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on Computational Economics |
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Issue of 2006‒01‒24
twelve papers chosen by |
| By: | Tuomas A. Peltonen (European Central Bank, Postfach 16 03 19, 60066 Frankfurt am Main, Germany) |
| Abstract: | This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well in-sample, but the forecasting power of these models out-ofsample was found to be rather poor. Only in the case of Russian (1998) crisis were both models able to signal the crisis well in advance. The results reinforced the view that developing a stable model that can predict or even explain currency crises is a challenging task. |
| Keywords: | Currency crises, emerging markets, artificial neural networks. |
| JEL: | F31 E44 C25 C23 C45 |
| Date: | 2006–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20060571&r=cmp |
| By: | Markus Krätzig |
| Abstract: | This paper presents the software framework JStatCom which is geared towards the development of rich GUI clients for numerical procedures. The concept is to solve all recurring tasks with the help of reusable Java components. Optionally, one can delegate the execution of special numerical algorithms to external programs, for example Gauss or Matlab. This way it is possible to reuse an already existing code base for numerical routines written in different programming languages and to link them with the Java world. A reference application for JStatCom is the econometric software package JMulTi, which will shortly be introduced. |
| Keywords: | Java, Object-Oriented Programming, Econometrics, Software Engineering |
| JEL: | C63 |
| Date: | 2005–08 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2005-044&r=cmp |
| By: | Knud Jørgen Munk (Department of Economics, University of Aarhus, Denmark) |
| Abstract: | The introduction of road pricing has important budgetary and income distributional consequences. In countries like Denmark, due to high marginal rates of taxation, raising government revenue and redistributing income is associated with substantial distortionary and administrative costs. This paper argues that an evaluation of the introduction of road pricing needs to take into account not only the effects on congestion and on the environment, but also the effects on the government’s budget and the income distributional consequences and therefore should be undertaken within a general equilibrium framework. A stylized Computable General Equilibrium (CGE) model which represents the interaction of the consumption of transport and of traffic congestion with leisure is used to illustrate this point. Model simulations show that the introduction of road pricing may be associated with a double dividend and make it desirable to reduce transport infrastructure, and furthermore, although decreasing road congestion, increase the environmental damage. |
| Keywords: | Project evaluation, optimal taxation, externalities, separability, road pricing, CGE models, double dividend |
| JEL: | H2 H29 |
| Date: | 2005–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:aah:aarhec:2005-23&r=cmp |
| By: | Ying Chen; Wolfgang Härdle; Vladimir Spokoiny |
| Abstract: | Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A principle component based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here we propose and analyze a technology that is based on Independent Component Analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high dimensional portfolio situation. Our analysis yields very accurate VaRs. |
| Keywords: | independent component analysis, Value-at-Risk |
| JEL: | C14 C15 C32 C53 G20 |
| Date: | 2005–09 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2005-060&r=cmp |
| By: | Lungu, Laurian (Cardiff Business School); Matthews, Kent (Cardiff Business School); Minford, Patrick (Cardiff Business School) |
| Abstract: | Previous attempts at modelling current observed endogenous financial variables in a macroeconomic model have concentrated on only one observed endogenous variable - namely the short-term rate of interest. The solution method for dealing with more than one observed endogenous variable has thus far been computationally intractable. This paper applies a general search algorithm to a macroeconomic model with an observed interest rate and exchange rate to solve the signal extraction problem. The informational advantage of applying the signal extraction algorithm to all the current observed endogenous variables is examined in terms of the implication for policy from the misperceptions of specific macroeconomic shocks. |
| Keywords: | Rational Expectations; Partial Current Information; Signal Extraction; Macroeconomic modelling |
| JEL: | E37 |
| Date: | 2006–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2006/1&r=cmp |
