nep-cmp New Economics Papers
on Computational Economics
Issue of 2007‒06‒30
five papers chosen by
Stan Miles
Thompson Rivers University

  1. A New Algorithm for Continuous Optimization By Desai Tejas A.
  2. Macroeconomic Impacts of the Clean Development Mechanism: The Role of Investment Barriers and Regulations By Anger, Niels; Böhringer, Christoph; Moslener, Ulf
  3. Ramsey Waits: A Computational Study on General Equilibrium Pricing of Derivative Securities By Jacco Thijssen
  4. Propositions for the Building of a Quantitative Austrian Modelling: An Answer to Prof. Rizzo and to Prof. Vriend By Rodolphe Buda
  5. The influence of regional innovation systems on regional economic growth - Linking regional input-output analysis and agent based modelling By Frank Beckenbach; Ramón Briegel; Maria Daskalakis

  1. By: Desai Tejas A.
    Abstract: We present a new algorithm for continuous, nonlinear or linear, and constrained or unconstrained optimization. After proving its convergence, we apply it to unconstrained and constrained maximum likelihood estimation, and compare its performance to that of the Newton-Raphson algorithm.
    Keywords: Nonlinear programming; Linear programming; Constraints satisfaction; Multivariate statistics; Simulation
    Date: 2006–08–14
    URL: http://d.repec.org/n?u=RePEc:iim:iimawp:2006-08-04&r=cmp
  2. By: Anger, Niels; Böhringer, Christoph; Moslener, Ulf
    Abstract: This paper quantifies the macroeconomic impacts of the Clean Development Mechanism (CDM) under the Kyoto Protocol based on a computable general equilibrium (CGE) model of international trade and energy use. Employing project-based CDM supply data we assess the relative importance of transaction costs and investment risks as well as CDM regulations through supplementarity and additionality criteria. Our numerical results show that the macroeconomic impacts of transaction costs and investment risks are negligible: Given the large supply of cheap project-based emissions credits in developing countries, compliance to the Kyoto Protocol can be achieved at a very low cost. However, regulatory restrictions such as a supplementarity criterion can substantially curtail the potential efficiency gains from where-flexibility in climate policy.
    Keywords: Kyoto Protocol, Emissions Trading, Clean Development Mechanism, Computable General Equilibrium
    JEL: C68 D61 Q56 Q58
    Date: 2007
    URL: http://d.repec.org/n?u=RePEc:zbw:zewdip:5589&r=cmp
  3. By: Jacco Thijssen
    Abstract: This paper analyses the accuracy of replicating portfolio methods in predicting asset prices. In a two-period, general equilibrium model with incomplete financial markets and heterogeneous agents, a computational study is conducted under various distributional assumptions. We focus on the price of a call option on an underlying risky asset. There is evidence that the value of the (approximate) replicating portfolio is a good approximation for the general equilibrium price for CRRA preferences, but not for CARA preferences. Furthermore, there is strong evidence that the introduction of the call option reduces market incompleteness and that the price of the underlying asset is unchanged. There is, however, inconclusive evidence on whether the availability of the option increases agents' welfare.
    Keywords: Asset pricing, general equilibrium, incomplete markets
    JEL: D52 G12
    Date: 2007–06
    URL: http://d.repec.org/n?u=RePEc:yor:yorken:07/16&r=cmp
  4. By: Rodolphe Buda
    Abstract: In this paper, we try to promote the building of a Quantitative Austrian Modelling (QAM). QAM must be viewed as a complementary quantitative prolongation of the Austrian methods and as a complementary approach to the already existing quantitative approaches - especially we would like here to answer to the appeal of Prof. N.J.Vriend [61]. As we explain it in the first part, our approach resulted from a critical view of the econometric procedures by Austrian methods and, from a theoretical instrumental study of the econometric models. We define the main properties to quantitative approaches and especially to the QAM. In the second part, we present QAM principles and equations (of the AUSTRIAN model), and justify it according to the classical Austrian point of view. The QAM could be viewed as an answer to Prof. M.J.Rizzo [49] about the relationship between the Praxeology and the Econometrics. Indeed, according to its properties, even if QAM won't be able to recreate any observable data, it could give a consistent pattern where the other quantitative approaches could fit. Especially, QAM could help, we hope so, to answer the question we asked about the quality of the econometric behavioral equations [8], in providing two levels of data, from where we could extract a relationship useful to correct observable econometric data. QAM is in building.
    Keywords: Austrian Economics - Agent-based Computational Economics - Methodological Individualism - Quantitative approaches - Econometrics - Micro-Macroeconomic Bridge
    JEL: B41 B53 C5 C63 C87 C88
    Date: 2007
    URL: http://d.repec.org/n?u=RePEc:drm:wpaper:2007-9&r=cmp
  5. By: Frank Beckenbach (Department of Economics, University of Kassel); Ramón Briegel (Department of Economics, University of Kassel); Maria Daskalakis (Department of Economics, University of Kassel)
    Abstract: In the focus of the research on regional innovation systems (RIS) is an interaction pattern of different regional agents and institutions on one side and an observation of regional outcomes (in terms of value added, employment etc.) attributed to the aforementioned interaction pattern on the other side. Neither how this interaction pattern comes about nor how this pattern generates the attributed regional outcome is usually investigated more closely. In this article we try to fill this gap in the research about RIS. In section II we specify the two focal points of the literature about RIS and the resulting research gap to bridge. In section III it is shown how input-output tables (IOT) can be used to map the regional interaction dynamics on the level of branches. This is supplemented by an agent-based modelling of the final demand dynamics resulting from the innovation activities of regional agents (section IV). Finally some conclusions for further research are drawn (section V).
    Keywords: Regional Innovation System, Multi-Agent-System, Input-Output-Analysis, Evolutionary Economics
    Date: 2007–05
    URL: http://d.repec.org/n?u=RePEc:kas:poabec:2007-1&r=cmp

This nep-cmp issue is ©2007 by Stan Miles. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at http://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.