nep-cmp New Economics Papers
on Computational Economics
Issue of 2010‒03‒28
ten papers chosen by
Stan Miles
Thompson Rivers University

  1. Simulations and agent-based modelling By Jacopo A. Baggio; Rodolfo Baggio
  2. Education in Accounting using an Interactive System By Patrut, Bogdan
  3. Numbers for Pascal: explaining differences in the estimated benefits of the Doha Development Agenda By Hess, Sebastian; Cramon-Taubadel, Stephan von; Sperlich, Stefan
  4. Evaluation of the Oil Fiscal Regime in Russia and Proposals for Reform By Daria Zakharova; Brenton Goldsworthy
  5. Opportunismo e coordinamento: soluzioni regolative e istituzionali By A. Arrighetti; S. Curatolo
  6. The Gender and Poverty Impacts of Trade Liberalization in Senegal By John Cockburn; Erwin Corong; Bernard Decaluwé; Ismaël Fofana; Véronique Robichaud
  7. Assessing ex ante the poverty and distributional impact of the global crisis in a developing country : a micro-simulation approach with application to Bangladesh By Habib, Bilal; Narayan, Ambar; Olivieri, Sergio; Sanchez-Paramo, Carolina
  8. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme" By Kohta Takehara; Akihiko Takahashi; Masashi Toda
  9. Computational LPPL Fit to Financial Bubbles By Vincenzo Liberatore
  10. Public Pensions, Changing Employment Patterns, and the Impact of Pension Reforms across Birth Cohorts: A Microsimulation Analysis for Germany By Johannes Geyer; Viktor Steiner

  1. By: Jacopo A. Baggio; Rodolfo Baggio
    Abstract: Agent-based modelling and numerical simulations are means that facilitate exploring the structural and dynamic characteristics of systems which may prove intractable with analytical methods. This contribution examines the issues related to them with a particular attention to their use in the study of social economic and ecological systems. Besides a general description, the possibilities, limitations and their relationship with other more traditional investigation methods are examined. Special focus is put on the assessment of their validation and reliability. Finally an application example is provided. A simple model is built to analyse the movements of tourists and the relationship between these and the attractiveness of a tourism destination. The results are discussed along with possible future developments.
    Keywords: agent-based models, simulations, complex systems, tourism destination
    Date: 2009–10
  2. By: Patrut, Bogdan
    Abstract: This paper represents a summary of a research report and the results of developing an educational software, including a multi-agent system for teaching accounting bases and financial accounting. The paper describes the structure of the multi-agent system, defined as a complex network of s-agents. Each s-agent contains 6 pedagogical agents and a coordinator agent. We have defined a new architecture (BeSGOTE) that extends the BDI architecture for intelligent agents and we have defined a mixing-up relation among the accounts, presenting the way in which it can be used for testing students.
    Keywords: Computer Aided Education; Multi-Agent System; Artificial Intelligence; Accounting Education
    JEL: M53 A20 C88
    Date: 2010–03–01
  3. By: Hess, Sebastian; Cramon-Taubadel, Stephan von; Sperlich, Stefan
    Abstract: Economists use partial and general equilibrium trade simulation models to estimate the impact of changes in domestic policies and international trade rules. During the WTO Doha Development Agenda (DDA) negotiations economists have produced many different estimates of the gains that would result from global trade liberalisation scenarios. However, these estimates differ quite widely even for apparently similar liberalisation scenarios. The result is confusion about the true magnitude of the gains from trade liberalisation, and a reduction in the perceived credibility of the theories and models that economists use. We apply meta-analysis to a dataset extracted from 110 studies that present simulated assessments of global trade liberalisation scenarios under the DDA. Initial meta-regression analysis demonstrates that covariates that capture model characteristics, the nature of the data used in the modelling exercise, and the nature of the simulated liberalisation scenarios can explain roughly one-third of the variance in the dependent variable ‘simulated global welfare change’. We test whether additional explanatory power can be obtained by adding information about the authors of the simulation studies. We find significant fixed effects for the top 20 authors in the field. We interpret this as evidence that leading authors in the field employ model specifications that reflect their individual preferences and beliefs about how economies function and the impact of liberalisation, specifications that are hidden in the complex interactions of simulations models and therefore difficult to capture in a meta-analysis. We use these results to generate a confidence interval for the gains that would result from trade liberalisation under the DDA. --
    Keywords: Trade Liberalisation,Global Welfare Gain,Applied Trade Model,Meta-Analysis
    Date: 2010
  4. By: Daria Zakharova; Brenton Goldsworthy
    Abstract: Oil revenue plays a central role in Russia's economic development. Thus, the recent decline in oil production and investment, and the possible contribution of the current fiscal regime to these developments, have prompted a reassessment of the oil tax system in Russia. Some important changes have already been made, while others are underway. This paper uses a simulation model to evaluate Russia's current oil fiscal regime. Based on these simulations, the paper proposes ways to make the fiscal regime more supportive of investment, while ensuring an appropriate share of oil sector profits for the government.
