nep-cmp New Economics Papers
on Computational Economics
Issue of 2008‒06‒07
eight papers chosen by
Stan Miles
Thompson Rivers University

  1. Inflation Forecasting using Artificial Neural Networks By Bukhari, S. Adnan H. A. S. Bukhari; Hanif, Muhammad Nadeem
  2. Solving a Multi-Level Capacitated Lot Sizing Problem with Multi-Period Setup Carry-Over via a Fix-and-Optimize Heuristic By Sahling, Florian; Buschkühl, Lisbeth; Tempelmeier, Horst; Helber, Stefan
  3. Can Migrants Save Greece From Ageing? A Computable General Equilibrium Approach Using G-AMOS. By Nikos Pappas
  4. An improvement of a cellular manufacturing system design using simulation analysis By Hachicha, Wafik; Masmoudi, Faouzi; Haddar, Mohamed
  5. Effects of Flat Tax Reforms in Western Europe on Equity and Efficiency By Paulus A;
  6. The two-period rational inattention model: accelerations and analyses By Kurt F. Lewis
  7. Economic partnership agreements between the European Union and African, Caribbean, and Pacific Countries: What is at stake for Senegal By Berisha-Krasniqi, Valdete; Bouet, Antoine; Mevel, Simon
  8. Nested simulation in portfolio risk measurement By Michael B. Gordy; Sandeep Juneja