| By: | Thomas Giblin; Alan Matthews |
| Abstract: | This paper uses the ATPSM partial equilibrium trade model (developed by UNCTAD and the FAO) to examine the impact of various agricultural trade liberalisation scenarios on the countries of Sub-Saharan Africa. The model is presented in some detail along with an assessment of some of its strengths and limitations. Two types of trade policy liberalisation scenario are simulated. The first is a set of benchmark total unilateral agricultural trade liberalisation scenarios - by the EU, other regions of the world, Sub-Saharan Africa and our two individual case study countries Tanzania and Uganda. These benchmark simulations give an idea of the potential welfare effects from trade reform. The second set of simulations covers different trade reform proposals that have been put forward in the context of the Doha Development Round. The paper focuses in particular on the Harbinson proposal. Results are reported for total welfare changes as well as more disaggregated welfare impacts on producers, consumers, and government revenue. Changes in export volume and value, and changes in quota rent from preferential trade agreements are also reported. The findings for Tanzania and Uganda are that the welfare effects of rich-country agricultural trade reform are small and typically modestly negative. This reflects both their trade balance in agricultural goods and the erosion in the value of some preferences in the case of Tanzania. Liberalisation by the countries themselves generates the biggest, albeit still small, total welfare gains but at the cost of lost government revenue and significant losses in welfare for net-agricultural producers in rural areas where most of the poor live. The paper is an important contribution in moving beyond the aggregate results for Sub-Saharan Africa that are typically presented in trade simulation papers on agricultural liberalisation, aggregates which include a significant diversity of contrasting individual country impacts. |
| Keywords: | agriculture, trade, modelling, sub-Saharan Africa |
| Date: | 2005–12–15 |
| URL: | http://d.repec.org/n?u=RePEc:iis:dispap:iiisdp074&r=cmp |
| By: | Alan Matthews; Keith Walsh |
| Abstract: | This paper provides a quantitative study of the economic effects of a stylised simulation of trade liberalisation for Ireland using the GTAP model. The experiment incorporates the liberalisation of agricultural, manufacturing and services trade as well as measures to improve trade facilitation. The simulation is implemented against a baseline projection of the Irish and world economy over the next decade. Overall, Ireland's welfare will increase as a result of further trade liberalisation, with particularly strong gains from services liberalisation. The industrial liberalisation scenario also generates positive gains to Ireland, while agricultural liberalisation has a slightly negative effect on the overall economy. |
| Keywords: | Note: Ireland, trade liberalisation, WTO Doha Round |
| JEL: | C68 F13 F14 |
| Date: | 2005–12–15 |
| URL: | http://d.repec.org/n?u=RePEc:iis:dispap:iiisdp107&r=cmp |
| By: | François Bourguignon (The World Bank and PSE -Paris-Jourdan Sciences Economiques-); Amedeo Spadaro (PSE -Paris-Jourdan Sciences Economiques- and Universitat de les Illes Balears, Palma de Mallorca) |
| Abstract: | During the last 20 years, microsimulation models have been increasingly applied in qualitative and quantitative analysis of public policies. This paper discusses microsimulation techniques and their theoretical background as a tool for the analysis of public policies. It next analyses basic principles for using microsimulation models and interpreting their results, with emphasis on tax incidence, redistribution and poverty analysis. It then discusses social welfare analysis permitted by microsimulation techniques and points to the limits of present approaches and some directions for future developments. |
| Keywords: | Keywords: Microsimulation; Evaluation of Public Policies; Redistribution; Poverty, Inequality. |
| JEL: | C81 D31 H21 H23 H31 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:inq:inqwps:ecineq2006-20&r=cmp |
| By: | Xavier Labandeira (rede and Department of Applied Economics (Universidade de Vigo)); José M. Labeaga (FEDEA and Department of Economic Analysis II (UNED)); Miguel Rodríguez (rede and Department of Applied Economics (Universidade de Vigo)) |