    Keywords: Cross country analysis , Economic models , Fiscal policy , Natural gas sector , Oil production , Oil revenues , Oil sector , Reserves , Resource mobilization , Russian Federation , Tax policy , Tax systems ,
    Date: 2010–02–16
  5. By: A. Arrighetti; S. Curatolo
    Abstract: The present paper builds on Arrighetti e Curatolo, 2009, 2010 by introducing heterogeneous opportunists into an agent-based simulated world populated by heterogeneous loyal agents playing a repeated coordination game. On average, opportunistic exploitation of economic resources lowers coordination, especially in less endowed contexts. Simulation strategy proposed in the paper compares, keeping constant the aggregate cost of policy, three different kinds of public schemes aimed at reducing the economic cost of opportunism: regulatory schemes, incentive (or premiality) schemes and a third scheme based on institutional catalyst agents. Regulatory schemes based on sanctions produce the emergence of adverse redistribution effects: removal of opportunism is an efficient strategy only for less endowed local contexts, while the policy taxation burden hits too much the local environments where collective action is stronger. In line with many authors (see Hall, 2005; Camerer e Hogarth, 1999; Verdier, 2004), incentive (premiality) schemes perform badly especially because their net effects are limited to the first stages of the games. The schemes based on institutional catalyst agents seems to be the best performers: in facts, these schemes are efficient, especially through a process of learning, in pulling the other agents toward an high degree of coordination, so counter-balancing the effects of opportunists’ exploitation. Moreover an high degree of synergy emerges from a combined regulatory-institutional catalyst scheme, while incentive scheme (premiality) show, at the opposite, negative synergy both with institutional catalyst agents’ and regulatory schemes.
    Keywords: Opportunism, Coordination Games, Regulation, Incentives, Institutions
    JEL: B4 C15 C71
    Date: 2010
  6. By: John Cockburn; Erwin Corong; Bernard Decaluwé; Ismaël Fofana; Véronique Robichaud
    Abstract: Developing countries are deeply engaged in trade negotiations at the bilateral, regional and international (WTO) levels. As imports, exports and tariff duties all occupy an important part of their economies, far-reaching impacts on production, labor and capital markets, household incomes and, perhaps most importantly, economic growth will indubitably ensue. As men and women occupy very different roles in these economies, particularly in terms of the import and export orientation of the sectors in which they work, they will be affected very differently by these reforms. To anticipate these changes, a dynamic economy-wide model is developed with an application to Senegal. Whereas most similar existing studies consider the comparative static resource reallocation effects of trade reforms, ours is the first to focus on the growth effects (“dynamic gains from trade”), which are thought to be possibly much larger. The trade-productivity link is revealed to be the strongest growth channel, raising GDP by over three percentage points by the end of our 15 year simulation period. Trade liberalization is found to increase the gender wage gap in favor of men, especially among unskilled workers, as men are more active in export-oriented sectors such as cash crops and mining whereas women contribute more to import-competing sectors such as food crops. Furthermore, the ensuing growth effects further widen the over-all gender wage gap, as the productivity gains from increased openness are greatest in female-intensive sectors in which imports rise markedly. Thus, this suggests the need to implement policies aimed at increasing both unskilled and skilled women’s exposure in labor-intensive export industries, which is currently male dominated. A linked microsimulation analysis, based on a survey of Senegalese households, show that trade liberalization reduces poverty in Senegal, particularly in rural areas. While the fall in the relative wages of rural workers would initially lead us to believe that rural households would lose the most from trade liberalization, they are in fact compensated by greater consumer price savings, given that they consume more goods from the initially protected agricultural and agro-industrial sectors.
