New Economics Papers
on Computational Economics
Issue of 2010‒11‒20
eleven papers chosen by

  1. Entreprises adaptatives, détermination des prix et répartition du revenu dans un modèle macroéconomique multi-agents avec monnaie endogène By Pascal Seppecher
  2. A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection By Takano, Y.; Sotirov, R.
  3. Cumulative Effect of Inequality : A Computational Study of Conflict Models By Takeuchi, Kan
  4. Fiscal consolidation with high growth: A policy simulation model for India. By Mundle, Sudipto; Bhanumurthy, N.R.; Das, Surajit
  5. A Free Trade Area of the Asia Pacific (FTAAP): Is It Desirable? By Park, Innwon; Park, Soonchan; Kim, Sangkyom
  6. Analysing Alternative Policy Response to High Oil Prices, Using an Energy Integrated CGE Microsimulation Approach for South Africa By Margaret Chitiga; Ismail Fofana; Ramos Mabugu
  7. Stratégies évolutionnaires dans un modèle macroéconomique dynamique et complexe peuplé d'agents hétérogènes, autonomes et concurrents By Pascal Seppecher
  8. Optimally locating in-house logistics areas to facilitate JIT-supply of mixed-model assembly lines By Simon Emde; Nils Boysen
  9. Fertility, Female Labor Supply, and Family Policy By Hans Fehr; Daniela Ujhelyiova
  10. Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices By Weron, Rafal; Janczura, Joanna
  11. How does a fisacl reform affect elasticities of income tax revenues? the case os Spain, 2003-2008 By Diego Martinez-Lopez

  1. By: Pascal Seppecher (CEMAFI - Centre d'Etudes en Macroéconomie et Finance Internationale - Université de Nice Sophia-Antipolis)
    Abstract: Ce papier présente un modèle macroéconomique qui associe étroitement théorie de la monnaie endogène et approche multi-agents. C'est un modèle décentralisé, peuplé d'agents multiples, hétérogènes, autonomes et concurrents qui interagissent simultanément dans les sphères réelle et monétaire. Les propriétés macroéconomiques du modèle ne sont pas postulées, ce sont des propriétés émergentes du système complexe formé par les interactions entre les agents. On dote les entreprises de capacité d'adaptation, alliant imitation et innovation, pour déterminer les prix sur le marché des biens. Par une série de simulations, on observe l'évolution des comportements des entreprises et leur impact sur la dynamique macroéconomique, en particulier sur le partage du revenu entre salaires et profits.
    Keywords: complex adaptive system, agent-based computational economics, evolutionary economics, genetic algorithms, Nelder-Mead algorithm, evolutionary strategies, pricing, mark-up, income distribution, monetary production economy, endogenous money, entrepreneur economy
    Date: 2010–07–08
  2. By: Takano, Y.; Sotirov, R. (Tilburg University, Center for Economic Research)
    Abstract: We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.
    Keywords: Multi-period portfolio optimization;Polynomial optimization problem;Constant rebalancing;Semidefinite programming;Mean-variance criterion
    JEL: C61 G11
    Date: 2010
  3. By: Takeuchi, Kan
    Abstract: This paper examines the relationship between inequality and economic growth using conflict models and computational simulations. I construct a dynamic sequential conflict model that allows us to observe the cumulative effect of inequalities in wealth and ability in a single framework. The computational simulation illustrates the dynamics of the wealth level of players. The main findings are as follows: (1) if the conflict is not intensive, then the equilibrium that achieves equal distribution of wealth is unique and stable; (2) if the conflict is intensive, the equal distribution equilibrium becomes an unstable saddle point; and furthermore (3) when the productivity of one player is lower than the other, the less productive player exploits the other through the conflict process.
