2. By: Przemyslaw Kowalski; Douglas C. Lippoldt
    Keywords: developing countries, CGE simulation, multilateral trade negotiations, nonreciprocal preferences, preference erosion, statistical review, tariff reductions
    Date: 2005–08–18
  3. By: Przemyslaw Kowalski; Douglas C. Lippoldt
    Abstract: This paper presents the new findings from the on-going work of the OECD project on trade preference erosion. Following a review of the recent literature, the paper develops two main types of analysis. First, a detailed statistical analysis is undertaken drawing on the trade preferences database developed by the Secretariat and covering the Quad countries and Australia. This includes a presentation of the structure of tariff regimes in these key developed countries and identification of countries and sectors that are most reliant on tariff preferences. The second analytical approach uses the standard model and database of the Global Trade Analysis Project to simulate trade liberalisation scenarios that would entail preference erosion. While highlighting a number of cases of preference reliance, the paper underscores the advantages of multilateral liberalisation. Globally and for a majority of developing regions, liberalisation by preference-granting countries will result in positive welfare gains, notwithstanding the effects of preference erosion. In a comparatively small number of cases, however, the analysis points to a risk of net welfare losses under the scenarios modelled here.
    Keywords: developing countries, CGE simulation, multilateral trade negotiations, nonreciprocal preferences, preference erosion, tariff reductions
    Date: 2005–04–26
  4. By: Przemyslaw Kowalski
    Abstract: This paper addresses tariff revenue concerns that some countries have been expressing in the context of the current multilateral trade negotiations under the Doha Development Agenda. This paper: discusses methodological issues associated with estimating revenue impacts; provides impact estimates for a sample of developing countries; links the differences in impacts to cross-country differences in existing tariff regimes as well as properties of formulas for tariff cuts; and, discusses efficient tax replacement policies and past experiences. Additionally, the paper presents results of a simulation of the welfare effects of reducing tariffs and simultaneously replacing lost tariff revenues with revenues from consumption tax. It concludes with some policy implications.
    Keywords: tariffs, CGE simulation, government revenue, multilateral trade negotiations, tariff reductions formulas
    JEL: C68 E61 E62 F13 F14 H20
    Date: 2005–04–18
  5. By: Erling Holmøy (Statistics Norway)
    Abstract: The paper derives a general equilibrium demand function for electricity by imposing a specific closure rule on a large CGE-model of the Norwegian economy. By a decomposition technique it quantifies the contribution from various mechanisms to the price sensitivity of aggregate electricity demand. Specifically, it identifies the contributions from substitution at the micro level, as well as changes in the industry structure to the substitution at the aggregate level. It also separates the substitution effects of equilibrium adjustments of other prices than the electricity price, and macroeconomic income effects on total demand. The direct price elasticity of aggregate electricity demand is estimated to -0.31. Within industry factor substitution contributes most to this response.
    Keywords: Electricity demand; Computable general equilibrium model
    JEL: Q41 Q43
    Date: 2005–06

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