New Economics Papers
on Computational Economics
Issue of 2010‒12‒04
twelve papers chosen by

  1. Gender Implications of Biofuels Expansion: A CGE Analysis for Mozambique By Arndt, Channing; Benfica, Rui; Thurlow, James
  2. A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model By Ron T. L. Chan; Simon Hubbert
  3. Simulation of queueing systems with many stations and of queueing networks using copulas By Ciuiu, Daniel
  4. On solving two stage stochastic linear problems by using a new approach, Cluster Benders Decomposition. By Larraitz Aranburu Laka; Laureano F. Escudero Bueno; María Araceli Garín Martín; Gloria Pérez Sainz de Rozas
  5. Financial Contagion through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis By Thierry Tressel
  6. Multi-Resolution Decomposition in Relation to Characteristic Scales and Local Window Sizes Using an Operational Wavelet Algorithm By S. W. Myint
  7. Efficient Monte Carlo for Discrete Variance Contracts By Nicolás Merener
  8. Efficacité de la politique économique et position dans le cycle: le cas de la défiscalisation des heures supplémentaires en France By Eric Heyer
  9. Flexible Geospatial Visual Analytics and Simulation Technologies to Enhance Criminal Justice Decision Support Systems By L. Anselin; S. J. Rey; J. Koschinsky
  10. Emerging Asia’s Impact on Australian Growth: Some Insights From GEM By Ben Hunt
  11. EU rural policy: proposal and application of an agricultural sustainability index By Vecchione, Gaetano
  12. Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables By Ines Kahloul; Anouar Ben Mabrouk; Slah-Eddine Hallara