  1. By: Bukhari, S. Adnan H. A. S. Bukhari; Hanif, Muhammad Nadeem
    Abstract: An artificial neural network (ANN) is an information-processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and time series forecasting, have dramatically increased. Many central banks use forecasting models based on ANN methodology for predicting various macroeconomic indicators, like inflation, GDP Growth and currency in circulation etc. In this paper, we have attempted to forecast monthly YoY inflation for Pakistan by using ANN for FY08 on the basis of monthly data of July 1993 to June 2007. We also compare the forecast performance of the ANN model with that of univariate AR(1) model and observed that RMSE of ANN based forecasts is much less than the RMSE of forecasts based on AR(1) model. At least by this criterion forecast based on ANN are more precise.
    Keywords: artificial neural network; forecasting; inflation
    JEL: C51 C53 E31 C52 E37
    Date: 2007–07–13
  2. By: Sahling, Florian; Buschkühl, Lisbeth; Tempelmeier, Horst; Helber, Stefan
    Abstract: This paper presents a new algorithm for the dynamic Multi-Level Capacitated Lot Sizing Problem with Setup Carry-Overs (MLCLSP-L). The MLCLSP-L is a big-bucket model that allows the production of any number of products within a period, but it incorporates partial sequencing of the production orders in the sense that the first and the last product produced in a period are determined by the model. We solve a model which is applicable to general bill-of-material structures and which includes minimum lead times of one period and multi-period setup carry-overs. Our algorithm solves a series of mixed-integer linear programs in an iterative so-called Fix-and-Optimize approach. In each instance of these mixed-integer linear programs a large number of binary setup variables is fixed whereas only a small subset of these variables is optimized, together with the complete set of the inventory and lot size variables. A numerical study shows that the algorithm provides high-quality results and that the computational effort is moderate.
    Keywords: Lot Sizing, MIP, Decomposition, MLCLSP-L, Fix-and-Optimize heuristic.
    JEL: C61
    Date: 2008–06
  3. By: Nikos Pappas (Department of Economics, University of Strathclyde)
    Abstract: The population of Greece is projected to age in the course of the next three decades. This paper combines demographic projections with a multi-period economic Computable General Equilibrium (CGE) modelling framework to assess the macroeconomic impact of these future demographic trends. The simulation strategy adopted in Lisenkova et. al. (2008) is also employed here. The size and age composition of the population in the future depends on current and future values of demographic parameters such as the fertility, mortality rates and the level of annual net migration. We use FIV-FIV software in order to project population changes for 30 years. Total population and working age population changes are introduced to the G-AMOS modelling framework calibrated for the Greek economy for the year 2004. Positive net migration is able to cancel the negative impacts of an ageing population that would otherwise occur as a result of the shrinking of the labour force. The policy implication is that a viable, long-lasting migration policy should be implemented, while the importance of policies that could increase fertility should also be considered.
    Keywords: CGE modelling, ageing population, migration, demography, Greece
    JEL: J11 J21
    Date: 2008–03
  4. By: Hachicha, Wafik; Masmoudi, Faouzi; Haddar, Mohamed
    Abstract: Cell Formation (CF) problem involves grouping the parts into part families and machines into manufacturing cells, so that parts with similar processing requirements are manufactured within the same cell. Many researches have suggested methods for CF. Few of these methods; have addressed the possible existence of exceptional elements (EE) in the solution and the effect of correspondent intercellular movement, which cause lack of segregation among the cells. This paper presents a simulation-based methodology, which takes into consideration the stochastic aspect in the cellular manufacturing (CM) system, to create better cell configurations. An initial solution is developed using any of the numerous CF procedures. The objective of the proposed method which provides performances ratings and cost-effective consist in determine how best to deal with the remaining EE. It considers and compares two strategies (1) permitting intercellular transfer and (2) exceptional machine duplication. The process is demonstrated with a numerical example
    Keywords: Cell Formation; Exceptional Elements; Simulation; Alternative costs; Improvement
    JEL: C61 C15
    Date: 2007–02–15
  5. By: Paulus A (Institute for Social & Economic Research);
    Abstract: The flat income tax has become increasingly popular recently, yet its implementation is limited to Eastern Europe. We analyse the distributional and efficiency effects of flat tax scenarios for Western European countries. Our simulations show that flat tax rates required to attain revenue neutrality with existing basic allowances improve labour supply incentives. However, they result in higher inequality and polarisation. Flat rates necessary to keep the inequality levels unchanged allow for some scope for flat taxes to increase both equity and efficiency. Our analysis suggests that Mediterranean countries are more likely to benefit from flat taxes.
    Keywords: Flat tax reform, income distribution, work incentives, microsimulation
    JEL: C81 D31 H24
    Date: 2008–05
  6. By: Kurt F. Lewis
    Abstract: This paper demonstrates the properties of and a solution method for the more general two-period Rational Inattention model of Sims (2006). It is shown that the corresponding optimization problem is convex and can be solved very quickly. This paper also demonstrates a computational tool well-suited to solving Rational Inattention models and further illustrates a critique raised in Sims (2006) regarding Rational Inattention models whose solutions assume parametric formulations rather than solve for their optimally-derived, non-parametric counterparts.
    Date: 2008
  7. By: Berisha-Krasniqi, Valdete; Bouet, Antoine; Mevel, Simon
    Abstract: "In recent years the European Union has sought to transform its trading regime with the ACP countries by advocating reciprocal free trade agreements with them through Economic Partnership Agreements (EPAs). As a result, the EPA talks were launched in 2002 and were expected be completed by the end of 2007. Nevertheless, many African countries, including Senegal did not reach agreements with the European Union in 2007 amid rising concerns that such agreements do not represent the interests of developing countries. This policy shift from preferential trade to free trade would imply drastic changes for Senegal's economy, which currently enjoys relatively good access to European market (but also to the U.S. through the African Growth Opportunity Act) while applying a high domestic protection on all sources of imports. As a result, this type of reform would result in improved access to foreign markets only for the EU. Furthermore, the EPA implies a loss of tariff revenues from liberalization, which has been a key concern for ACP countries from the beginning of talks because they constitute a high level of public receipts there. Finally this kind of reform could lead to trade diversion in Senegal while creating not enough trade. Using the MIRAGE computable general equilibrium model the study examines the potential impact of Economic Partnership Agreements on ACP countries with a special focus on Senegal." from Author's Abstract
    Keywords: Economic partnership agreements, European Union, economic growth, Computable general equilibrium (CGE) modeling, trade, Markets, Globalization,
    Date: 2008
  8. By: Michael B. Gordy; Sandeep Juneja
    Abstract: Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator. Finally, we introduce a jackknife procedure for bias reduction and a dynamic allocation scheme for improved efficiency.
    Date: 2008

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