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on Computational Economics |
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Issue of 2010‒09‒11
nine papers chosen by |
| By: | Mohamed Mnif |
| Abstract: | This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the shocks. This optimization problem is related to a suitable dual stochastic control problem in which the delicate boundary constraints disappear. In Mnif \cite{mnif10}, the dual value function is characterized as the unique viscosity solution of the corresponding Hamilton Jacobi Bellman Variational Inequality (HJBVI in short). We characterize the optimal insurance strategy by the solution of the variational inequality which we solve numerically by using an algorithm based on policy iterations. |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1009.0635&r=cmp |
| By: | John Cockburn; Luca Tiberti; Ismaël Fofana; Lacina Balma; Samuel Kaboré; UNICEF Innocenti Research Centre. MONEE project; UNICEF Regional Office for West and Central Africa |
| Abstract: | Burkina Faso’s hard earned economic gains in recent years have been eroded by the 2008-09 world financial and economic crisis. The country will particularly feel the effects of the world economic crisis due to its close links with the world economy. Most of the adverse effects are transmitted to households then passed onto children. The situation of children principally depends on the monetary and non-monetary wellbeing of their household. This, together with their greater vulnerability, means that children are at risk of suffering more, and for longer, from the impacts of the crisis. It is therefore crucial to understand and anticipate the effects that the crisis may have on children in Burkina Faso and to propose options for social protection to counter these effects. To this end, we propose a macro-micro economic approach. Macro-micro economic analysis uses a general calculable equilibrium (CGE) model to simulate the impacts of various transmission channels of the crisis to the Burkinabe economy. The results of these simulations are then used for the micro-econometric analysis, which integrates individual and household economic behaviour to evaluate the impact of the crisis on child welfare. According to our simulations, which run from 2009 to 2011, the financial crisis respectively leads to 5 and 1 percentage point increases in the incidence of monetary and caloric poverty among Burkinabe children. Moreover, the school enrolment rate for children will decline by about 0.7 percentage points due to the crisis, while the child labour rate will increase by about 1 percentage point. Finally, a 1 percentage point decrease in the medical consultation rate among children is expected, along with substitution from modern health services to traditional medicine. Large regional and rural vs. urban gaps are also noted. A monetary transfer policy targeting poor children appears to be the most effective at reversing the negative effects of the crisis and returning to the trend that would have existed without the crisis. Such a policy, financed by external aid and with a budget of 1% of GDP, re-establishes the trend that monetary poverty would have followed in the absence of a crisis and even leads to a reduction in hunger. It also limits the crisis’ adverse effects on school enrolment, child labour and sick children’s access to modern health care services. A universal (non-targeted) variant of this transfer policy for 0-5 year-olds has similar results and is easier to enact. Policies which subsidize food and cereals, as well as monetary transfer policies for the Centre and Mouhoun regions (the areas most affected by the August-September 2009 floods) were also analyzed. |
| Keywords: | central africa; child labour; child poverty; education; health; hunger; social protection; west africa; world economics; |
| JEL: | A1 C10 D1 E17 F01 O1 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:ucf:inwopa:inwopa615&r=cmp |
| By: | Gould, Gregory; Karner, Alex |
| Abstract: | Current concerns surrounding regional air pollution, climate change, rising gasoline prices and urban congestion could presage a substantial increase in bicycle mode share. However, state-of-the-art methods for the safe and efficient design of bicycle facilities are based on difficult to collect data and potentially dubious assumptions regarding cyclist behavior. Simulation models offer a way forward, but existing bicycling models in the academic literature have not been validated using actual data. This paper addresses these shortcomings by obtaining real-world bicycle data and implementing a multilane, inhomogeneous cellular automaton simulation model that can reproduce observations. The existing literature is reviewed to inform the data collection and model development. It is found that the model emulates field conditions while possibly under-predicting bike path capacity. Since the simulation model can “observe†individual cyclists, it is ideally suited to determine level of service based on difficult to observe cycling events such as passing. The conclusion suggests future work on data collection and model development. |
| Keywords: | UCD-ITS-RP-10-04 |
| Date: | 2010–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:1319303&r=cmp |
| By: | Attila Varga (Department of Economics and Regional Studies, University of Pécs); Péter Járosi (Department of Economics and Regional Studies, University of Pécs); Tamás Sebestyén (Department of Economics and Regional Studies, University of Pécs) |
| Abstract: | This paper introduces the geographic macro and regional model for NUTS-2 regions of the Euro zone. This model consists of three blocks: the TFP, the SCGE and the MACRO blocks. The model is built for impact analysis of policies targeting intangible assets in the forms of R&D, human capital and social capital. The analysis can be done both at the regional and the EU macroeconomic levels. Policy simulations illustrate the capabilities of the complex model system. |
| Keywords: | TFP, SCGE models, DSGE models, impact analysis, R&D, human capital, social capital |
| JEL: | O31 H41 O40 |
| Date: | 2010–06 |