  1. By: Arndt, Channing; Benfica, Rui; Thurlow, James
    Abstract: We use a gendered computable general equilibrium model to assess the implications of biofuels expansion in Mozambique. We compare scenarios with different gender employment intensities in producing jatropha for biodiesel. Under all scenarios, biofuels accelerate GDP growth and reduce poverty. However, a stronger tradeoff between biofuels and food availability emerges when female labour is used intensively, as women are drawn away from food production. A skills-shortage amongst female workers also limits poverty reduction. Policy simulations indicate that only modest improvements in women’s education and food crop yields are needed to address food security concerns and ensure broader-based benefits from biofuels.
    Date: 2010
  2. By: Ron T. L. Chan; Simon Hubbert
    Abstract: The aim of this paper is to show how option prices in the Jump-diffusion model can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF technique is demonstrated by solving the partial integro-differential equation (PIDE) in one-dimension for the American put and the European vanilla call/put options on dividend-paying stocks in the Merton and Kou Jump-diffusion models. The radial basis function we select is the Cubic Spline. We also propose a simple numerical algorithm for finding a finite computational range of a global integral term in the PIDE so that the accuracy of approximation of the integral can be improved. Moreover, the solution functions of the PIDE are approximated explicitly by RBFs which have exact forms so we can easily compute the global intergal by any kind of numerical quadrature. Finally, we will also show numerically that our scheme is second order accurate in spatial variables in both American and European cases.
    Date: 2010–11
  3. By: Ciuiu, Daniel
    Abstract: In this paper we will generate queueing systems with c stations where the inter-arrival time and the c service times depend through a c+1 copula C. We will consider two models: first when the customer does not know the order of service times for the free service channels (he/she chooses the service channel randomly), and the second when he/she knows this order (he/she chooses the fastest free service channel). The marginals can be exponential, Erlang or hyper-exponential.
    Keywords: Queueing systems; copula; simulation.
    JEL: C02 C15
    Date: 2010–04
  4. By: Larraitz Aranburu Laka (Dpto. Matemática Aplicada I, Universidad del País Vasco, UPV/EHU, Spain); Laureano F. Escudero Bueno (Dpto. Estadística e Investigación Operativa, Universidad Rey Juan Carlos, Spain); María Araceli Garín Martín (Dpto. Economía Aplicada III, Universidad del País Vasco, UPV/EHU, Spain); Gloria Pérez Sainz de Rozas (Dpto. Matemática Aplicada, Estadística e I.O. Facultad de Ciencia y Tecnología, UPV/EHU, Leioa (Bizkaia), Spain)
    Abstract: The optimization of stochastic linear problems, via scenario analysis, based on Benders decomposition requires to appending feasibility and/or optimality cuts to the master problem until the iterative procedure reaches the optimal solution. The cuts are identified by solving the auxiliary submodels attached to the scenarios. In this work, we propose a so-called scenario cluster decomposition approach for dealing with the feasibility cut identification in the Benders method for solving large-scale two stage stochastic linear problems. The scenario tree is decomposed into a set of scenario clusters and tighter feasibility cuts are obtained by solving the auxiliary submodel for each cluster instead of each individual scenario. Then, this scenario cluster based scheme allows us to define tighter feasibility cuts that yield feasible second stage decisions in reasonable time consuming. Some computational experience by using the free software COIN-OR is reported to show the favorable performance of the new approach over traditional Benders decomposition
    Keywords: Benders decomposition, two-stage stochastic linear problems, scenario cluster auxiliary submodels, tight feasibility cuts
    JEL: C6 C61 C63
    Date: 2010–11–23
  5. By: Thierry Tressel
    Abstract: The financial crisis has highlighted the importance of various channels of financial contagion across countries. This paper first presents stylized facts of international banking activities during the crisis. It then describes a simple model of financial contagion based on bank balance sheet identities and behavioral assumptions of deleveraging. Cascade effects can be triggered by bank losses or contractions of interbank lending activities. As a result of shocks on assets or on liabilities of banks, a global deleveraging of international banking activities can occur. Simple simulations are presented to illustrate the use of the model and the relative importance of contagion channels, relying on bank losses of advanced countries’ banking systems during the financial crisis to calibrate the shock. The outcome of the simulations is compared with the deleveraging observed during the crisis suggesting that leverage is a major determinant of financial contagion.
    Keywords: Banks , Cross country analysis , Economic models , External shocks , Global Financial Crisis 2008-2009 , Globalization , International banking ,
    Date: 2010–10–19
  6. By: S. W. Myint
    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.  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
  7. By: Nicolás Merener
    Abstract: We develop an efficient Monte Carlo method for the valuation of a financial contract with payoff dependent on discretely realized variance. We assume a general model in which asset returns are random shocks modulated by a stochastic volatility process. Realized variance is the sum of squared daily returns, depending on the sequence of shocks to the asset and the realized path of the volatility process. The price of interest is the expected payoff, represented as a high dimensional integral over the fundamental sources of randomness. We compute it through the combination of deterministic integration over a two dimensional manifold defined by the sum of squared shocks to the asset and the path average of the modulating variance process, followedby exact conditional Monte Carlo sampling. The deterministic integration variables capture most of the variability in realized variance therefore the residual variance in our estimator is much smaller than that in standard Monte Carlo. We derive theoretical results that quantify the variance reduction achieved by the method. We test it for the Hull-White, Heston, and Double Exponential models and show that the algorithm performs significantly better than standard Monte Carlo for realistic computational budgets.
    Date: 2010
  8. By: Eric Heyer (Observatoire Français des Conjonctures Économiques)
    Abstract: The economic situation of all the major developed countries has changed significantly during the 2007-2010 period. Yet many economic policies have been kept in place. This is true in particular of a key measure in French government policy: tax reductions on overtime hours and their exemption from social charges. In this article we propose simulations of this scheme based on the economic context in which it is implemented. According to our simulations, this kind of measure is pro-cyclical and therefore poorly suited to the current situation of the French economy. Furthermore, even in the case of good conditions, the scheme would not be funded. Without financing, this measure would widen the deficit and would amount to a fiscal stimulus. Financing it through an increase in levies would radically change its nature.
    Keywords: Macroeconometric model, economic cycle, NAIRU, Phillips curve, hysteresis
    JEL: C13 C22 E24 E32 J08
    Date: 2010–10
  9. By: L. Anselin; S. J. Rey; J. Koschinsky
    Abstract: This article outlines efforts by Arizona State University’s GeoDa Center for Geospatial Analysis and Computation to develop a flexible methodological framework for space- time and network-based analysis of crime events. This framework integrates new techniques for geospatial visual analytics and spatial econometrics with state of the art geocomputation technologies. The goal is to yield the basis for an enhanced decision support system for criminal justice interventions through an open source and cross- platform modular software toolbox. This toolbox will be delivered through traditional free standing desktop software, toolbox extensions to commercial GIS, web services and integration into the virtual reality environment of ASU’s Decision Theater.
    Date: 2010
  10. By: Ben Hunt
    Abstract: Over the last decade, GDP growth in emerging Asia was roughly twice as fast as average world growth. The IMF’s Global Economy Model (GEM) is used to estimate the impact that emerging Asia’s growth differential has had on Australia. The simulation analysis, which replicates some key features from the last decade, suggests that roughly 25 percent of Australia's growth over the last decade has been from emerging Asia’s growth differential over that period. Looking ahead, the analysis suggests that should emerging Asia continue to grow in a similar fashion, Australia’s growth dividend could almost double. On the other hand, if growth in emerging Asia remained strong, but became more balanced across the tradable and nontradable goods sectors then Australia’s growth dividend would be slightly lower than the estimate for the last decade.
    Date: 2010–11–17
  11. By: Vecchione, Gaetano
    Abstract: In this paper I propose an Agricultural Sustainability Index (ASI) starting from a ‘political’ perspective: European legislation in the rural sector. I try to answer these questions. How can we measure sustainability in agriculture? How do we measure the enhancement (if any) of the European policy for sustainability in agriculture? Why do some geographical areas perform better than others? Considering these questions, the paper suggests a model for measuring sustainability in agriculture and an approach to compare performances among different geographical contexts. The model puts together different dimensions of sustainability in agriculture, combining Geographical Information System (GIS) analysis and Multi-Criteria Analysis (MCA). Using eighteen agricultural indicators divided into three dimensions, social, economic and environmental, the model incorporates the following stages: (i) indicator specification and definition of the decisional framework; (ii) indicators' normalisation by means of transformation functions based on the fuzzy logic approach; (iii) indicators weighted by Analytic Hierarchy Process (AHP) techniques; (iv) indicators aggregated to obtain the ASI. The model is tested on a specific area: Alta Val d’Agri, a rural area in the southern Basilicata Region. Final results show that ASI consistently synthesises the evolution of thirty years of rural development policy.
    Keywords: Agricultural sustainability; Indicators; GIS-MCA
    JEL: C43 Q01 R5
    Date: 2010–11–27
  12. By: Ines Kahloul; Anouar Ben Mabrouk; Slah-Eddine Hallara
    Abstract: We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing the ownership-structure/diversification relationship. It consists of a dynamic procedure based on wavelets. A comparison with Neural Networks, the most used method, is provided to prove the efficiency of the here-developed one. The empirical tests are conducted on a set of French firms.
    Date: 2010–11

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