    Keywords: Senegal, Trade, Gender, Poverty, Growth
    JEL: C68 F17 F43 I32 J16 O24 O33 O55
    Date: 2010
  7. By: Habib, Bilal; Narayan, Ambar; Olivieri, Sergio; Sanchez-Paramo, Carolina
    Abstract: Measuring the poverty and distributional impact of the global crisis for developing countries is not easy, given the multiple channels of impact and the limited availability of real-time data. Commonly-used approaches are of limited use in addressing questions like who are being affected by the crisis and by how much, and who are vulnerable to falling into poverty if the crisis deepens? This paper develops a simple micro-simulation method, modifying models from existing economic literature, to measure the poverty and distributional impact of macroeconomic shocks by linking macro projections with pre-crisis household data. The approach is then applied to Bangladesh to assess the potential impact of the slowdown on poverty and income distribution across different groups and regions. A validation exercise using past data from Bangladesh finds that the model generates projections that compare well with actual estimates from household data. The results can inform the design of crisis monitoring tools and policies in Bangladesh, and also illustrate the kind of analysis that is possible in other developing countries with similar data availability.
    Keywords: Rural Poverty Reduction,Regional Economic Development,Achieving Shared Growth,Economic Theory&Research
    Date: 2010–03–01
  8. By: Kohta Takehara (Graduate School of Economics, University of Tokyo); Akihiko Takahashi (Faculty of Economics, University of Tokyo); Masashi Toda (Graduate School of Economics, University of Tokyo)
    Abstract: An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [6] and Yoshida [29] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. Mathematically, this methodology is justified by Watanabe theory([27]) in Malliavin calculus. In practical applications, it is desirable to investigate the accuracy and stability of the method especially with expansion up to high orders in situations where the underlying processes are highly volatile as seen in the recent financial markets. Although Takahashi[17], [18] and Takahashi and Takehara [20] provided explicit formulas for the expansion up to the third order, to our best knowledge a general computation scheme for an arbitraryorder expansion has not been given yet. This paper proposes two general methods for computing the conditional expectations that are powerful especially for high order expansions: The first one, as an extension of the method introduced by the preceding papers, presents a unified scheme for computation of the conditional expectations. The second one develops a new calculation algorithm for computing the coefficients of the expansion through solving a system of ordinary differential equations that is equivalent to computing the conditional expectations. To demonstrate their effectiveness, the paper gives numerical examples of the approximation for - SABR model up to the fifth order and a cross-currency Libor market model with a general stochastic volatility model of the spot foreign exchange rate up to the fourth order.
    Date: 2010–03
  9. By: Vincenzo Liberatore
    Abstract: The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The best solutions can then indicate whether a bubble is in progress and, if so, the bubble critical time (i.e., when the bubble is expected to burst). Consequently, the LPPL model is useful only if the data can be fit to the model with algorithms that are accurate and computationally efficient. In this paper, we address primarily the computational efficiency and secondarily the precision of the LPPL non-linear least-square fit. Specifically, we present a parallel Levenberg-Marquardt algorithm (LMA) for LPPL least-square fit that sped up computation of more than a factor of four over a sequential LMA on historical and synthetic price series. Additionally, we isolate a linear sub-structure of the LPPL least-square fit that can be paired with an exact computation of the Jacobian, give new settings for the Levenberg-Marquardt damping factor, and describe a heuristic method to choose initial solutions.
    Date: 2010–03
  10. By: Johannes Geyer; Viktor Steiner
    Abstract: We analyze the impact of changing employment patterns and pension reforms on the future level of public pensions across birth cohorts in Germany. The analysis is based on a rich dataset that combines household survey data from the German Socio-Economic Panel Study (SOEP) and process-produced microdata from the German pension insurance. A microsimulation model is developed which accounts for cohort effects in individual employment and unemployment and earnings over the lifecycle as well as the differential impact of recent pension reforms. Cohort effects for individuals born between 1937 and 1971 vary greatly by region, gender and education and strongly affect lifecycle wage profiles. The largest effects can be observed for younger cohorts in East Germany and for the low educated. Using simulated life cycle employment and income profiles, we project gross future pensions across cohorts taking into account changing demographics and recent pension reforms. Simulations show that pension levels for East German men and women will fall dramatically among younger birth cohorts, not only because of policy reforms but due to higher cumulated unemployment. For West German men, the small reduction of average pension levels among younger birth cohorts is mainly driven by the impact of pension reforms, while future pension levels of West German women are increasing or stable due to rising labor market participation of younger birth cohorts.
    Keywords: Public pensions, cohort effects, microsimulation
    JEL: H55 J26 J11
    Date: 2010

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