| Abstract: | Most public policies have not only efficiency but also distributional effects. However, there is a kind of trade-off between modeling approaches suitable for calculating each one of these impacts on the economy. For the former, most of the studies have been conducted with general equilibrium models, whereas partial equilibrium models represent the main approach for distributional analysis. This paper proposes a methodology which enables us to carry out an analysis of the distributional and efficiency consequences of public policies. In order to do so, we have integrated a microeconomic household demand model and a computable general equilibrium model for the Spanish economy. We illustrate the advantages of this approach by simulating a revenue-neutral reform in Spanish indirect taxation, with a reduction of VAT and a simultaneous increase of energy taxes. The results show that the reform brings about significant efficiency and distributional effects, in some cases counterintuitive, and demonstrate the academic and social utility of this approximation. |
| Keywords: | Taxes, general equilibrium, micro modeling, efficiency, distribution |
| JEL: | C33 D58 H30 Q21 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:inq:inqwps:ecineq2006-22&r=cmp |
| By: | Krupnick, Alan (Resources For the Future); Taylor, Michael; Batz, Michael (Resources For the Future); Hoffmann, Sandra (Resources For the Future); Tick, Jody; Morris, Glenn; Sherman, Diane |
| Abstract: | In order to help facilitate a risk-based food safety system, we developed the Foodborne Illness Risk Ranking Model (FIRRM), a decisionmaking tool that quantifies and compares the relative burden to society of 28 foodborne pathogens. FIRRM estimates the annual number of cases, hospitalizations, and fatalities caused by each foodborne pathogen, subsequently estimates the economic costs and QALY losses of these illnesses, and, lastly, attributes these pathogen-specific illnesses and costs to categories of food vehicles, based on outbreak data and expert judgment. The model ranks pathogen-food combinations according to five measures of societal burden. FIRRM incorporates probabilistic uncertainty within a Monte Carlo simulation framework and produces confidence intervals and statistics for all outputs. Gaps in data, most importantly in regards to food attribution and the statistical uncertainty of incidence estimates, currently limit the utility of the model. Once we address these and other problems, however, FIRRM will be a robust and useful decisionmaking tool. |
| Keywords: | foodborne illness, risk ranking, pathogens, health valuation, QALYs, cost of illness, uncertainty, modeling, Monte Carlo |
| URL: | http://d.repec.org/n?u=RePEc:rff:dpaper:dp-frsc-dp-01&r=cmp |
| By: | Keith Walsh; Martina Brockmeier; Alan Matthews |
| Abstract: | This paper employs the GTAP computable general equilibrium model and dataset to analyse the implications of domestic support reductions in the context of agricultural trade liberalisation. Three specific issues are addressed: overhang in domestic support, the accurate distinction of the boxes in the GTAP dataset and the treatment of market price support in the amber box. An extensive domestic support database is used to calculate the change in applied domestic support rates from a specified cut in bound rates, and to identify the impact on the different domestic support boxes and the required reductions in each support category. The GTAP model is extended to incorporate an explicit representation of the market price support element of the AMS. The results from these extensions of the standard database and model support the view that the impact of an agreement to reduce domestic support will be limited and lower than conventionally estimated. Results of simulations combining domestic support cuts with market access and export competition disciplines show that the effect of import tariff reductions dominate the gains from domestic support cuts once full account is taken of the issues addressed in this paper. |
| Keywords: | WTO agricultural negotiations, domestic support, agricultural protection, Aggregate Measure of Support |
| JEL: | C68 F13 Q17 Q18 |
| Date: | 2005–12–15 |
| URL: | http://d.repec.org/n?u=RePEc:iis:dispap:iiisdp99&r=cmp |
| By: | Valenzuela, Ernesto; Hertel, Thomas; Keeney, Roman; Reimer, Jeff |
| Abstract: | Computable General Equilibrium (CGE) models are commonly used for global agricultural market analysis. However, concerns are sometimes raised about the quality of their output since key parameters may not be econometrically estimated and little emphasis is generally given to model assessment. This article addresses the latter issue by developing an approach to validating CGE models based on the ability to reproduce observed price volatility in agricultural markets. We show how patterns in the deviations between model predictions and validation criteria can be used to identify the weak points of a model and guide development of improved specifications with firmer empirical foundations. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:gta:workpp:1875&r=cmp |