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on Computational Economics |
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Issue of 2007‒10‒20
eight papers chosen by |
| By: | Terje Lensberg (Norwegian School of Economics and Business Administration); Klaus Reiner Schenk-Hoppe (University of Leeds, Business School and School of Mathematics) |
| Abstract: | This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic programming. We find that investment strategies which optimize long-term performance can emerge in markets populated by unsophisticated investors. Regardless whether the market is complete or incomplete and whether states are i.i.d. or Markov, the Kelly rule is obtained as the asymptotic outcome. With pricedependent rather than just state-dependent investment strategies, the market portfolio plays an important role as a protection against severe losses in volatile markets. |
| Keywords: | Evolutionary finance, portfolio choice, asset pricing, genetic programming |
| JEL: | G11 C63 |
| Date: | 2006–12 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp0638&r=cmp |
| By: | Benjamin Malin; Dirk Krueger; Felix Kubler |
| Abstract: | We describe a sparse grid collocation algorithm to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method may be in applications by computing the nonlinear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with 2, 4, and 6 countries (i.e., up to 12 continuous state variables). |
| JEL: | C68 C88 F41 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:13517&r=cmp |
| By: | James A Giesecke; John R Madden |
| Abstract: | Recently a new method has emerged for uncovering the factors driving regional disparities in growth performance. The method involves historical analysis with a multiregional computable general equilibrium model. This paper has three main aims. The first is to demonstrate the capacity of the CGE historical technique to decompose the causes of regional divergence into clearly-specified economic factors. The second is to provide a generic miniature model that can be used as a template for adapting any multiregional CGE model to give it the capacity for undertaking historical analysis. The third is to demonstrate that this same miniature model can be used to explain the regional results in terms of the major model mechanisms behind them. |
| Keywords: | Computable general equilibrium, Regional growth, Regional divergence, Multi-regional historical analysis |
| JEL: | D58 R13 |
| Date: | 2006–12 |
| URL: | http://d.repec.org/n?u=RePEc:cop:wpaper:g-165&r=cmp |
| By: | Edson Paulo Domingues (Cedeplar-UFMG); Francisca Diana Ferreira Viana (Cedeplar-UFMG); Heder Carlos de Oliveira (Cedeplar-UFMG) |
| Abstract: | This paper analyzes a set of infrastructure programs (Sewer, Housing, Transports, Communications and Energy) in the Northeast region of Brazil, announced by the federal government in the scope of the PAC (Plano de Aceleração do Crescimento). We use an interregional computable general equilibrium model in order to estimate short run and long run impacts in the region’s states. The results indicate the potential impact of these projects on growth and regional inequality. |
| Keywords: | regional economics; regional inequality; infrastructure; computable general equilibrium; Brazil |
| JEL: | R11 R13 R40 C68 |
| Date: | 2007–09 |
| URL: | http://d.repec.org/n?u=RePEc:cdp:texdis:td319&r=cmp |
| By: | Ferran Sancho |
| Abstract: | We show how to calibrate CES production and utility functions when indirect taxation affecting inputs and consumption is present. These calibrated functions can then be used in computable general equilibrium models. Taxation modifies the standard calibration procedures since any taxed good has two associated prices and a choice of reference value units has to be made. We also provide an example of computer code to solve the calibration of CES utilities under two alternate normalizations. To our knowledge, this paper fills a methodological gap in the CGE literature. |
| JEL: | C63 C68 C81 |
| Date: | 2007–10–15 |
| URL: | http://d.repec.org/n?u=RePEc:aub:autbar:715.07&r=cmp |
| By: | George Kapetanios (Queen Mary, University of London) |
| Abstract: | Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises serially dependent processes using a generalisation of the autocorrelation function. Using this fact we build dependence tests that make use of neural network based approximations. We derive the theoretical properties of our tests and show that they have superior power properties. Our Monte Carlo evaluation supports the theoretical findings. An application to a large dataset of stock returns illustrates the usefulness of the proposed tests. |
| Keywords: | Independence, Neural networks, Strict stationarity, Bootstrap, S&P500 |
| JEL: | C32 C33 G12 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp609&r=cmp |
| By: | Glyn Wittwer |
| Abstract: | The share of global wine supplied by New World producers has increased dramatically since the late 1980s. Australia and Chile have emerged as major exporters of wine. USA has also increased production sharply though its sales have grown mainly in the domestic rather than export markets. This paper uses the World Wine Model to project the wine markets of the world from 2005 to 2015. The model includes different types of wine, so as to distinguish the growing premium segment of the market from the non-premium segment. USA is set to become the largest consumer and importer of wine in the world. Hence, growth prospects for wine exporting nations will centre increasingly on the US market. The Chinese market is likely to follow the pattern set by the Japanese market, in which per capita consumption of wine has remained relatively low despite real income growth. Nevertheless, exports to China of non-premium wine will grow over the next decade. Paper prepared for a seminar in Chile in August 2007. Research funded by the Grape and Wine Research and Development Corporation (GWRDC) of Australia. |
| Keywords: | CGE modelling, wine consumption |
| JEL: | C68 Q13 |
| Date: | 2007–07 |
| URL: | http://d.repec.org/n?u=RePEc:cop:wpaper:g-166&r=cmp |
| By: | Bradley J.; Goos P. |
| Abstract: | In industrial experimentation there is growing interest in studies that span more than one processing step. Convenience often dictates restrictions in randomization in passing from one processing step to another. When the study encompasses three processing steps, this leads to split-split-plot designs. We provide an algorithm for computing D-optimal split-split-plot designs and provide many illustrative examples. We then apply our methods to construct D-optimal alternatives to a previously run split-split-plot design for cheese production. |
| Date: | 2007–09 |
| URL: | http://d.repec.org/n?u=RePEc:ant:wpaper:2007017&r=cmp |