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on Computational Economics |
|
Issue of 2010‒11‒27
fourteen papers chosen by |
| By: | Furtenback, Örjan (CERE) |
| Abstract: | This study presents a Dynamic Computable General Equilibrium model that combines economic and ecological aspects of forest biomass. A framework is introduced for modeling the growth of a biomass stock which interacts with economic sectors. Harvest of and demand for forest products and forest amenities are determined endogenously in an inter-temporally consistent way. The idea is based on a Markovian growth model of the forest. The study demonstrates an approach for incorporating non-market values of forests, such as carbon sequestration, recreation and biodiversity, into a growth model. A simulation illustrates harvest behaviour when the economy is subjected to shocks. |
| Keywords: | Dynamic CGE; Markovian growth; Ecosystem modeling; Inter-temporal optimization; Infinite-horizon equilibria |
| JEL: | C68 D58 Q26 |
| Date: | 2010–11–12 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:slucer:2010_006&r=cmp |
| By: | Carlos E. Laciana; Santiago L. Rovere |
| Abstract: | The well-known Ising model used in statistical physics was adapted to a social dynamics context to simulate the adoption of a technological innovation. The model explicitly combines (a) an individual's perception of the advantages of an innovation and (b) social influence from members of the decision-maker's social network. The micro-level adoption dynamics are embedded into an agent-based model that allows exploration of macro-level patterns of technology diffusion throughout systems with different configurations (number and distributions of early adopters, social network topologies). In the present work we carry out many numerical simulations. We find that when the gap between the individual's perception of the options is high, the adoption speed increases if the dispersion of early adopters grows. Another test was based on changing the network topology by means of stochastic connections to a common opinion reference (hub), which resulted in an increment in the adoption speed. Finally, we performed a simulation of competition between options for both regular and small world networks. |
| Date: | 2010–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1011.3834&r=cmp |
| By: | Nicola Botta (Potsdam Institute for Climate Impact Research); Antoine Mandel (Centre d'Economie de la Sorbonne); Cezar Ionescu (Potsdam Institute for Climate Impact Research) |
| Abstract: | We formulate the problem of computing time in discrete dynamical agent-based models in the context of socio-economic modeling. For such formulation, we outline a simple solution. This requires minimal extensions of the original untimed model. The proposed solution relies on the notion of agent-specific schedules of action and on two modeling assumptions. These are fulfilled by most models of pratical interest. For models for which stronger assumptions can be made, we discuss alternative formulations. |
| Keywords: | Agent-based models, time. |
| JEL: | C63 |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:10076&r=cmp |
| By: | Kristinn Hermannsson (Department of Economics, Strathclyde University); Katerina Lisenkova (Department of Economics, Strathclyde University); Peter McGregor (Fraser of Allander Institute, Strathclyde University); Kim Swales (Department of Economics, Strathclyde University) |
| Abstract: | This paper describes how the education sector of an Input-Output table for Northern Ireland is disaggregated to identify a separate sector for each of the four Northern Irish Higher Education Institutions (HEIs). The process draws on accounting and survey data to accurately determine the incomes and expenditures of each institution. In particular we emphasise determining the HEIs incomes source of origin to inform their treatment, as endogenous or exogenous, in subsequent analyses. The HEI-disaggregated Input-Output table provides a useful descriptive snapshot of the Northern Irish economy and the role of HEIs within it for a particular year, 2006. The table can be used to derive multipliers and conduct various impact studies of each institution or the sector as a whole. The table is furthermore useful to calibrate other multisectoral, HEI-disaggregated models of regional economies, including Social Accounting Matrix (SAM) and computable general equilibrium (CGE) models. |
| Keywords: | Higher Education Institutions, Universities, Input-Output, Scotland, Impact study,Multipliers, Devolution. |
| JEL: | D57 I23 H75 R15 |
| Date: | 2010–10 |
| URL: | http://d.repec.org/n?u=RePEc:str:wpaper:1023&r=cmp |
| By: | Kristinn Hermannsson (Department of Economics, Strathclyde University); Katerina Lisenkova (Department of Economics, Strathclyde University); Peter McGregor (Fraser of Allander Institute, Strathclyde University); Kim Swales (Department of Economics, Strathclyde University) |
| Abstract: | This paper describes how the education sector of the Welsh Input-Output tables is disaggregated to identify a separate sector for each of Wales’s twelve Higher Education Institutions (HEIs). The process draws on accounting and survey data to accurately determine the incomes and expenditures of each institution. In particular we emphasise determining the HEIs incomes source of origin to inform their treatment, as endogenous or exogenous, in subsequent analyses. The HEI-disaggregated Input-Output table provides a useful descriptive snapshot of the Welsh economy and the role of HEIs within it for a particular year, 2006. The table can be used to derive multipliers and conduct various impact studies of each institution or the sector as a whole. The table is furthermore useful to calibrate other multi-sectoral, HEI-disaggregated models of regional economies, including Social Accounting Matrix (SAM) and computable general equilibrium (CGE) models. |
