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on Computational Economics |
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Issue of 2006‒06‒10
six papers chosen by |
| By: | Marek Hlavacek; Michael Konak; Josef Cada |
| Abstract: | One of the most significant factors influencing the liquidity of the financial market is the amount of currency in circulation. Although the central bank is responsible for the distribution of the currency it cannot assess the demand for the currency, as that demand is influenced by the non-banking sector. Therefore, the amount of currency in circulation has to be forecasted. This paper introduces a feedforward structured neural network model and discusses its applicability to the forecasting of currency in circulation. The forecasting performance of the new neural network model is compared with an ARIMA model. The results indicate that the performance of the neural network model is better and that both models might be applied at least as supportive tools for liquidity forecasting. |
| Keywords: | Neural network, seasonal time series, currency in circulation. |
| JEL: | C45 C53 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/11&r=cmp |
| By: | Ondrej Kamenik |
| Abstract: | This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability. |
| Keywords: | Dynamic general equilibrium, doubling algorithm, perturbation approach, recursive algorithm. |
| JEL: | C63 C68 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/10&r=cmp |
| By: | Caesar B. Cororaton; Erwin L. Corong |
| Abstract: | The Philippines has undertaken substantial trade-policy reforms since the 1980s. However, the poverty impact is not very clear and has been the subject of intense debate, most crucial of which is the likely poverty effects of liberalizing the highly protected agricultural sector. A CGE micro-simulation model is employed to estimate and explain these impacts. Tariff reduction induces consumers to substitute cheaper imported agricultural products for domestic goods, thereby resulting in a contraction in agricultural output. In contrast, the prevalence of cheap, imported inputs reduces the domestic cost of production, benefiting the outward-oriented and import-dependent industrial sector as their output and export increases. The national poverty headcount decreases marginally as lower consumer prices outweigh the income reduction experienced by the majority of households. However, both the poverty gap and severity of poverty worsens, implying that the poorest of the poor become even poorer. |
| Keywords: | Agriculture, International trade, Poverty, Computable general equilibrium, Micro-simulation, Philippines |
| JEL: | D58 E27 F13 I32 O13 O15 O24 O53 Q10 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-09&r=cmp |
| By: | Caesar B. Cororaton |
| Abstract: | This paper analyzes the impact of trade reform on welfare and poverty in the Philippines in the 1990s using a CGE model. The results indicate that while welfare rises and poverty falls for all household groups except the poorest (those with rural unskilled private employees as household head), urban households gain more than rural households. Policy experiments involving full tariff reduction and uniform five percent tariff rate indicate generally the same pattern of effects, except that the magnitude of change is relatively larger in the former while all household groups, including the poorest, experience a reduction in poverty in the latter. Since poverty remains high and the disparity between rural and urban poverty is still wide, other poverty-reducing measures have to be designed and implemented to target those households that do not benefit much from this type of market reform. |
| Keywords: | Computable general equilibrium, International trade, Poverty, Philippines |
| JEL: | D33 D58 E27 F13 F14 I32 O15 O53 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-11&r=cmp |
| By: | D. DEBELS; M. VANHOUCKE |
| Abstract: | The resource-constrained project scheduling problem (RCPSP) has been extensively investigated during the past decades. Due to its strongly NP-hard status and the need for solving large realistic project instances, the recent focus has shifted from exact optimisation procedures to (meta-) heuristic approaches. In this paper, we extend some existing state-of-the-art RCPSP procedures in two ways. First, we extensively test a decomposition approach that splits problem instances into smaller sub-problems to be solved with an (exact or heuristic) procedure, and re-incorporates the obtained solutions for the sub-problems into the solution of the main problem, possibly leading to an overall better solution. Second, we study the influence of an extended neighbourhood search on the performance of a meta-heuristic procedure. Computational results reveal that both techniques are valuable extensions and lead to improved results. |
| Keywords: | Resource-constrained project scheduling; Problem decomposition; Meta-heuristics |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:06/387&r=cmp |
| By: | Sami Bibi; Rim Chatti |
| Abstract: | The effects of trade liberalization on poverty in Tunisia are examined, using a layered dynamic CGE-microsimulation approach. A dynamic CGE model endogenously generates the evolution of prices, as well as income paths under protection and freer trade assumptions for each household group. These results are then used to assess the change in real income of each household, using a sample from the 1995 household survey, and thus the effects of the simulated changes on poverty. Dominance tests are also used to avoid the arbitrariness of choosing line and a poverty measure. Simulation results show that trade openness slows down the poverty reduction in the short run, but enhances it in the long-run/Une analyse dynamique des effets de la libéralisation commerciale montre que celle-ci n'entraînera pas, contrairement aux cas précédents, une augmentation de la pauvreté en Tunisie. Néanmoins, l'ouverture commerciale freinera probablement la dynamique de la réduction de la pauvreté à court terme mais, l'accélèrera à long terme. La baisse de la pauvreté touchera aussi bien les ménages urbains que ruraux, avec une plus faible réduction de la pauvreté rurale à court et à long terme. Pour comprendre ce résultat, il faut d'abord noter que la Tunisie, comme dans la plupart des autres pays, impose des taux de protection plus élevés sur les produits agricoles que sur les produits industriels; pendant que les branches industrielles, notamment celle des services, contribuent davantage aux recettes d'exportation. Par conséquent, la libéralisation commerciale entraîne une expansion plus rapide du secteur des services par rapport aux autres branches industrielles et au secteur agricole. Cela engendre un taux de croissance du revenu nominal des ouvriers et des exploitants agricoles plus faible que celui des autres ménages urbains. Les prix à la consommation croient plus faiblement pour les ménages urbains, qui consomment davantage de produits industriels et des services, que pour les ménages ruraux, qui consomment plus de produits alimentaires. Tous ces résultats font que l'amélioration du revenu réel, qui touche toutes les catégories des ménages, est légèrement plus importante pour les ménages urbains. |
| Keywords: | Trade liberalization, poverty, dynamic CGE models, sequential microsimulation, Tunisia/Libéralisation des échanges, pauvreté, modèles d'EGC dynamiques, micro-simulation séquentielle, Tunisie |
| JEL: | C68 I32 O24 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-07&r=cmp |