nep-cmp New Economics Papers
on Computational Economics
Issue of 2008‒09‒29
eleven papers chosen by
Stan Miles
Thompson Rivers University

  1. Optimal household energy management and economic analysis: from sizing to operation scheduling By T.T. Ha Pham; Cédric Clastres; F. Wurtz; S. Bacha; E. Zamaï
  2. Retirement Systems, Demography, Happiness and Welfare Redistribution By Barbara Ferrari; Luigi Mittone; Marco Tecilla
  3. INDONESIA-E3: An Indonesian Applied General Equilibrium Model for Analyzing the Economy, Equity, and the Environment By Arief Anshory Yusuf
  4. Is combination of nodal pricing and average participation tariff the best solution to coordinate the location of power plants with lumpy transmission investments? By Vincent Rious; Yannick Perez; Philippe Dessante
  5. An agent-based computational approach to explaining persistent spatial unemployment disparities By McArthur, David; Thorsen, Inge; Ubøe, Jan
  6. Using The Artificial Neural Network (ANN) to Assess Bank Credit Risk: A Case Study of Indonesia By Maximilian J. B. Hall; Dadang Muljawan; Suprayogi; Lolita Moorena
  7. Nouveaux instruments d’évaluation pour le risque financier d’entreprise By Greta Falavigna
  8. Should Dynamic Scoring be done with Heterogeneous Agent-Based Models? Challenging the Conventional Wisdom By M Saifur Rahman
  9. Linking CGE and Microsimulation Models: A Comparison of Different Approaches By Colombo, Giulia
  10. Improved project time performance using activity sensitivity and network topology information By M. VANHOUCKE
  11. Real-Time Measurement of Business Conditions By S. Boragan Aruoba; Francis X. Diebold; Chiara Scotti

  1. By: T.T. Ha Pham (G2ELAB - Grenoble Electrical Engineering - Institut National Polytechnique de Grenoble - INPG - Université Joseph Fourier - Grenoble I); Cédric Clastres (G2ELAB - Grenoble Electrical Engineering - Institut National Polytechnique de Grenoble - INPG - Université Joseph Fourier - Grenoble I, LEPII - Laboratoire d'Économie de la Production et de l'Intégration Internationale - CNRS : UMR5252 - Université Pierre Mendès-France - Grenoble II); F. Wurtz (G2ELAB - Grenoble Electrical Engineering - Institut National Polytechnique de Grenoble - INPG - Université Joseph Fourier - Grenoble I); S. Bacha (G2ELAB - Grenoble Electrical Engineering - Institut National Polytechnique de Grenoble - INPG - Université Joseph Fourier - Grenoble I); E. Zamaï (G-SCOP - Laboratoire des sciences pour la conception, l'optimisation et la production - CNRS : UMR - Institut National Polytechnique de Grenoble - INPG - Université Joseph Fourier - Grenoble I)
    Abstract: The study presented in this paper takes part in a project aiming to increase the value of solar production for residential application with a medium-term vision where preferential solar energy subsidies will decrease before to disappear. This study is dedicated to propose and develop optimal energy architecture at supply side, a multi-source system based on photovoltaic (PV) solar energy connecting to main electrical network, taking further into account the effectiveness of intelligent demand side management. To investigate this issue, a method of optimal supplying system sizing and household energy management has been developed. This method, which has been formulated employing Mix Integer Linear Programming (MILP), enables the calculation of the appropriate configuration for power supply system and the optimal operation control to be applied. Using a Net Present Value (NPV) and Probability Index (P.I) basis, the economic analysis allows estimation of the viability of the proposed system under different factors of influence such as renewable energy policies, technology evolutions leading to cheaper installed PV module cost and deregulated electricity market. Simulation results show that, the solution makes it possible for PV power to be significantly valued by the customers without subsidized measures.
    Keywords: connected-grid PV system ; battery storage ; sizing optimization ; energy management ; MILP
    Date: 2008–07
  2. By: Barbara Ferrari; Luigi Mittone; Marco Tecilla
    Abstract: This research investigates whether an equity improvement within retirement-systems domain may positively influence demography, people’s happiness and their financial conditions. In particular, a fertility-boosting policy has been tested, acting on the contributory rate. This project has been carried out by using software simulation and with specific Agent-based Computational Economics (ACE) methodology. Two virtual worlds have been created, in order to try to reproduce Italian society. In the first model, (W1), vertical equity has been improved, while in the second one, (W2), it is has not. Five further variants of these two worlds have been produced by altering some parameters, in order to test our hypothesis through several simulations. The research outcomes prove that an equity improvement can positively influence demographic trends, can increase the level of happiness in the society, and can grant a more homogeneous welfare redistribution.
