nep-cmp New Economics Papers
on Computational Economics
Issue of 2009‒10‒17
five papers chosen by
Stan Miles
Thompson Rivers University

  1. Calibración de modelos de equilibrio general computado: Métodos y práctica usual By Romero, Carlos A.
  2. Real time grid congestion management in presence of high penetration of wind energy By Arnaud Vergnol; Jonathan Sprooten; Benoît Robyns; Vincent Rious; Jacques Deuse
  3. Optimal network congestion management using wind farms By Arnaud Vergnol; Jonathan Sprooten; Benoît Robyns; Vincent Rious; Jacques Deuse
  4. Towards an understanding of tradeoffs between regional wealth, tightness of a common environmental constraint and the sharing rules By Raouf Boucekkine; Jacek B. Krawczyk; Thomas Vallée
  5. Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements By Dima Rahman

  1. By: Romero, Carlos A.
    Abstract: The present article presents a discussion of the methods generally adopted to build the database and to estimate the parameters that requires the implementation of computable general equilibrium models. Basically, this paper deals with “calibration” procedures for CGE models, which are utilized to infer economic data parameters values of a specific period, and that once specified those values in a model applied, reproduce endogenously the data of the period base as a solution. These procedures are the construction of the social accounting matrix, and the utilization of the cross entropy method to assure the consistency; the final calibration of the behavioral parameters and the validation of the model. The main objective is to present the methods, for which some examples were developed, and the related literature that is essential for their implementation.
    Keywords: Computable general equilibrium; Calibration
    JEL: C68 C81
    Date: 2009–06
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:17767&r=cmp
  2. By: Arnaud Vergnol (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Jonathan Sprooten (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Benoît Robyns (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Vincent Rious (SUPELEC-Campus Gif - SUPELEC); Jacques Deuse (Tractebel - GDF Suez)
    Abstract: With the increased use of wind energy the power generation several Transmission System Operators (TSO) have increasing difficulties for congestion forecasting due to the unpredictable nature of the energy source. This paper proposes to enhance the congestion management using a real time supervisor. This supervisor is developed to perform automatic and dynamic re-dispatching using both wind and conventional generators. In order to reduce the production constraints to the minimum, the real time congestion management is based on an indicator of the efficiency of a re-dispatching on the power flowing in the overloaded line. This approach leads to reduced re-dispatching costs and increased network reliability. The simulation of the supervisor and the test grid is realized using by the EUROSTAG [1]. It is shown that the real-time supervisor allows maximization of renewable production during congestions while ensuring network reliability.
    Keywords: Power management ;Power transmission;Energy system management;Wind energy ; Variable speed drive
    Date: 2009–09–10
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-00422160_v1&r=cmp
  3. By: Arnaud Vergnol (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Jonathan Sprooten (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Benoît Robyns (L2EP - Laboratoire d'électrotechnique et d'électronique de puissance (L2EP) - Université des Sciences et Technologies de Lille - Lille I - Arts et Metiers PARISTECH - Ecole Centrale de Lille - Haute Etude d'Ingénieurs); Vincent Rious (SUPELEC-Campus Gif - SUPELEC); Jacques Deuse (Tractebel - GDF Suez)
    Abstract: With the increased use of wind energy for the power generation several TSO have increasing difficulties for congestion forecasting due to the unpredictable nature of the energy source. An actual method used to deal with days-ahead congestion planning is based on an order of disconnection of the generation of the type “last generation installed, first generation limited”. This paper proposes to enhance the congestion management using a real time supervisor. This supervisor is developed to perform automatic and dynamic re-dispatching using both wind and conventional generators. In order to reduce the production constraints to the minimum, the real time congestion management is based on an indicator of the efficiency of a re-dispatching on the power flowing in the overloaded line. This approach leads to reduced re-dispatching costs and increased network reliability. Actual and proposed methods are compared in the paper using Matlab/Simulink simulations of a realistic test grid. It is shown that the real-time supervisor allows maximization of renewable production during congestions while ensuring network reliability.
    Keywords: Congestion management; Wind farm; Power Transfer Distribution Factors (PTDF); Power system control; Active power dispatch; Variable speed wind turbines.
    Date: 2009
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-00422544_v1&r=cmp
  4. By: Raouf Boucekkine (Department of economics and CORE - Université Catholique de Louvain); Jacek B. Krawczyk (Victoria University of Wellington - University of Wellington); Thomas Vallée (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)
    Abstract: Consider a country with two regions that have developed differently so that their current levels of energy efficiency differ. Each region's production involves the emission of pollutants, on which a regulator might impose restrictions. The restrictions can be related to pollution standards that the regulator perceives as binding the whole country (e.g., imposed by international agreements like the Kyoto Protocol). We observe that the pollution standards define a common constraint Upon the joint strategy space of the regions. We propose a game theoretic model with a coupled constraints equilibrium as a solution to the regulator's problem of avoiding excessive pollution. The regulator can direct the regions to implement the solution by using a political pressure, or compel them to employ it by using the coupled constraints' Lagrange multipliers as taxation coefficients. We specify a stylised model of the Belgian regions of Flanders and Wallonia that face a joint constraint, for which the regulator wants to develop a sharing rule. We analytically and numerically analyse the equilibrium regional production levels as a function of the pollution standards and of the sharing rules. We thus provide the regulator with an array of equilibria that he (or she) can select for implementation. For the computational results, we use NIRA, which is a piece of software designed to min-maximise the associated Nikaido-Isoda function.
    Date: 2009
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00422486_v1&r=cmp
  5. By: Dima Rahman
    Abstract: This paper investigates potential contagion among the major financial institutions in developed economies. Using Credit Default Swaps (CDS) premia as a measure of credit or counterparty risk, our analysis focuses on the extreme co-movements of Financial Institutions' default contracts during the high level of stress undergone by the CDS markets in the aftermath of the 2007 sub-prime crisis. Our approach is twofold: first, under different tail dependence scenarios, we calibrate several multivariate linear propagation models of constant correlation. Our Monte Carlo simulation study finds evidence of contagion for Financial Institutions- notably in the US-and captures a non-normal dependence structure in the tails for the traded contracts. Second, we estimate a multivariate Dynamic Conditional Correlation-GARCH (DCC-GARCH) model, and demonstrate significant ARCH and GARCH effects, as well as time-varying correlations in CDS spreads variations. Our overall analysis rejects the assumption of constant correlation. More importantly, it advocates changing structures in tail dependence for CDS series during times of financial turmoil as an important feature of banks’ increased fragility.
    Keywords: Bank fragility, Counterparty risk, Financial crises, Extreme co-movements, Conditional correlation, Multivariate GARCH, Monte Carlo simulation
    Date: 2009
    URL: http://d.repec.org/n?u=RePEc:drm:wpaper:2009-34&r=cmp

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