    Keywords: conflict, conflict model, inequality, war
    JEL: D74 D72 D63
    Date: 2010–10
  4. By: Mundle, Sudipto (National Institute of Public Finance and Policy); Bhanumurthy, N.R. (National Institute of Public Finance and Policy); Das, Surajit (National Institute of Public Finance and Policy)
    Abstract: In this paper a fiscal consolidation program for India has been presented based on a policy simulation model that enables us to examine the macroeconomic implications of alternative fiscal strategies, given certain assumptions about other macro policy choices and relevant exogenous factors. The model is then used to estimate the outcomes resulting from a possible strategy of fiscal consolidation in the base case. The exercise shows that it is possible to have fiscal consolidation while at the same time maintaining high GDP growth of around 8 percent or so. The strategy is to gradually bring down the revenue deficit to zero by 2014-15, while allowing a combined fiscal deficit for centre plus states of about 6 percent of GDP. This provides the space for substantial government capital expenditure, which translates to a significant public investment program. This in turn leads to high overall investment directly and indirectly, via the crowding in effect on private investment, which drives the high GDP growth. The exercise has also tested the robustness of this strategy under two alternative scenarios of higher and lower advanced country growth compared to the base case.
    Keywords: Macroeconomic modelling, Policy simulation, Fiscal policy, India
    JEL: C32 E10 E17 E60 H60
    Date: 2010–08
  5. By: Park, Innwon; Park, Soonchan; Kim, Sangkyom
    Abstract: This paper evaluates whether the proposed FTAAP is a desirable policy option for APEC member economies and the world economy. More specifically, this paper quantitatively investigates whether the FTAAP satisfies conditions for a trade bloc to generate positive and sufficient net trade creation effect. In addition, this paper estimates the likely impact of the FTAAP by using a CGE model analysis. Based on statistical data analysis, this paper strongly argues that the FTAAP can be a desirable regional trade bloc able to generate positive gains from freer trade. From the ex-ante scenario analysis using both static and capital accumulation CGE Models, this paper concludes that the FTAAP has great potential for improving welfare of participating APEC economies and will boost economic growth in the region. In particular, the FTAAP would be even better if it can be linked with liberalization of trade in services and enhanced trade facilitation.
    Keywords: Regional Trade Agreement (RTA); APEC; FTAAP; Computable General Equilibrium (CGE); Trade in Services; Trade Facilitation
    JEL: F15 F13
    Date: 2010–09–01
  6. By: Margaret Chitiga; Ismail Fofana; Ramos Mabugu
    Abstract: An energy-focused integrated CGE microsimulation approach is used to assess the implications of differential government policy responses in South Africa, to increases in international oil prices. The first scenario assumes that increases in world oil and petroleum products are passed through to end users with no changes in government tax/subsidy instruments. The second scenario assumes that the world price increases are nullified by a full price subsidy by government in one scenario, while, in the third scenario, revenues generated from a 50 percent tax on the windfall profit of the synthetic petroleum industry, help to minimize the loss in government revenue. Overall output falls by between 2.2 and 2.5 percent, while the government deficit varies from a worsening of 12 to 22 percent under the three scenarios. Synthetic petroleum, coal, and electricity benefit under the floating price scenario, while none expands its output when a 50 percent tax is levied on the profit of the synthetic petroleum industry. Unemployment increases among medium and low-skilled workers, while skilled workers witness a substantial fall in their remuneration, particularly in rural areas. In both rural and urban areas, women are adversely affected relative to men. The poverty headcount ratio and inequality increase slightly more in the price-setting scenarios relative to the floating-price scenario. Thus, allowing the prices to be passed through to end users probably has a less adverse impact at a macroeconomic level, although there may be adverse distributional consequences.
    Date: 2010
  7. By: Pascal Seppecher (CEMAFI - Centre d'Etudes en Macroéconomie et Finance Internationale - Université de Nice Sophia-Antipolis)
    Abstract: Suivant la feuille de route tracée par Joan Robinson, nous avons construit un modèle d'économie monétaire de production avec monnaie endogène, peuplé d'agents hétérogènes, autonomes et concurrents. Dans ce papier, on se propose de relâcher l'hypothèse d'entreprises orientées vers la gestion des flux et stocks réels pour la remplacer par l'hypothèse d'entreprises orientées vers la réalisation de profits monétaires. On étudie la question de la modélisation des comportements de maximisation dans le contexte d'incertitude imposé par les systèmes dynamiques complexes. On montre comment les techniques de modélisation évolutionnaire peuvent apporter une réponse pertinente à cette question. On développe un algorithme évolutionnaire original par lequel les entreprises du modèle élaborent elles-mêmes leurs stratégies de fixation des prix pour tenter de maximiser leurs profits.
