New Economics Papers
on Computational Economics
Issue of 2006‒12‒16
five papers chosen by

  1. Coordination failures in network formation. By Nicolas Carayol; Pascale Roux; Murat Yıldızoglu
  2. Economic Integration in Asia: Bilateral Free Trade Agreements Versus Asian Single Market By Hedi Bchir; Michel Fouquin
  3. An Optimal Rate of the National Burden in an Aging Japan By OKAMOTO Akira
  4. Modelling Scenario Analysis and Macro Stress-testing By Jan Willem van den End; Marco Hoeberichts en Mostafa Tabbae
  5. Approximation Results for Preemptive Stochastic Online Scheduling By Megow Nicole; Vredeveld Tjark

  1. By: Nicolas Carayol; Pascale Roux; Murat Yıldızoglu
    Abstract: In this paper, we make an exploratory use of numerical techniques (genetic algorithms and Monte Carlo simulations) to compute efficient and emergent networks in a spatialized version of the connections model of Jackson and Wolinski (1996). This approach allows us to observe and discuss the coordination failures that arise in a strategic network formation context with link-mediated positive externalities to connections and geographically based connection costs. Our results highlight that, depending on the strength of the externalities, emergent and efficient networks may share several structural properties. Nevertheless, emergent networks have too few local and distant connections and are also too less “coordinated” around some central agents than they should.
    Keywords: Strategic Network Formation; Efficiency; Stability; Coordination; Small Worlds; Genetic Algorithms; Monte Carlo Simulations.
    Date: 2006
  2. By: Hedi Bchir; Michel Fouquin
    Abstract: Institutional regionalisation has come late to East Asia compared to Europe, but its pace has accelerated since the mid-1990s. Many agreements, including bilateral ones such as those signed between Singapore and Japan, and plurilateral ones such as those between ASEAN countries (e.g. ASEAN Free Trade Agreement (AFTA below)), cover an ever-increasing portion of the East Asian region, including China. We first analyse regional economic integration in East Asia, questioning the notion of open regionalism. In a second part we explore the possible consequences of different kind of agreements. We rely on the CEPII’s CGE model (MIRAGE), adapted to the specificity of Asia’s economic integration. As regards the geometry of the agreement(s), two sets of scenarios are considered, following a Hub-and-Spoke versus a Full-FTA assumption, with or without sensitive products inclusion. Among the main results, we find that Asian countries do have diverging interests. While ASEAN maximises its benefit in the bilateral scenario including agricultural liberalisation (SC1); Japan and Korea are the best in the Asia global agreement scenario, including sensitive products for Japan (SC2) but excluding these products for Korea (SC 4). For EU- 25, it appears that increased competition within Asia has a negative impact on its goods exports but positive impact on its service exportations. The main losers are the close countries and primary goods producers such as Taiwan, South Asia (excluding India), North of Africa, South America.
    Keywords: Computable general Equilibrium Models; economic integration; Asia; trade simulation; models; Mirage; FTA; market access
    JEL: D58 F15 N85
    Date: 2006–10
  3. By: OKAMOTO Akira
    Abstract: This paper examines an optimal rate of the national burden to establish guidelines for fiscal reform in Japan's graying society. The paper looks at Japanese tax and social security systems through an extended life-cycle general equilibrium simulation model. It explicitly considers the benefits that the government provides to households, which enables us to comprehensively evaluate the balance between benefits and burdens. Simulation results show that an optimal rate of the national burden is high when households put a great utility weight on the benefits coming from public services, and that it is low when the degree of publicness of government expenditure is high. The results also suggest that an optimal rate of the national burden would rise as Japan ages and may exceed 50% during the rapid aging of its population.
    Date: 2006–12
  4. By: Jan Willem van den End; Marco Hoeberichts en Mostafa Tabbae
    Abstract: Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic simulations. Our approach is an extension of existing macro stress-testing models as it distinguishes between probability of default on the one hand and loss given default on the other and allows for separate models for domestic and foreign portfolios. Another contribution of the paper is that the stochastic simulations generate loss distributions which provide insight in the extreme losses and allow for changing correlations between risk factors in stress situations. The methodology is applied to the Dutch banking sector.
    Keywords: banking; financial stability; stress-tests; credit risk; interest rate risk
    JEL: C33 E44 G21
    Date: 2006–11
  5. By: Megow Nicole; Vredeveld Tjark (METEOR)
    Abstract: We present first constant performance guarantees for preemptive stochastic scheduling to minimize the sum of weighted completion times. For scheduling jobs with release dates on identical parallel machines we derive policies with a guaranteed performance ratio of 2 which matches the currently best known result for the corresponding deterministic online problem. Our policies apply to the recently introduced stochastic online scheduling model inwhich jobs arrive online over time. In contrast to the previously considered nonpreemptivesetting, our preemptive policies extensively utilize information on processing time distributions other than the first (and second) moments. In order to derive our results we introduce a new nontrivial lower bound on the expected value of an unknown optimal policy that we derive from an optimal policy for the basic problem on a single machine without release dates. This problem is known to be solved optimally by a Gittins index priority rule. This priority index also inspires the design of our policies.
    Keywords: computer science applications;
    Date: 2006

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