nep-cmp New Economics Papers
on Computational Economics
Issue of 2009‒11‒27
five papers chosen by
Stan Miles
Thompson Rivers University

  1. The assembly line balancing and scheduling problem with sequence-dependent setup times: Problem extension, model formulation and efficient heuristics By Armin Scholl; Nils Boysen; Malte Fliedner
  2. DSGE-CH: A dynamic stochastic general equilibrium model for Switzerland By Cuche-Curti, Nicolas A.; Dellas, Harris; Natal, Jean-Marc
  3. The recent reforms of the Italian personal income tax: distributive and efficiency effects By Massimo Baldini; Daniele Pacifico
  4. "Forecasting Realized Volatility with Linear and Nonlinear Models" By Michael McAleer; Marcelo C. Medeiros
  5. A Rule-Based Medium-Term Fiscal Policy Framework for Tanzania By Mika Saito; Daehaeng Kim

  1. By: Armin Scholl (School of Economics and Business Administration, Friedrich-Schiller-University Jena); Nils Boysen (School of Economics and Business Administration, Friedrich-Schiller-University Jena); Malte Fliedner (School of Economics and Business Administration, Friedrich-Schiller-University Jena)
    Abstract: Assembly line balancing problems (ALBP) consist of distributing the total workload for manufacturing any unit of the products to be assembled among the work stations along a manufacturing line as used in the automotive or the electronics industries. Usually, it is assumed in research papers that, within each station, tasks can be executed in an arbitrary precedence-feasible sequence without changing station times. In practice, however, the task sequence may influence the station time considerably as sequence-dependent setups (e.g., walking distances, tool changes, withdrawal of parts from material boxes) have to be considered. Including this aspect leads to a joint balancing and scheduling problem, which we call SUALBSP (setup assembly line balancing and scheduling problem). In this paper, we modify the problem by modeling setups more realistically, give a new, more compact mathematical model formulation and develop effective heuristic solution procedures. Computational experiments based on existing and new data sets indicate that the new procedures outperform formerly proposed heuristics and are able to solve problem instances of realworld size with small deviations from optimality in short time.
    Date: 2009–11–10
    URL: http://d.repec.org/n?u=RePEc:jen:jenjbe:2009-11&r=cmp
  2. By: Cuche-Curti, Nicolas A. (Swiss National Bank); Dellas, Harris (University of Bern); Natal, Jean-Marc (Swiss National Bank)
    Abstract: This paper presents a DSGE (dynamic stochastic general equilibrium) model of the Swiss economy used since 2007 in the monetary policy decision process at the Swiss National Bank. In addition to forecasting the likely course of main macro variables under various scenarios for the Swiss economy, the model DSGE-CH serves as a laboratory for studying business cycles and examining the effects of actual and hypothetical monetary policies. The microfounded model DSGE-CH represents Switzerland as a small open economy with optimizing economic agents facing several real and nominal rigidities and exogenous foreign and domestic shocks. The comparison of the model’s implications with the real world indicates that DSGE-CH performs well along standard dimensions. It captures the overall stochastic structure of the Swiss economy as represented by the moments of its key macroeconomic variables; furthermore, it has appropriate dynamic properties, as judged by its impulse response functions. Finally, it quite accurately replicates the historical path of major Swiss variables.
    Keywords: DSGE; forecasting; small open economy; Switzerland
    JEL: E27 E52 E58
    Date: 2009–10–01
    URL: http://d.repec.org/n?u=RePEc:ris:snbecs:2009_005&r=cmp
  3. By: Massimo Baldini; Daniele Pacifico
    Abstract: The aim of this paper is the study of three reforms of the Italian personal income tax that have been implemented over the past six years. The analysis is carried out in three stages. In the first stage we study their distributive effects using a static microsimulation model. In the second stage we focus on the labour supply effects by means of a structural microeconometric model of household labour supply; finally, we analyze the distributive effects of the reforms accounting for labour supply reactions. Our findings confirm that the extension of the no-tax area had positive effects in terms of both redistribution and work incentives, while greater benefits for households with children improved income distribution but with negative effects on the labour supply of married women,
    Keywords: microsimulation; labour supply; income distribution; income tax
    JEL: J22 H24 H31
    Date: 2009–03
    URL: http://d.repec.org/n?u=RePEc:mod:depeco:0611&r=cmp
  4. By: Michael McAleer (Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo); Marcelo C. Medeiros (Department of Economics, Pontifical Catholic University of Rio de Janeiro)
    Abstract: In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in the paper.
    Date: 2009–10
    URL: http://d.repec.org/n?u=RePEc:tky:fseres:2009cf686&r=cmp
  5. By: Mika Saito; Daehaeng Kim
    Abstract: A zero net domestic financing (NDF) target has served Tanzania well in recent years, contributing to prudent expenditure policy, improved fiscal sustainability, and macroeconomic stability. Moving to a more flexible fiscal policy, however, may serve Tanzania better. The "diamond rule" proposed in this paper incorporates a permanent hard ceiling on debt and annual benchmark limits on NDF, expenditure growth, and nonconcessional external financing. This rule would provide flexibility for countercyclical policy and help define the fiscal space for infrastructure spending that is consistent with longrun fiscal sustainability. An illustrative simulation shows that Tanzania has considerable fiscal space for development spending.
    Keywords: Budgetary policy , Budgeting , Cross country analysis , Debt sustainability , External borrowing , External debt , Fiscal policy , Fiscal sustainability , Government expenditures , Public investment , Revenues , Tanzania ,
    Date: 2009–11–09
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:09/244&r=cmp

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