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on Computational Economics |
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Issue of 2007‒12‒01
ten papers chosen by |
| By: | Mark W. Nichols (Department of Economics, University of Nevada, Reno); Michael J. Radzicki (Department of Social Science and Policy Studies, Worcester Polytechnic Institute) |
| Abstract: | Recently, computer simulation, particularly agent-based modeling, has grown in popularity as a method to uncover macro patterns and developments that emerge from simple micro behavior. The present paper combines both techniques by using protocol analysis to uncover player strategies in an experiment and encoding those strategies in an agent-based computer simulation. In particular, Keynes’ (1936) beauty contest analogy is simulated in a number-guessing context. Several researchers have conducted experiments asking subjects to play “p-beauty contest games” in order to compare the experimental results with those predicted by the game-theoretic, deductive reasoning concept of iterated dominance. Our results are compared with those found experimentally in order to demonstrate the usefulness of a combining agent-based modeling with protocol analysis. |
| Keywords: | Agent-Based modeling; Beauty contest games |
| JEL: | C15 E12 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:unr:wpaper:07-010&r=cmp |
| By: | Hakim Akeb (Institut Supérieur du Commerce et LaRIA); Mhand Hifi (LaRIA et Centre d'Economie de la Sorbonne) |
| Abstract: | In this paper, we propose to solve the circular packing problem (CPP) whose objective is to pack n different circles C(i) of known radius r(i) , i = 1, …, n into the smallest containing circle C. The objective is to determine the radius r of C as well as the coordinates (x(i) , y(i)) of the center of the circles C(i), i = 1, …, n. This problem is solved by applying an adaptive algorithm that combines the beam search, the local position distance and the dichotomous search strategy. Decisions at each node of the developed tree are based on the well-known maximum hole degree that uses the local minimum distance. The computational results, on a set of instances taken from the literature, show the effectiveness of the proposed algorithms. |
| Keywords: | Circular packing, dichotomous search, beam search, maximum hole degree. |
| JEL: | C44 C61 C63 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:b07070&r=cmp |
| By: | Fida Karam (Centre d'Economie de la Sorbonne); Bernard Decaluwé (Université de Laval - Département d'Economie) |
| Abstract: | Recent economic literature on the impact of migration on the country of origin has not successfully analyzed the effect of migration on unemployment and wage rate especially in urban area. Using a detailed CGE model applied to the moroccan economy, we are able to show that if we take into account simultaneously moroccan emigration to European Union, immigration from Sub-Saharan Africa into Morocco and rural-urban migration, the impact on wage rate and unemployment is ambiguous. |
| Keywords: | Imperfect labor market, migration, computable general equilibrium model. |
| JEL: | C68 F22 J44 J61 J64 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:bla07016a&r=cmp |
| By: | Yvan Decreux; Hugo Valin |
| Abstract: | MIRAGE is a multi-region, multi-sector computable general equilibrium model, devoted to trade policy analysis. It incorporates imperfect competition, horizontal and vertical product differentiation, and foreign direct investment, in a sequential dynamic set-up where installed capital is assumed to be immobile. Adjustment inertia is linked to capital stock reallocation. MIRAGE draws upon a very detailed measure of trade barriers and of their evolution under given hypotheses, thanks to the MAcMap database. The most recent version, presented in this document, offers improvements in the modelling of agriculture policy and dynamics. |
| Keywords: | Computable general equilibrium model; trade policy; agriculture; dynamics; foreign direct investment; imperfect competition |
| JEL: | D58 F12 F13 Q17 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:cii:cepidt:2007-15&r=cmp |
| By: | Fathi , Abid; Nader, Naifar |