    Keywords: Retirement systems, demography, happiness, wealth distribution, equity, software simulation, Agent Based Computational Economics
    Date: 2008
  3. By: Arief Anshory Yusuf (Department of Economics, Padjadjaran University)
    Abstract: INDONESIA-E3 is a CGE (Computable General Equilibrium) model built to analyze the Economy, Equity,and the Environment - the three inter-related aspects of sustainable development. It is a multi-sectors, multi-households CGE model that incorporate carbon emissions and taxation and with a strong feature in distributional analysis. It can be used, for example, to study the impact of environmental reforms, such as carbon emission reduction and energy pricing policy, has on inequality and poverty for the case of Indonesia. The model captures the inter-dependence among markets in the determination of both price of commodities and factor of productions and how it will affect distribution of income. As a departure from the previous literature, the disaggregation of household by expenditure classes allows for precise estimates of the distributional impact and poverty incidence. This paper describes the model structure such as production and consumption structure, database, parameters, method for distributional analysis, possible closures, and and method for sensitivity analysis.
    Keywords: INDONESIA-E3, Computable General Equilibrium, Equity, Environment
    JEL: C68 D58
    Date: 2008–09
  4. By: Vincent Rious (SUPELEC-Campus Gif - SUPELEC); Yannick Perez (ADIS - Analyse des Dynamiques Industrielles et Sociales - Université Paris Sud - Paris XI); Philippe Dessante (SUPELEC-Campus Gif - SUPELEC)
    Abstract: This paper evaluates the opportunity and efficiency to introduce a two-part tariff to coordinate the location of power plants with lumpy transmission investments. Nodal pricing sends the short run component of such a two-part tariff and we study the case where the average participation tariff sends the long run one. We argue that this solution is helpful because the average participation tariff tackles lumpiness of transmission capacity while being as cost-reflective as possible. Our proposition is evaluated based on a double optimization model where a TSO minimizes the transmission cost while a generator minimizes its own cost that may take into account network constraints and include the average participation tariff. Numerical simulations are performed on a two-node network evolving during twenty years with increasing demand. The joint implementation of nodal pricing and the average participation tariff stays the best combination to coordinate as efficiently as possible the generation and transmission investments, although the optimal set of generation and transmission investments may not be reached because of transmission lumpiness. The simulations show also that implementing locational network tariffs is prioritary over implementing nodal pricing to coordinate more efficiently the location of generation with lumpy transmission investment. In the considered examples, the average participation tariff allows a more efficient location of generation even when the congestion management scheme being redispatch sends no short run locational signal.
    Keywords: Generation investment; Lumpy transmission investment; Long run coordination; Locational signals; Efficiency evaluation
    Date: 2008
  5. By: McArthur, David (Stord/Haugesund University College); Thorsen, Inge (Stord/Haugesund University College); Ubøe, Jan (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)
    Abstract: This paper explores possible reasons for persistent spatial unemployment disparities using agent-based computational methods. The method relies on observing the actions of thousands of individuals within an artificial society. The paper models the effect of unemployment insurance, wage disparities, region specific amenities and innate residential preferences on regional labour market interactions, accounting for both migration and commuting. An empirical example of Rogaland county in south-west Norway is given, where unemployment disparities have proved remarkably persistent for decades. The model provides non-trivial insight into the nature of spatial unemployment disparities as well as making a valuable contribution to the policy debate.
