New Economics Papers
on Computational Economics
Issue of 2009‒08‒22
six papers chosen by

  1. Aid, Spending Strategies and Productivity Effects – A Multi-sectoral CGE Analysis for Zambia By Volker Clausen; Hannah Schürenberg-Frosch
  3. Technical Appendix to "Delivering endogenous inertia in prices and output" By Alok Johri
  4. Reviewing agent-based modelling of socio-ecosystems: a methodology for the analysis of climate change adaptation and sustainability By Stefano Balbi; Carlo Giupponi
  5. THE IMPACT OF AN ELECTRICITY GENERATION TAX ON THE SOUTH AFRICAN ECONOMY By Reyno Seymore; Philip David Adams; Margaret Mabugu; Jan van Heerden; James Blignaut
  6. High order discretization schemes for stochastic volatility models By Benjamin Jourdain; Mohamed Sbai

  1. By: Volker Clausen; Hannah Schürenberg-Frosch
    Abstract: Numerous econometric studies fail to detect a signicant and robust relationship between international aid and economic growth in the recipient countries. Dutch Disease effects might be responsible for this result.This paper examines the relation between aid and its effectiveness in a multi-sector multihousehold Computable General Equilibrium (CGE)-framework. Given that international transfers to African countries increasingly take the form of general financial support to the government, different spending strategies and their macroeconomic, sectoral and distributional effects are evaluated in a two-stage simulation making a distinction between immediate direct effects and possible long-run effects from increased productivity. While the model simulates the effects of additional aid in Zambia it can be used as a blueprint for other African countries.
    Keywords: Foreign aid, applied general equilibrium, Zambia, Dutch Disease, productivity
    JEL: O19 O55 F35
    Date: 2009–07
  2. By: 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); Paola Tubaro (CMH - Centre Maurice Halbwachs - CNRS : UMR8097 - Université de Caen - Ecole Normale Supérieure de Paris - ENS Paris - Ecole des Hautes Etudes en Sciences Sociales)
    Abstract: The co-evolution of social networks and opinion formation has received increasing attention in recent years. As a contribution to the growing literature on this topic, we explore connections between empirical data representing the advice network of judges at the Commercial Court in Paris and an agent-based simulation protocol testing various hypotheses on the motives that drive agent behaviors. A previous work (Rouchier et al. 2007) had already modeled the dynamics of advice-seeking among judges and studied the implications of different rationality assumptions on the shape of the emerging network. Here, we add an influence model to the previously examined advice-seeking relationships in order to explore the possibility that there is a form of “culture” at the Court that harmonizes the opinions of members over time; we identify a set of relevant stylized facts, and we use new indicators to evaluate how agents choose with whom to interact within this framework. The basic assumptions we analyze are that they seek advice from senior judges who are higher up in the hierarchy, who enjoy high reputation, or who are similar to them. Our simulations test which criterion –or which combination of criteria– is most credible, by comparing both the properties of the emerging network and the dynamics of opinion at the Court to the stylized facts. Our results single out the combination of criteria that most likely guide individuals' selection of advisors and provide insight into their effects on opinion formation.
    Keywords: Advice network ; Agent-Based Simulation ; Influence Model ; Opinion Dynamics ; Hierarchy ; Reputation
    Date: 2009–08–07
  3. By: Alok Johri (McMaster University)
    Abstract: This appendix provides simulation results for consumption, invest- ment and hours series for the "full model" discussed in the paper. The graphs also plot the relevant data for the US.
    Date: 2009–03
  4. By: Stefano Balbi (PhD Candidate in Analysis and Governance of Sustainable Development, Ca' Foscari University of Venice.); Carlo Giupponi (Ca' Foscari University of Venice, Department of Economics Center for Environmental Economics and Management)
    Abstract: The integrated - environmental, economic and social - analysis of climate change calls for a paradigm shift as it is fundamentally a problem of complex, bottom-up and multi-agent human behaviour. There is a growing awareness that global environmental change dynamics and the related socio-economic implications involve a degree of complexity that requires an innovative modelling of combined social and ecological systems. Climate change policy can no longer be addressed separately from a broader context of adaptation and sustainability strategies. A vast body of literature on agent-based modelling (ABM) shows its potential to couple social and environmental models, to incorporate the influence of micro-level decision making in the system dynamics and to study the emergence of collective responses to policies. However, there are few publications which concretely apply this methodology to the study of climate change related issues. The analysis of the state of the art reported in this paper supports the idea that today ABM is an appropriate methodology for the bottom-up exploration of climate policies, especially because it can take into account adaptive behaviour and heterogeneity of the system's components.
    Keywords: Review, Agent-Based Modelling, Socio-Ecosystems, Climate Change, Adaptation, Complexity.
    JEL: Q
    Date: 2009
  5. By: Reyno Seymore (Department of Economics, University of Pretoria); Philip David Adams (Centre of Policy Studies, Monash University); Margaret Mabugu (Department of Economics, University of Pretoria); Jan van Heerden (Department of Economics, University of Pretoria); James Blignaut (Department of Economics, University of Pretoria)
    Abstract: In the 2008 budget of the Minister of Finance, the South African Government proposed to impose a 2 cents/kilowatt-hour (c/kWh) tax on the sale of electricity generated from non-renewable sources; this tax is to be collected at source by the producers/generators of electricity. The intention of this measure is to serve a dual purpose of protecting the environment and helping to manage the current electricity supply shortages by reducing demand. The objective here is to evaluate the impact of such an electricity generation tax on the South African, SACU and SADC economies. The paper firstly considers the theoretical foundations of an electricity generation tax supported by international experiences in this regard. This section also contrasts the suitability of a permit with a tax system to achieve CO2 emission reduction. We subsequently apply the Global Trade Analysis Project (GTAP) model to evaluate the impact of an electricity generation tax on the South African, SACU and SADC economies. We simulate the proposed tax as a 10 percent increase in the output price of electricity. We assume a closure rule that allows unskilled labour to migrate and a limited skilled workforce. As expected, the electricity generation tax will reduce demand. Due to the decrease in domestic demand, export volume increases and import volume decreases, this is despite a weaker terms of trade. We also found that unemployment for unskilled labour increases and wages of skilled workers are expected to decrease. A unilateral electricity generation tax will benefit other SACU and SADC countries through an improvement in relative competitiveness, as shown by the improvement of the terms of trade for these regions. If, however, the benefits of pollution abatement are internalised, then electricity generation tax is expected to yield a positive effect on the South African economy.
    Date: 2009–08
  6. By: Benjamin Jourdain (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique - INRIA - Ecole Nationale des Ponts et Chaussées); Mohamed Sbai (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique - INRIA - Ecole Nationale des Ponts et Chaussées)
    Abstract: In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one-dimensional stochastic differential equation. We assume that the coefficients of this equation are smooth. Using Itô's formula, we get rid, in the asset price dynamics, of the stochastic integral with respect to the Brownian motion driving this SDE. Taking advantage of this structure, we propose - a scheme, based on the Milstein discretization of this SDE, with order one of weak trajectorial convergence for the asset price, - a scheme, based on the Ninomiya-Victoir discretization of this SDE, with order two of weak convergence for the asset price. We also propose a specific scheme with improved convergence properties when the volatility of the asset price is driven by an Orstein-Uhlenbeck process. We confirm the theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the multilevel Monte Carlo method introduced by Giles [2008a,b].
    Keywords: discretization schemes, stochastic volatility models, weak trajectorial convergence, multilevel Monte Carlo
    Date: 2009–08–07

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