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on Computational Economics |
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Issue of 2007‒11‒10
four papers chosen by |
| By: | Esposito Vinzi, Vincenzo (ESSEC Business school); Ringle, Christian M. (University of Hamburg, Faculty of Business, Economics and social Sciences); Squillacciotti, Silvia (Electricité de France, Research & Development); Trinchera, Laura (University of Naples, Federico II, Department of Mathematics and Statistics) |
| Abstract: | Segmentation in PLS path modeling framework results is a critical issue in social sciences. The assumption that data is collected from a single homogeneous population is often unrealistic. Sequential clustering techniques on the manifest variables level are ineffective to account for heterogeneity in path model estimates. Three PLS path model related statistical approaches have been developed as solutions for this problem. The purpose of this paper is to present a study on sets of simulated data with different characteristics that allows a primary assessment of these methodologies. |
| Keywords: | Partial Least Squares; Path Modeling; Unobserved Heterogeneity |
| JEL: | C39 C49 |
| Date: | 2007–07 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:essewp:dr-07019&r=cmp |
| By: | Sumie Sato (Graduate School of Economics, Kobe University); Mototsugu Fukushige (Graduate School of Economics, Osaka university) |
| Abstract: | This paper attempts to forecast the changes in the Kansai-Areafs import and export when the East Asia Free Trade Agreements (FTA) is concluded among several countries in East and South-East Asia. We simulate the changes in the Kansai-Areafs trade in the following manner. First, we survey the simulation studies that forecast the changed in Japanfs national level trades by industries under the FTA. Second, we estimate a link model between the Japanfs national level and Kansai-Areafs import and export by commodities. Finally, we forecast the changes in the Kansai-Areafs import and export by extrapolating the estimated link models with the changes in the national level import and export. The result implies that the FTA promotes the Kansai-Areafs trade totally and expands the regional trade surplus. |
| Keywords: | Free Trade Agreements, regional trade, Kansai-Area |
| JEL: | F13 F17 R11 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:0741&r=cmp |
| By: | Herbertsson, Alexander (Department of Economics, School of Business, Economics and Law, Göteborg University); Rootzén, Holger (Department of Mathematical Statistic) |
| Abstract: | We study a model for default contagion in intensity-based credit risk and its consequences for pricing portfolio credit derivatives. The model is specified through default intensities which are assumed to be constant between defaults, but which can jump at the times of defaults. The model is translated into a Markov jump process which represents the default status in the credit portfolio. This makes it possible to use matrix-analytic methods to derive computationally tractable closed-form expressions for single-name credit default swap spreads and kth-to-default swap spreads. We ”semicalibrate” the model for portfolios (of up to 15 obligors) against market CDS spreads and compute the corresponding kth-to-default spreads. In a numerical study based on a synthetic portfolio of 15 telecom bonds we study a number of questions: how spreads depend on the amount of default interaction; how the values of the underlying market CDS-prices used for calibration influence kth-th-to default spreads; how a portfolio with inhomogeneous recovery rates compares with a portfolio which satisfies the standard assumption of identical recovery rates; and, finally, how well kth-th-to default spreads in a nonsymmetric portfolio can be approximated by spreads in a symmetric portfolio.<p> |
| Keywords: | Portfolio credit risk; intensity-based models; default dependence modelling; default contagion; CDS; kth-to-default swaps; Markov jump processes; Matrix-analytic methods |
| JEL: | C02 C63 G13 G32 G33 |
| Date: | 2007–10–31 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:gunwpe:0269&r=cmp |
| By: | Olivier Bargain (University College Dublin, CHILD and IZA); Tim Callan (Economic and Social Research Institute and IZA) |
| Abstract: | To assess the impact of tax-benefit policy changes on income distribution over time, we suggest a methodology based on counterfactual simulations. We start by decomposing changes in inequality/poverty indices into three contributions: reforms of the tax-benefit structure (rules, rates, etc.), changes in nominal levels of market incomes and tax-benefit parameters (benefit amounts, tax bands, etc.), and all other changes in the underlying population (market income inequality, demographic composition, employment level, etc.). Then, the decomposition helps to extract an absolute measure of the impact of tax-benefit changes on inequality when evaluated against a distributionally-neutral benchmark, i.e., a situation where tax-benefit parameters are adjusted in line with income growth. We apply this measure to assess recent policy changes in twelve European countries. Finally, the full decomposition allows quantifying the relative role of policy changes compared to all other factors. We provide an illustration for France and Ireland and check the sensitivity of the results to the decomposition order. |
| Keywords: | tax-benefit policy, inequality, poverty, decomposition, microsimulation |
| JEL: | H23 H53 I32 |
| Date: | 2007–09 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp3078&r=cmp |