    Keywords: complex adaptive system, agent-based computational economics, evolutionary economics, genetic algorithms, Nelder-Mead algorithm, evolutionary strategies, pricing, mark-up, income distribution, monetary production economy, endogenous money, entrepreneur economy
    Date: 2010–10–26
  8. By: Simon Emde (School of Economics and Business Administration, Friedrich-Schiller-University Jena); Nils Boysen (School of Economics and Business Administration, Friedrich-Schiller-University Jena)
    Abstract: In modern-day production systems, ever-rising product variety poses a great challenge for the internal logistics systems used to feed mixed-model assembly lines with the required parts. As an answer to this challenge many manufacturers especially from automobile industries have identified the supermarket-concept as a promising part feeding strategy to enable flexible small-lot deliveries at low cost. In this context, supermarkets are decentralized inhouse logistics areas in the direct vicinity of the final assembly line, which serve as intermediary stores for parts. Small tow trains are loaded with material in a supermarket and deliver parts Just-in-Time to the stations laying on their fixed route. This paper discusses the general pros and cons of the supermarket-concept and treats the decision problem of determining the optimal number and placement of supermarkets on the shop floor. A mathematical model is proposed, an exact dynamic programming algorithm presented, and the validity of the proposed approach for practical purposes is investigated in a comprehensive computational study.
    Keywords: Mixed-model assembly lines, Just-in-Time, Material supply, Tow Trains
    Date: 2010–11–10
  9. By: Hans Fehr; Daniela Ujhelyiova
    Abstract: The present paper develops a general equilibrium model with overlapping generations and endogenous fertility in order to analyze the interaction between public policy and household labor supply and fertility decisions. The model's benchmark equilibrium reflects the current family policy as well as the differential fertility pattern of educational groups in Germany. Then we simulate alternative reforms of child benefits and family taxation that increase the long-run fertility and growth rate of the economy. Our simulations indicate two central results: First, although households are typically hurt by the first-order effects of family policy, it is possible to generate long-run welfare gains due to positive second-order effects from induced changes in the population structure. Second, specific family policies could be designed that yield a joint increase of the fertility rate and female employment rate as observed in cross-country studies.
    Keywords: stochastic fertility, general equilibrium life cycle model
    JEL: J12 J22
    Date: 2010
  10. By: Weron, Rafal; Janczura, Joanna
    Abstract: In this paper we discuss the calibration issues of models built on mean-reverting processes combined with Markov switching. Due to the unobservable switching mechanism, estimation of Markov regime-switching (MRS) models requires inferring not only the model parameters but also the state process values at the same time. The situation becomes more complicated when the individual regimes are independent from each other and at least one of them exhibits temporal dependence (like mean reversion in electricity spot prices). Then the temporal latency of the dynamics in the regimes as to be taken into account. In this paper we propose a method that greatly reduces the computational burden induced by the introduction of independent regimes in MRS models. We perform a simulation study to test the efficiency of the proposed method and apply it to a sample series of wholesale electricity spot prices from the German EEX market. The proposed 3-regime MRS model fits this data well and also contains unique features that allow for useful interpretations of the price dynamics.
    Keywords: Markov regime-switching; heteroskedasticity; EM algorithm; independent regimes; electricity spot price
    JEL: C51 C13 Q40
    Date: 2010–11
  11. By: Diego Martinez-Lopez (Department of Economics, Universidad Pablo Olavide.)
    Abstract: This paper estimates the extent to which an exogenous change in income affects income tax revenues. We focus on the case of Spain over the period 2003-2008, as income tax there underwent a substantial reform in 2007. Using both an analytical method and a numerical simulation, we find a significant increase in aggregate income tax elasticities from 1.4 for 2003-2003 to around 1.8 for 2007-2008. The sensitivity of results to the presence of housing tax credits, non-equiproportional variations in income, changes in income inequality and fiscal drag is also considered.
    Keywords: income tax elasticity; progressivity; tax rates; tax credits
    JEL: H20 H24
    Date: 2010–11

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