    Keywords: Unemployment insurance; wage disparities; region specific amenities; innate residential preferences; regional labour market interactions
    JEL: R10 R12 R15
    Date: 2008–09–22
  6. By: Maximilian J. B. Hall (Dept of Economics, Loughborough University); Dadang Muljawan (Central Bank of Indonesia); Suprayogi (Industrial Engineering Program, Bandung Institute of Technology, Indonesia); Lolita Moorena (Central Bank of Indonesia Internship program, Bandung Institute of Technology, Indonesia)
    Abstract: Ever since the Asian Financial Crisis, concerns have risen over whether policy-makers have sufficient tools to maintain financial stability. The ability to predict financial disturbances enables the authorities to take precautionary action to minimize their impact. In this context, the authorities may use any financial indicators which may accurately predict shifts in the quality of bank exposures. This paper uses key macro-economic variables (i.e. GDP growth, the inflation rate, stock prices, the exchange rates, and money in circulation) to predict the default rate of the Indonesian Islamic banks’ exposures. The default rates are forecasted using the Artificial Neural Network (ANN) methodology, which incorporates the Bayesian Regularization technique. From the sensitivity analysis, it is shown that stock prices could be used as a leading indicator of future problem.
    Keywords: default risk, artificial neural network, Bayesian regularization, transition matrix.
    JEL: E25 G32 C63 E27 C11
    Date: 2008–07
  7. By: Greta Falavigna (Ceris - Institute for Economic Research on Firms and Growth, Moncalieri (Turin), Italy)
    Abstract: On a wake of Basel II in 2004, banks and financial institutions had focused on the default analysis of firms. In this contribution, artificial neural networks are used for extracting balance-sheet variables determining the default of enterprises on a base of prospective vision. A manufacturing sample and a services one are introduced in the network and then analysed. In this way, the goal has been to show that artificial neural networks were good tools for classifying firms on a base of balance-sheet data. Moreover, these models are also able to underline indices determining the default risk of firm.
    Keywords: Artificial neural networks (ANN), Determinant variables, Default risk, Manufacturing industry, Service industry.
    JEL: C63 G33 L60 L63
    Date: 2008–06
  8. By: M Saifur Rahman (Indiana University Bloomington)
    Abstract: Traditionally, Dynamic Scoring calculations experiments are carried out using representative agent based macroeconomic models. Existing literature does not provide any objection to this approach. In this paper, I develop a heterogeneous agent model similar to the Saver-Spenders model of Mankiw (2000). But spenders in my model are merely credit constrained and not rule-of-thumb consumers. Both groups are intertemporal optimizers because of the existence of Internal Habit Persistence. Transition path of most of the macro and fiscal variables for various tax cuts under alternative financing scheme shows pattern which are significantly different and sometimes contrasting to the representative agent model. Dynamic scoring calculations reveal a downward bias of the representative agent model. Underestimation of the dynamic response could be as large as 45%. Finally, steady state results indicate smaller impact of contractionary policies on major fiscal variables such as net tax revenue and tax base. Over all, the paper argues that the need to use heterogeneous agent based model in dynamic fiscal calculations is not only desirable, but also essential.
    JEL: E62 H2 H3 H6
    Date: 2008–09
  9. By: Colombo, Giulia
    Abstract: In the paper we describe in detail how to build linked CGE-microsimulation models (using fictitious data) following three main approaches: one in accordance with the fully integrated approach and the other two according to the layered approach – the so-called Top-Down and Top-Down/Bottom-Up approaches. After this, we implement the same policy reform in each of the three models. Results show that all three approaches yield different results especially in terms of income distribution and poverty, although analysed within the same economy and under the same policy simulation. We then analyse in more detail the TD/BU approach as developed by Savard (2003) and, in order to avoid possible deviations due to data inconsistencies, we propose an alternative way of taking into account feedback effects from the micro level of analysis into the CGE model.
    Keywords: CGE models, microsimulation, income distribution
    JEL: C15 C35 C68 D31
    Date: 2008
  10. By: M. VANHOUCKE
    Abstract: The interest in activity sensitivity from both the academics and the practitioners lies in the need to focus a project manager's attention on those activities that influence the performance of the project. When management has a certain feeling of the relative sensitivity of the various parts (activities) on the project objective, a better management's focus and a more accurate response during project tracking should positively contribute to the overall performance of the project. <br>In the current research manuscript, a simulation study is performed to measure the ability of four basic sensitivity metrics to dynamically improve the time performance during project execution. We measure the use sensitivity information to guide the corrective action decision making process to improve a project's time performance, while varying the degree of management's attention. A large amount of simulation runs are performed on a large set of fictive project networks generated under a controlled design.
    Date: 2008–06
  11. By: S. Boragan Aruoba; Francis X. Diebold; Chiara Scotti
    Abstract: We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.
    JEL: C01 C22 E32 E37
    Date: 2008–09

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