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on Computational Economics |
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Issue of 2009‒01‒24
six papers chosen by |
| By: | Kwamie Dunbar (University of Connecticut and Sacred Heart University) |
| Abstract: | The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies. |
| Keywords: | Dynamic Strategies; Credit Risk; Mean-Variance Analysis; Optimal Portfolio Selection; Viscosity Solution; Credit Default Swaps; Default Risk; Dynamic Control |
| JEL: | G0 G10 C02 C15 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:uct:uconnp:2009-03&r=cmp |
| By: | Andrea BONFIGLIO ([n.a.]) |
| Abstract: | This paper aims to analyse economic and social effects produced by changes in agricultural policy on an Italian "significantly rural" region, the Marche region. To this aim, a regional CGE model based on a 2004 SAM, constructed for this purpose, has been applied. Two policy scenarios have been analysed: total removal of price support and full decoupling. Results suggest that price support has indeed sustained agricultural output but has limited growth potentialities of the region. Moreover, it turned out that decoupling partly removes obstacles to a higher allocative efficiency and favours an improvement in income distribution. |
| Keywords: | Common Agricultural Policy, Social Accounting Matrix, policy impact, regional CGE model |
| JEL: | C63 C68 O18 Q18 |
| Date: | 2008–12 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wpaper:328&r=cmp |
| By: | Bettina Kretschmer; Sonja Peterson; Adriana Ignaciuk |
| Abstract: | Biofuels and other forms of bioenergy have received increased attention in recent times: They have partly been acclaimed as an instrument to contribute to rural development, energy security and to fight global warming but have been increasingly come under attack for their potential to contribute to rising food prices. It has thus become clear that bioenergy cannot be evaluated independently of the rest of the economy and that national and international feedback effects are important. In this paper we describe how the CGE model DART is extended to include first-generation biofuel production technologies. DART can now be used to assess the efficiency of combined climate and bioenergy policies. As a first example the effects of a 10% biofuel target in the EU are analyzed |
| Keywords: | biofuels, CGE model, climate policy |
| JEL: | D58 Q48 Q54 |
| Date: | 2008–12 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1472&r=cmp |
| By: | Haider, Adnan; Khan, Safdar Ullah |
| Abstract: | This paper estimates a small open economy Dynamic Stochastic General Equilibrium (DSGE) model for Pakistan using Bayesian simulation approach. Model setup is based on new Keynesian framework, characterized by nominal rigidity in prices with habit formation in household’s consumption. The core objective is to study whether an estimated small open economy DSGE model provides a realistic behavior about the structure Pakistan economy with fully articulated description of the monetary policy transmission mechanism vis-à-vis domestic firm’s price setting behavior. To do so, we analyze the impulse responses of key macro variables; domestic inflation, imported inflation, output, consumption, interest rate, exchange rate, term of trade to different structural/exogenous shocks. From several interesting results, few are; (a) high inflation in Pakistan do not hit domestic consumption significantly; (b) Central bank of Pakistan responds to high inflation by increasing the policy rate by 100 to 200 bps; (c) exchange rate appreciates in both the cases of high domestic and imported inflation; (d) tight monetary policy stance helps to curb domestic inflation as well as imported inflation but appreciates exchange rate significantly (f) pass through of exchange rate to domestic inflation is very low; finally parameter value of domestic price stickiness shows that around 24 percent domestic firms do not re-optimize their prices which implies averaged price contract is about two quarters. |
| Keywords: | New-Keynesian economics; open economy DSGE models; nominal rigidities; monetary policy transmission mechanism; Bayesian Approach |
| JEL: | F37 E32 E52 F47 E47 |
| Date: | 2008–11–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:12854&r=cmp |
| By: | Sonia Moulet (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales - CNRS : UMR6579); Juliette Rouchier (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales - CNRS : UMR6579) |
| Abstract: | This paper investigates the formation of prices in a perishable goods market where agents bargain repeatedly through pair-wise interactions. After extensive field observations, we chose to focus on two aspects that seem important to actors of this market : the passage of time and update in judgement when gathering information. The main feature of the market is that a seller bargaining with a buyer has incomplete information about buyer’s willingness to pay and is not sure how her trading partner will evaluate an offer or compare it with other options. On the other hand, buyers have limited time to look for good sand cannot meet all possible sellers before making a decision. Hence agents cannot calculate the best price to offer but receive information through limited interactions, and use this information to choose their actions. An agent-based model was built to represent a frame work that mimics the observed market institution and where agent’s possible behaviours and learning was made as consistent as possible with gathered data. Simulations were run, first for sensitivity analysis concerning main parameters, then to test the dependence of agents’learning to (a) the time buyers can spend on the market and (b) the frequency of update in learning by sellers. To validate the model, features produced by the simulated market are compared to the stylized facts gathered for negotiation about four goods. We reproduce the main features of the data on the dynamics of offers, transaction prices and agents’behavior during the bargaining phases. |
| Keywords: | agent-based model, bargaining, perishable goods, pair-wise interac-tion, decentralized market |
| Date: | 2009–01–15 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-00353505_v1&r=cmp |
| By: | Mishra, SK |
| Abstract: | In this paper we have proposed a method to conduct the ordinal canonical correlation analysis (OCCA) that yields ordinal canonical variates and the coefficient of correlation between them, which is analogous to (and a generalization of) the rank correlation coefficient of Spearman. The ordinal canonical variates are themselves analogous to the canonical variates obtained by the conventional canonical correlation analysis (CCCA). Our proposed method is suitable to deal with the multivariable ordinal data arrays. Our examples have shown that in finding canonical rank scores and canonical correlation from an ordinal dataset, the CCCA is suboptimal. The OCCA suggested by us outperforms the conventional method. Moreover, our method can take care of any of the five different schemes of rank ordering. It uses the Particle Swarm Optimizer which is one of the recent and prized meta-heuristics for global optimization. The computer program developed by us is fast and accurate. It has worked very well to conduct the OCCA. |
| Keywords: | Ordinal; Canonical correlation; rank order; rankings; scores; standard competition; modified competition; fractional; dense; Repulsive Particle Swarm; global optimization; computer program; FORTRAN |
| JEL: | C13 C43 C63 C14 C88 C61 |
| Date: | 2009–01–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:12796&r=cmp |