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on Computational Economics |
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Issue of 2009‒11‒21
eight papers chosen by |
| By: | Madalina Andreica |
| Abstract: | The study consisted in collecting financial information for a group of distressed and non-distressed Romanian listed companies during the period 2006–2008, in order to create early warning signals for financial distressed companies using the following methodologies: the Logistic and the Hazard model, the CHAID decision tree model and the Artificial Neural Network model (ANN). For each company a set of 14 financial ratios, that reflect the company’s profitability, solvency, asset utilization, growth ability and size, were calculated and then used in the study. A Principal Component Analysis was also used to reduce the dimensionality of the data space and to allow seeing that the 2 types of companies do form 2 distinct groups suggesting that the ratios used are useful enough to predict financial distress. The following 4 data sets were separately analyzed: first-year data to predict distress one year ahead, second-year data for a 2 year-ahead prediction, third-year data for a 3 year-ahead prediction, as well as cumulative three-year data to predict distress 1 year ahead by letting the ratios vary in time. For each data set, several prediction models were created using CHAID, the Logit and Hazard models as well as the ANN and the hybrid-ANN. The results are consistent with the theory and also to previous studies and the out-of-sample forecast accuracy of the estimated models of 73%-100% indicates that the proposed early warning models for the Romanian listed companies are quite efficient. |
| Keywords: | early warning signals, CHAID, ANN |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:37&r=cmp |
| By: | Eckhard Platen (School of Finance and Economics, University of Technology, Sydney); Renata Rendek (School of Finance and Economics, University of Technology, Sydney) |
| Abstract: | Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations and application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. They have been playing a crucial role as standard models in various areas and dominate often the communication and thinking in a particular field of application, even that they may be too simple for more advanced tasks. Various discrete time simulation methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can be problematic due to systematic errors and numerical instabilities. Therefore, it is valuable to identify multi-dimensional stochastic differential equations with solutions that can be simulated exactly. This avoids several of the theoretical and practical problems encountered by those simulation methods that use discrete time approximations. This paper provides a survey of methods for the exact simulation of paths of some multi-dimensional solutions of stochastic differential equations including Ornstein-Uhlenbeck, square root, squared Bessel, Wishart and Levy type processes. |
| Keywords: | exact scenario simulation; multi-dimensional stochastic differential equations; multi-dimensional Ornstein-Uhlenbeck process; multi-dimensional square root process; multi-dimensional squared Bessel process; Wishart process; multi-dimensional Levy process |
| Date: | 2009–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:uts:rpaper:259&r=cmp |
| By: | Gromicho, J.A.S. (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Hoorn, J.J. van; Timmer, G.T. |
| Abstract: | Scheduling problems received substantial attention during the last decennia. The job-shop problem is a very important scheduling problem, which is NP-hard in the strong sense and with well-known benchmark instances of relatively small size which attest the practical difficulty in solving it. The literature on job-shop scheduling problem includes several approximation and optimal algorithms. So far, no algorithm is known which solves the job-shop scheduling problem optimally with a lower complexity than the exhaustive enumeration of all feasible solutions. We propose such an algorithm, based on the well-known Bellman equation designed by Held and Karp to find optimal sequences and which offers the best complexity to solve the Traveling Salesman Problem known to this date. For the TSP this means O(n22n) which is exponentially better than O(n!) required to evaluate all feasible solutions. We reach similar results by first recovering the principle of optimality, which is not obtained for free in the case of the job-shop scheduling problem, and by performing a complexity analysis of the resulting algorithm. Our analysis is conservative but nevertheless exponentially better than brute force. We also show very promising results obtained from our implementation of this algorithm, which seem to indicate two things: firstly that there is room for improvement in the complexity analysis (we observe the generation of a number of solutions per state for the benchmark instances considered which is orders of magnitude lower than the bound we could devise) and secondly that the potential practical implications of this approach are at least as exciting as the theoretical ones, since we manage to solve some celebrated benchmark instances in processing times ranging from seconds to minutes. |
| Keywords: | Job-shop scheduling; dynamic programming; complexity analysis |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2009-56&r=cmp |
| By: | Matovu, John; Twimukye, Evarist; Nabiddo, Winnie; Guloba, Madina |