| Keywords: | Higher Education Institutions, Universities, Input-Output, Wales, Impact study, Multipliers, Devolution. |
| JEL: | D57 I23 H75 R15 |
| Date: | 2010–10 |
| URL: | http://d.repec.org/n?u=RePEc:str:wpaper:1021&r=cmp |
| By: | Antoine Mandel (Centre d'Economie de la Sorbonne); Carlo Jaeger (Potsdam Institute for Climate Impact Research); Steffen Fürst (Potsdam Institute for Climate Impact Research); Wiebke Lass (Potsdam Institute for Climate Impact Research); Daniel Lincke (Potsdam Institute for Climate Impact Research); Frank Meissner (Potsdam Institute for Climate Impact Research - Frame Solution); Federico Pablo-Marti (Universidad de Alcala); Sarah Wolf (Potsdam Institute for Climate Impact Research) |
| Abstract: | This paper presents an agent-based model of disaggregated economic systems with endogenous growth features named Lagon GeneriC. This model is thought to represent a proof of concept that dynamically complete and highly disaggregated agent-based models allow to model economies as complex dynamical systems. It is used here for "theory generation", investigating the extension to a framework with capital accumulation of Gintis results on the dynamics of general equilibrium. |
| Keywords: | Agent-based model, Economic growth. |
| JEL: | C63 C67 O12 O42 O52 |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:10077&r=cmp |
| By: | Sakellaris, Kostis; Perrakis, Kostis; Angelidis, George |
| Abstract: | The Greek Regulatory Authority for Energy (RAE), in view of the initiation of the new wholesale electricity market on January 1st 2009 as a Day-Ahead mandatory pool, undertook the design and implementation of a simulator for the market. The simulator consists of several interacting modules representing all key market operations and dynamics including day-ahead scheduling, natural gas system constraints, unplanned variability of loads and available capacity driven either by uncertain stochastic outcomes or deliberate participant schedule deviations, real time dispatch, and financial settlement of day ahead and real-time schedule differences. The modules are integrated into one software package. The intended use of the simulator is to elaborate on and allow RAE to investigate the impact of participant decision strategies on market outcomes. The ultimate purpose is to evaluate the effectiveness of Market Rules, whether existing or contemplated, in providing incentives for competitive behaviour and in discouraging gaming and market manipulation. In this paper the simulator is used to analyze market design aspects and rules concerning the co-optimization of energy and reserves in the Day-Ahead energy market and the efficiency of the imbalance settlement procedure compared to real-time pricing. |
| Keywords: | Electricity Market Design; Market Simulation; Regulation; Unit Commitment |
| JEL: | Q48 C61 |
| Date: | 2010–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:26719&r=cmp |
| By: | Jun Yu (School of Economics, Singapore Management University) |
| Abstract: | This chapter overviews some recent advances on simulation-based methods of estimating financial time series models that are widely used in financial economics. The simulation-based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms, and hence, the maximum likelihood (ML) method and the generalized method of moments (GMM) are diffcult to use. They are also capable of improving the finite sample performance of the traditional methods. Both frequentist's and Bayesian simulation-based methods are reviewed. Frequentist's simulation-based methods cover various forms of simulated maximum likelihood (SML) methods, the simulated generalized method of moments (SGMM), the efficient method of moments (EMM), and the indirect inference (II) method. Bayesian simulation-based methods cover various MCMC algorithms. Each simulation-based method is discussed in the context of a specific financial time series model as a motivating example. Empirical applications, based on real exchange rates, interest rates and equity data, illustrate how the simulation-based methods are implemented. In particular, SML is applied to a discrete time stochastic volatility model, EMM to estimate a continuous time stochastic volatility model, MCMC to a credit risk model, the II method to a term structure model. |
| Keywords: | Generalized method of moments, Maximum likelihood, MCMC, Indirect Inference, Credit risk, Stock price, Exchange rate, Interest rate.. |
| Date: | 2010–10 |
| URL: | http://d.repec.org/n?u=RePEc:siu:wpaper:19-2010&r=cmp |
| By: | Marie Bernhart; Peter Tankov; Xavier Warin |
| Abstract: | We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we propose to solve with a least squares Monte Carlo approach. We analyze the theoretical convergence rate of our method and present numerical results in the Black-Scholes framework. |
| Date: | 2010–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1011.3599&r=cmp |
| By: | Dietrich, Andreas; Krüger, Jens |
| Abstract: | In this paper we specialize the Ngai-Pissarides model of growth and structural change [American Economic Review 97 (2007), 429-443] to the case of three sectors, representing the primary (agriculture, mining), secondary (construction, manufacturing) and tertiary (services) sectors. On that basis we explore the dynamic properties of the model along the transition path to the steady-state equilibrium by numerical methods. Our explorations show that the model misses several stylized facts of structural change among these sectors. We propose several extensions of the model to align the model more closely with the facts. |
| Keywords: | economic growth, structural change, transition path |
| Date: | 2010–10 |
| URL: | http://d.repec.org/n?u=RePEc:dar:ddpeco:46865&r=cmp |