| Abstract: | This paper deals with the impact of structure of dependency and the choice of procedures for rare-event simulation on the pricing of multi-name credit derivatives such as nth to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based simulation procedure for pricing basket default swaps and CDO under different structure of dependency and assessing the influence of different price drivers (correlation, hazard rates and recovery rates) on modelling portfolio losses. Gaussian copulas and Monte Carlo simulation is widely used to measure the default risk in basket credit derivatives. Default risk is often considered as a rare-event and then, many studies have shown that many distributions have fatter tails than those captured by the normal distribution. Subsequently, the choice of copula and the choice of procedures for rare-event simulation govern the pricing of basket credit derivatives. An alternative to the Gaussian copula is Clayton copula and t-student copula under importance sampling procedures for simulation which captures the dependence structure between the underlying variables at extreme values and certain values of the input random variables in a simulation have more impact on the parameter being estimated than others . |
| Keywords: | Collateralized Debt Obligations; Basket Default Swaps; Monte Carlo method; One factor Gaussian copula; Clayton copula; t-student copula; importance sampling. |
| JEL: | G19 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:6014&r=cmp |
| By: | Carraro, Carlo; Sgobbi, Alessandra |
| Abstract: | The objective of this paper is to investigate the usefulness of non-cooperative bargaining theory for the analysis of negotiations on water allocation and management. We explore the impacts of different economic incentives, a stochastic environment and varying individual preferences on players’ strategies and equilibrium outcomes through numerical simulations of a multilateral, multiple issues, non-cooperative bargaining model of water allocation in the Piave River Basin, in the North East of Italy. Players negotiate in an alternating-offer manner over the sharing of water resources (quantity and quality). Exogenous uncertainty over the size of the negotiated amount of water is introduced to capture the fact that water availability is not known with certainty to negotiating players. We construct the players’ objective function with their direct input. We then test the applicability of our multiple players, multi-issues, stochastic framework to a specific water allocation problem and conduct comparative static analyses to assess sources of bargaining power. Finally, we explore the implications of different attitudes and beliefs over water availability. |
| Keywords: | bargaining; non-cooperative game theory; simulation models; uncertainty |
| JEL: | C61 C71 C78 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:6585&r=cmp |
| By: | Blake Phillips; James Beck Jr.; Trevor Nickel |
| Abstract: | Output from the SELES MPB Landscape Scale Mountain Pine Beetle Model (Fall et al., 2004) was utilized to estimate potential mountain pine beetle spread rates within the Hinton Wood Products Forest Management Area (HFMA) of the Foothills Model Forest. From the SELES model output three spread rate scenarios were hypothesized. Scenario 1 hypothesized a Mountain Pine Beetle (MPB) spread rate slower than the rate estimated by the SELES MPB Model. Within Scenario 1, current Annual Allowable Cut (AAC) levels were hypothesized to be adequate to harvest MPB damaged lodgepole pine stands. Scenario 2 hypothesized that spread rates would be consistent with the recommended run from the SELES MPB Model, resulting in attack of the majority of the stands within the HFMA within 29 years. Scenario 3 hypothesized that spread rates would be higher than estimated by the SELES MPB Model, resulting in attack of the majority of lodgepole pine stand in the HFMA in 20 years (Scenario 3.1) or 10 years (Scenario 3.2). The even flow harvest rates required to utilize commercially viable stands attacked by MPB were determined (Surge Period). The modeling program Forest Muncher was utilized to estimate the decrease in AAC which could result from succession / salvage harvest of the majority of lodgepole pine stands within the HFMA within each scenario (Post Surge Period). Based on these AAC estimates, the potential economic impact of MPB attack influenced AAC changes was examined utilizing output from the Computable General Equilibrium Framework (CGE) Model developed by Mike Patriquin and Bill White of the Canadian Forest Service (Patriquin et al., 2005). Scenario 1 had a nearly inappreciable impact on the economic indicators for the forest industry or the total economy in the Foothills Model Forest Area. Within Scenario 2, forest industry revenue, royalties, labour income, and employment were estimated to increase by 40 – 50% during the Surge Period and decrease by 4.7– 6.0% in the Post Surge Period. Within Scenarios 3.1 and 3.2 forestry revenue, royalties, labour income and employment increases ranged from 70 – 90% for Scenario 3.1 and ranged from 160 – 210% for Scenario 3.2 during the Surge Period. Revenue, royalties, labour income and employment in the forest industry were estimated to decrease by 6 – 9% within the Post Surge Periods of Scenarios 3.1 and 3.2. Economic, forest industry capacity, social and environmental factors which may limit the feasibility of large scale salvage of mountain pine beetle damaged stands are discussed within the report. |