| Abstract: | The Uganda government has since 1987 initiated a sequence of tax reforms to address the fiscal challenges facing the country. This paper uses a Computable General Equilibrium (CGE) model to analyze the welfare effects of tax reforms on households and the impact of these challenges on production and firm activities. The findings are consistent with previous studies which found that the introduction of VAT was indeed a progressive policy reform. Zero rating all food items and agricultural products mainly benefit the low income households whose consumption basket is mainly food items. In a quest for further sources of revenue by overtaxing the rich, this could generate further revenues albeit lower savings and investments by this group. Finally, over-reliance on excise duties especially on petroleum and alcohol drinks affects the transportation sectors which are also used by the poor. In our results we find that taxation of petrol and rising excise duties indeed is a regressive policy stance. |
| Keywords: | Computable General Equilibrium (CGE), Twimukye, Nabiddo, Taxation, Tax base, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Community/Rural/Urban Development, Consumer/Household Economics, Crop Production/Industries, Farm Management, Food Consumption/Nutrition/Food Safety, Food Security and Poverty, Livestock Production/Industries, |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eprcrs:54801&r=cmp |
| By: | Jouko Kinnunen; Kimmo Marttila; Juha Honkatukia |
| Abstract: | In this report we present a new version of the VATTAGE AGE (Applied General Equilibrium) model, which enables distributional analysis of policy changes. We also report estimation results of LES consumption function for eight socioeconomic groups. We use climate policy as an example for the distributional effects. Our model results show that the planned climate policy measures are not very regressive in their nature. In contrast, they seem to distribute the costs of climate policy rather evenly. An exception to this rule is farmer households, the real consumption of which seems to reduce less than that of other groups. |
| Keywords: | Rredistributive effects, environmental taxes, computable general equilibrium models, econometric model estimation |
| JEL: | C51 C68 H23 |
| Date: | 2009–11–13 |
| URL: | http://d.repec.org/n?u=RePEc:fer:wpaper:11&r=cmp |
| By: | Matovu, John M.; Twimukye, Evarist P. |
| Abstract: | This study evaluates the potential impact of the recent world food prices on the Ugandan economy and possible policy options to respond to it. Uganda is largely a net exporter of some cereals whose prices increasing considerably especially maize. Using a recursive dynamic CGE model, we attempt to answer questions on who are the beneficiaries and losers after the surge in food prices. The rural producers of maize tend to benefit considerably with their poverty levels reducing. On the other hand, the urban purchasers of cereals are affected owing to the higher prices of food. this therefore suggests that the Ugandan government should take advantage of the increasing food prices by stimulating and undertaking policies that would enhance productivity especially for crops where on the urban population, the government could design targeted programs for the urban poor. |
| Keywords: | Urban poor, Food prices, CGE model, Food security, Matovu, Twimukye, Economic Policy Research centre, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Community/Rural/Urban Development, Consumer/Household Economics, Crop Production/Industries, Farm Management, Food Consumption/Nutrition/Food Safety, Food Security and Poverty, Livestock Production/Industries, Production Economics, |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eprcrs:54804&r=cmp |
| By: | Carl Chiarella (School of Finance and Economics, University of Technology, Sydney); Viviana Fanelli (Dipartimento di Scienze Economiche, Matematiche e Statistiche, Università degli Studi di Foggia); Silvana Musti (Dipartimento di Scienze Economiche, Matematiche e Statistiche, Università degli Studi di Foggia) |
| Abstract: | In this paper a simulation approach fordefaultable yield curves is developed within the Heath etal.(1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. The paper provides the defaultable bond and credit default swap option price in a probability setting equipped with a sub?ltration structure. The Euler-Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a numerical algorithm for pricing. Finally, the Antithetic Variable technique is used to reduce the variance of credit default swap option prices. |
| Keywords: | pricing; HJM model; Cox process; Monte Carlo method; CDS option |
| JEL: | C63 G13 G33 |
| Date: | 2009–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:uts:rpaper:255&r=cmp |
| By: | Twimukye, Evarist; Nabiddo, Winnie; Matovu, John |
| Abstract: | It has been argues that increased aid causes Dutch disease as a result of appreciation of the exchange rate which reduces the competitiveness of the country's exports. In this paper, we argue that if the aid is used productively, there are both short and long term gains. Applying a recursive dynamic general equilibrium model on Uganda, we find that while the currency appreciates and some exports decline, the overall impact on growth outweighs the losses in competitiveness. In addition, it aid is used productively, poverty would be substantially reduced as long as the aid increase is sustained. |
| Keywords: | Aid, Exchange rate, Dutch disease, Twimukye, Nabiddo, Matovu, Exports, Foreign aid, Poverty reduction, Economic policy research center, Community/Rural/Urban Development, Consumer/Household Economics, Demand and Price Analysis, Financial Economics, International Development, Labor and Human Capital, Production Economics, Productivity Analysis, Public Economics, |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eprcrs:54937&r=cmp |