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on Computational Economics |
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Issue of 2006‒04‒08
five papers chosen by |
| By: | Chin-Shien Lin (National Chung Hsing University); Haider A. Khan (GIGS, University of Denver); Ying-Chieh Wang (Providence University); Ruei-Yuan Chang (Providence University) |
| Abstract: | This paper presents a hybrid model for predicting the occurrence of currency crises by using the neuro fuzzy modeling approach. The model integrates the learning ability of neural network with the inference mechanism of fuzzy logic. The empirical results show that the proposed neuro fuzzy model leads to a better prediction of crisis. Significantly, the model can also construct a reliable causal relationship among the variables through the obtained knowledge base. Compared to the traditionally used techniques such as logit, the proposed model can thus lead to a somewhat more prescriptive modeling approach towards finding ways to prevent currency crises. |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2006cf411&r=cmp |
| By: | Sun, Junjie; Tesfatsion, Leigh S. |
| Abstract: | Under a set of simplifying assumptions, a nonlinear AC Optimal Power Flow (OPF) problem can be approximated by a linearized DC OPF problem to solve for power quantities and locational marginal prices in restructured electric wholesale power markets. We first establish that a commonly used DC OPF approximation in per unit form can be represented as a strictly convex quadratic programming (SCQP) problem subject to mixed equality and inequality constraints, given a physically meaningful Lagrangian augmentation. We then show how this SCQP problem can be solved using QuadProgJ, a Java SCQP solver newly developed by the authors that implements the well-known dual active-set SCQP algorithm by Goldfarb and Idnani (1983). QuadProgJ appears to be the first open-source SCQP solver developed completely in Java. QuadProgJ is specifically designed for the fast and efficient desktop solution of SCQP problems for research and training purposes with a maximum count of about 1500 decision variables plus constraints. Several numerical examples are provided to illustrate the accuracy of QuadProgJ, including 3-node and 5-node DC OPF case studies taken from power systems texts and ISO-NE/PJM training manuals. |
| Keywords: | AC optimal power flow, DC OPF approximation, Strictly convex quadratic programming, Dual active-set method; Lagrangian augmentation, Java implementation, QuadProgJ, AMES Market Package |
| Date: | 2006–03–30 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:12558&r=cmp |
| By: | Panos Parpas (Imperial College, London); Berc Rustem (Imperial College, London); Volker Wieland (University of Frankfurt); Stan Zakovic (Imperial College London) |
| Abstract: | In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies. |
| JEL: | C61 E43 |
| Date: | 2006–01–13 |
| URL: | http://d.repec.org/n?u=RePEc:cfs:cfswop:wp200603&r=cmp |
| By: | Bazlul Khondker; Mustafa Mujeri; Selim Raihan |
| Abstract: | This paper examined welfare and poverty impacts of trade liberalization in Bangladesh. By using a computable general equilibrium model based on a social accounting matrix, an empirical investigation of the transmission channels linking trade liberalisation to the rest of the economy was carried out by conducting three simulations. In the first two simulations full tariff removal was accompanied by respective increase in production tax rates and income tax rate to ensure revenue neutrality. Third simulation resembles the actual tariff reforms undertaken in the country. This entailed the decline in both the spread and effective average duty rates, thereby reducing the mean rates and variance. The patterns of welfare losses are progressive for rural households but regressive for urban households in the first two simulations. In the third simulation, a clear regressive pattern is observed amont the urban households but it is ambiguous for the rural households. Rural poverty declined due to tariff-income tax reforms and tariff rationalization but worsened in the case of tariff-production tax reforms. Except for the second simulation, the urban poverty headcount, gap and severity all worsen in other two simulations. This confirms that the benefits of tariff rationalization accrue more to the urban rich households compared to their poored counterparts. |
| Keywords: | Trade liberalization, Poverty, Bangladesh, Computable General Equilibrium (CGE) Model |
| JEL: | D33 D58 E27 F13 F14 I32 O15 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-05&r=cmp |
| By: | Anderson, Kym; Jackson, Lee Ann; Valenzuela, Ernesto |
| Abstract: | This paper provides estimates of the economic impact of initial adoption of genetically modified (GM) cotton and of its potential impacts beyond the few countries where it is currently common. Use is made of the latest version of the GTAP database and model. Our results suggest that by following the lead of China and South Africa, adoption of GM cotton varieties by other developing countries – especially in Sub-Saharan Africa – could provide even larger proportionate gains to farmer and national welfare than in those first-adopting countries. Furthermore, those estimated gains are shown to exceed those from a successful campaign under the WTO’s Doha Development Agenda to reduce/remove cotton subsidies and import tariffs globally. |
| Keywords: | computable general equilibrium modeling; cotton biotechnology; economic welfare; GMOs; subsidy; tariff reform |
| JEL: | D58 F17 Q16 Q17 |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:5568&r=cmp |