| Keywords: | Mountain pine beetle--Alberta--Case studies, Mountain pine beetle--Economic aspects--Alberta--Case studies, Forest management--Alberta--Case studies, Foothills Model Forest |
| JEL: | Q57 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:alb:series:1100&r=cmp |
| By: | Lay, Jann; M'Mukaria, George Michuki; Mahmoud, Toman Omar |
| Abstract: | Diversification into non-agricultural activities in rural areas can be broadly classified as either survival-led or opportunity-led. The existence of these two types of non-agricultural activities implies a U-shaped relationship between the share of income derived from non-agricultural activities and household wealth as well as total household income. Survival-led engagement in non-agricultural activities would be inequality-decreasing through increasing the incomes of the poorer parts of the population and would reduce poverty. Opportunity-led diversification, by contrast, would increase inequality and have a minor effect on poverty, as it tends to be confined to non-poor households. Using data from a household survey conducted by ourselves in Western Kenya, we find the overall share of non-agricultural income in this very poor region to be important, but below the sub-Saharan African average. Multivariate analyses confirm the existence of both survival-led and opportunity-led diversification. Yet, the poverty and inequality implications of the differently motivated diversification strategies differ somewhat from our expectations. As expected, we find high-return activities to be confined to richer households, while both rich and poor households are engaged in low-return activities. Very poor households even appear to be excluded from the latter. Simple simulation exercises illustrate the inequality-increasing and very limited poverty effects of increases in high-return income, whereas increased low-return income shows substantial poverty reduction leverage. Our findings indicate that rural households do not only face asset constraints, but also very limited or relatively risky high-return opportunities outside agriculture. |
| Keywords: | Income diversification, non-agricultural activities, inequality, poverty, sub-Saharan Africa, Kenya |
| JEL: | I31 O17 Q12 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:gdec07:6543&r=cmp |
| By: | Daniele Marazzina (SEMEQ Department - Faculty of Economics - University of Eastern Piedmont) |
| Abstract: | The aim of this work is to present a Matlab implementation of different methods for estimating the term structure of interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods (with or without penalty term), considering both coupon bonds, like Italian Btp, and Libor and Swap interest rates. Furthermore, we compare the models'performances, considering both computational costs and approximation results. |
| Keywords: | Interest Rate; Matlab; Spline; Term Structure; Italian Market |
| JEL: | G12 |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:upo:upopwp:112&r=cmp |
| By: | Brian Knight; Nathan Schiff |
| Abstract: | This paper provides an investigation of the role of momentum and social learning in sequential voting systems. In the econometric model, voters are uncertain over candidate quality, and voters in late states attempt to infer the information held by those in early states from voting returns. Candidates experience momentum effects when their performance in early states exceeds expectations. The empirical application focuses on the responses of daily polling data to the release of voting returns in the 2004 presidential primary. We find that Kerry benefited from surprising wins in early states and took votes away from Dean, who held a strong lead prior to the beginning of the primary season. The voting weights implied by the estimated model demonstrate that early voters have up to 20 times the influence of late voters in the selection of candidates, demonstrating a significant departure from the ideal of "one person, one vote." We then address several alternative, non-learning explanations for our results. Finally, we run simulations under different electoral structures and find that a simultaneous election would have been more competitive due to the absence of herding and that alternative sequential structures would have yielded different outcomes. |
| JEL: | D7 D8 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:13637&r=cmp |