| URL: | http://d.repec.org/n?u=RePEc:pec:wpaper:2010/4&r=cmp |
| By: | Oguro, Kazumasa; Oshio, Takashi; Takahata, Junichiro |
| Abstract: | In this study, we attempt to investigate how educational subsidy, childcare allowance, and family allowance affect economic growth and income distribution, on the basis of simulation models which incorporate intergenerational ability transmission and endogenous fertility. The simulation results show that financial support for higher education can both increase economic growth and reduce income inequality, especially if the abilities of parent and child are closely correlated. In contrast with educational subsidy, raising childcare allowance or family allowance has limited impacts on growth and income inequality. |
| Keywords: | Ability transmission, endogenous fertility, educational subsidy |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:hit:piecis:482&r=cmp |
| By: | Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat); Florence Toilier (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat); Jean-Louis Routhier (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat) |
| Abstract: | End-consumer movements, defined as the movements made by the consumer transporting the purchased goods, are identified with shopping trips. Whereas the logistics movements (freight distribution and urban part of the supply chain) are well studied in city logistics and urban planning, the end-consumer movements are usually related only to people movements. This paper presents a new modelling approach to characterise the shopping trips within a city logistics point of view, in order to connect these movements with those belonging to urban freight distribution in the supply chain. We present a trip generation model built from the data of recent household trip surveys, more precisely for the urban community of Lyon (France). We present the main results produced by the various simulations in a short-term planning horizon. |
| Keywords: | Urban freight; trip generation modelling; simulation; urban policy; decision-making support |
| Date: | 2010–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00514842_v1&r=cmp |
| By: | Zhaosong Lu; Yong Zhang |
| Abstract: | In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved as lower dimensional vector optimization problems. As a consequence, we establish that a class of rank minimization problems have closed form solutions. Using this result, we then propose penalty decomposition methods for general rank minimization problems in which each subproblem is solved by a block coordinate descend method. Under some suitable assumptions, we show that any accumulation point of the sequence generated by our method when applied to the rank constrained minimization problem is a stationary point of a nonlinear reformulation of the problem. Finally, we test the performance of our methods by applying them to matrix completion and nearest low-rank correlation matrix problems. The computational results demonstrate that our methods generally outperform the existing methods in terms of solution quality and/or speed. |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1008.5373&r=cmp |
| By: | Alfarano, Simone; Lux, Thomas; Wagner, Friedrich |
| Abstract: | Several agent-based models have been proposed in the economic literature to explain the key stylized facts of financial data: heteroscedasticity, fat tails of returns and long-range dependence of volatility. Agentbased models view these empirical regularities as emerging properties of interacting groups of boundedly rational agents in financial markets. The complexity of these interacting agent models has largely constrained their analytical treatment, limiting their analysis mainly to Monte Carlo simulations. In order to overcome this limitation, we introduce a ‘minimalist’ model of an artificial financial market, along the lines of our previous contributions, based on herding behavior among two types of traders. The simplicity of the model allows for an almost complete analytical characterization of both conditional and unconditional statistical properties of prices and returns. Moreover, the underlying parameters of the model can be estimated directly, which permits an assessment of its goodness-of-fit for empirical data. While the performance of the model for domestic stock markets has been the focus of a previous contribution, in this paper we report results for selected exchange rates against the US dollar. |
| Keywords: | Herd Behavior; Speculative Dynamics; Fat Tails; Volatility Clustering. |
| JEL: | G12 C61 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:24719&r=cmp |
| By: | Soe W. Myint (GeoDa Center for Geospatial Analysis and Computation; Arizona State University) |
| Abstract: | Data from an IKONOS image acquired over Dallas was used to demonstrate the use of an operational wavelet-based algorithm to examine the performance of different texture measures and window sizes at various resolutions in connection to characteristic scales. It was found that a 63x63 window was the optimal window size, and energy measure produced the highest accuracy. Results from this study suggest that the choice of window size in wavelet-based classification affects the accuracy. Larger window sizes significantly improve the overall accuracy when using homogeneous samples. In the real-world situation, a larger window may not necessarily produce higher accuracy since a larger window tends to cover more land-use and land-cover classes and therefore may miss smaller regions of classes that could lead to poorer accuracy. On the other hand, a smaller window tends to be incomplete in its coverage of texture features that represent a complex class. The classification accuracy can be improved by using more combinations of sub-images at different scales. However, smaller sub-images at the last two levels may lower the classification accuracy. Â The characteristic scale of the most complex feature among all selected classes could be the optimal local window size necessary to achieve the highest accuracy. |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:asg:wpaper:2010-5&r=cmp |