| By: | Naoki Makimoto (Professor, Graduate School of Business Sciences, University of Tsukuba (E-mail: makimoto@gssm.gsbs.tsukuba.ac.jp)); Yoshihiko Sugihara (Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: yoshihiko.sugihara@boj.or.jp)) |
| Abstract: | In this paper, we develop a multiasset model of market liquidity and derive the optimal strategy for block order execution under both liquidity and volatility risk. The market liquidity flowing into and out of an order book is modeled as a mean-reverting stochastic process. Given the shape of the order book for each asset, we express the market impact of an execution as a recursive impact that recovers gradually with associated uncertainty. We then derive the optimal execution strategy as a closed-form solution to the mean-variance problem that optimizes the trade-off between the market impact and the volatility/liquidity risk given investor risk aversion. Using our model, we analyze some implications of the optimal execution strategy with comparative statics and simulations. We also discuss whether we avoid price manipulation with our optimal execution strategy. |
| Keywords: | optimal execution strategy, market impact, transaction cost, stochastic liquidity, limit order book, price manipulation, mean-variance optimization |
| JEL: | C61 G11 G12 |
| Date: | 2010–11 |
| URL: | http://d.repec.org/n?u=RePEc:ime:imedps:10-e-25&r=cmp |
| By: | Maria Lykidi (ADIS-GRJM - Université Paris-Sud); Jean-Michel Glachant (Université Paris-Sud et EUI - Florence School of regulation); Pascal Gourdel (Centre d'Economie de la Sorbonne - Paris School of Economics) |
| Abstract: | In many countries, the electricity systems are quitting the vertically integrated monopoly organization for an operation framed by competitive markets. In such a competitive regime one can ask what the optimal operation/management of the nuclear generation set is. We place ourselves in a medium-term horizon of the management in order to take into account the seasonal variation of the demand level between winter (high demand) and summer (low demand). A flexible nuclear set is operated to follow a part of the demand variations. In this context, nuclear fuel stock can be analyzed like a reservoir since nuclear plants stop periodically (every 12 or 18 months) to reload their fuel. The operation of the reservoir allows different profiles of nuclear fuel uses during the different seasons of the year. We analyze it within a general deterministic dynamic framework with two types of generation : nuclear and non-nuclear thermal. We study the optimal management of the production in a perfectly competitive market. Then, we build a very simple numerical model (based on data from the French market) with nuclear plants being not operated strictly as base load power plants but within a flexible dispatch frame (like the French nuclear set). Our simulations explain why we must anticipate future demand to manage the current production of the nuclear set (myopia can not be total). Moreover, it is necessary in order to ensure the equilibrium supply-demand, to take into account the non-nuclear thermal capacities in the management of the nuclear set. They also suggest that non-nuclear thermal may remain marginal during most of the year including the months of low demand. |
| Keywords: | Nuclear technology, non-nuclear thermal technology, electricity, nuclear fuel "reservoir", perfect competition, merit order, follow-up of load, seasonal demand. |
| JEL: | C61 C63 D24 D41 L11 |
| Date: | 2010–11 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:10083&r=cmp |
| By: | Sarıbaş, Hakan |
| Abstract: | In this paper, the relationships between individual income and ethics formation are studied. Our theoretical model explains what happens to individual incomes when a culture encourages people to devote life-time efforts to establish a virtuous character. Two propositions emerged from the present study. Firstly, if there exists a channel from effforts to income via ethics, individual income begins to increase and reaches a peak as more and more time is devoted to ethics formation. Additional time after the peak becomes detrimental to the individual income. Secondly, time for ethics formation becomes economically useless when the channel from efforts to income via ethics dissolves. Our simulations and econometric findings support the theoretical explanations. |
| Keywords: | Growth; Institutions; Ethics; Turkey |
| JEL: | O17 C02 O12 |
| Date: | 2010–11–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:26825&r=cmp |
| By: | Parail, V. |
| Abstract: | This paper examines the drivers behind revenues of merchant electricity interconnectors and the effect of arbitrage trading over interconnectors on the level and volatility of electricity prices in the connected markets. It sets out a simulation methodology that allows the stochastic and deterministic properties of prices, as well as most model parameters, to be varied freely. The effect of electricity flows over interconnectors on prices and thus on interconnector revenues is modelled explicitly by a mathematical algorithm. It is found that arbitrage can reduce the volatility and to some extent the mean of electricity prices in both markets when two markets with a similar distribution of prices are connected. It is also found that it is possible for interconnectors to generate considerable revenues without any consistent price differences between the connected markets. This shows that interconnectors between seemingly very similar electricity markets can be an attractive proposition for a profit-seeking investor. |
| Keywords: | Merchant interconnectors, electricity prices, price volatility, simulation, bootstrapping |
| JEL: | C15 C63 G10 L94 |
| Date: | 2010–11–16 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:1059&r=cmp |