New Economics Papers
on Computational Economics
Issue of 2010‒12‒11
nineteen papers chosen by

  1. Time in discrete agent-based models of socio-economic systems By Nicola Botta; Antoine Mandel; Cezar Ionescu
  2. Spatial social-networking externality and firm location: a simulation model of Chile By Marcelo Lufin; Daisuke Nakamura
  3. Agent-based dynamics in disaggregated growth models By Antoine Mandel; Carlo Jaeger; Steffen Fürst; Wiebke Lass; Daniel Lincke; Frank Meissner; Federico Pablo-Marti; Sarah Wolf
  4. A simulation approach to a world with learning By Andreu, Rafael; Riverola, Josep; Rosanas, Josep M.; de Santiago, Rafael
  5. Modeling the effects of nuclear fuel reservoir operation in a competitive electricity market By Maria Lykidi; Jean-Michel Glachant; Pascal Gourdel
  6. Multi-funds in the Chilean Pension System By Soledad Hormazabal
  7. Analysing Alternative Policy Response to High Oil Prices, Using an Energy Integrated CGE Microsimulation Approach for South Africa By Albert Touna Mama; Jacques Ewoudou
  8. Quotation for the Value Added Assessment during Product Development and Production Processes By Alain Bernard; Nicolas Perry; Jean-Charles Delplace; Serge Gabriel
  9. Gas Release and Transport Capacity Investment as Instruments to Foster Competition in Gas Markets By Chaton, Corinne; Gasmi, Farid; Guillerminet, Marie-Laure; Oviedo, Juan Daniel
  10. Computing congruences of modular forms and Galois representations modulo prime powers By Xavier Taixés; Gabor Wiese
  11. An unconditional basic income in the family context: Labor supply and distributional effects By Horstschräer, Julia; Clauss, Markus; Schnabel, Reinhold
  12. Step by Step: Revisiting Step Tolling in the Bottleneck Model By C. Robin Lindsey; Vincent A.C. van den Berg; Erik T. Verhoef
  13. Short and Long-run Behaviour of Long-term Sovereign Bond Yields By António Afonso; Christophe Rault
  14. Distributional and Welfare Effects of Germany's Year 2000 Tax Reform By Richard Ochmann
  15. Public Provision of Private Goods, Tagging and Optimal Income Taxation with Heterogeneity in Needs By Bastani, Spencer; Blomquist, Sören; Micheletto, Luca
  16. Le bilan de santé de la PAC et le rééquilibrage des soutiens à l’agriculture française By Vincent Chatellier; Hervé Guyomard
  17. Fiscal Policy and Economic Stability:Does PIGS stand for Procyclicality In Government. By Peter Claeys; Alessandro Maravalle
  18. Modelling Load Shifting Using Electric Vehicles in a Smart Grid Environment By Shin-ichi Inage
  19. Zarzosa Valdivia F. By Determinants of the structural real exchange rates and economic structures in Argentina, Chile and Mexico

  1. By: Nicola Botta (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Antoine Mandel (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I); Cezar Ionescu (Potsdam Institute for Climate Impact Research - Telegrafenberg A51)
    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.
    Date: 2010–09
  2. By: Marcelo Lufin (Department of Economics, Universidad Católica del Norte); Daisuke Nakamura (Department of Economics, Universidad Católica del Norte)
    Abstract: There have already been several established approaches regarding social externalities and location decision-making of the firm. However, those usually face certain difficulties when the model is applied to the real economic system. This technical problem may be solved by testing the case of spatial structure of Chile, where particular spatial configurations characterized by extremely narrow and long geographical attributes are available. While there are various methods of investigation such as spatial econometrics and CGE models, we attempt to compose a spatial Keiretsu framework by applying numeric simulation analysis. To be precise, the simulation initially distributes firms at random across whole regions of the country in order to observe the evolution process of every individual firm together with given conditions of spatially-constrained external economies of scale, scope and complexity in each region. It is then examined the potential impact of changes in internal economies such as horizontal, lateral and vertical integrations on the efficiency of further growth with respect to expansion time and scale of firms in addition to given availability of external economies. Furthermore, sensitivity of simulation is measured to evaluate the creation of new firms as well as their evolution processes by means of repeating Monte-Carlo method. The simulation outcome may provide policy implications such as the accumulating issue of severe spatial concentration in the Metropolitan Region of the country. Finally, the analysis explores further avenues of research towards general framework of spatial social externalities
    Keywords: Firm location, social network externalities, simulation model, internal and external economies
    JEL: C51 D85 L14 O15
    Date: 2010–11
  3. By: Antoine Mandel (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I); Carlo Jaeger (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Steffen Fürst (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Wiebke Lass (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Daniel Lincke (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Frank Meissner (Potsdam Institute for Climate Impact Research - Telegrafenberg A51); Federico Pablo-Marti (Universidad de Alcalá - Pza. San Diego, s/n); Sarah Wolf (Potsdam Institute for Climate Impact Research - Telegrafenberg A51)
    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 models, economic growth.
    Date: 2010–10
  4. By: Andreu, Rafael (IESE Business School); Riverola, Josep (IESE Business School); Rosanas, Josep M. (IESE Business School); de Santiago, Rafael (IESE Business School)
    Abstract: The main objective of the firm in economics-based models is to maximize profit. Dropping this objective in order to make the models more realistic complicates the analysis and is seldom done, thus leaving management action out of the picture. In this paper we try to understand how management decisions give rise to aggregate results. In particular, we develop a simulation model of an economy in which emphasis is placed on managers' decision-making criteria. The key decision managers have to make is which projects their firms will undertake. Project selection has an impact on the firm, as the firm's profile may change through learning.
    Keywords: Management; Economics; Learning; Simulation;
    Date: 2010–10–13
  5. By: Maria Lykidi (ADIS-GRJM - Département d'Economie); Jean-Michel Glachant (ADIS-GRJM - Département d'Economie, European University Institute - Department of Economics); Pascal Gourdel (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)
    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.
    Date: 2010–11
  6. By: Soledad Hormazabal
    Abstract: This work describes the development of the multi-fund scheme in Chile, as well as its key features and results. It includes simulation exercises designed to model the returns and volatilities of the different types of Chilean pension funds over a 50-year horizon. It shows how the trend is for increasing returns and that the average expected return of the pension funds is greater as the percentage invested in equity increases, although the volatility is also higher. The considerable risk premium associated with investment in shares would justify the adoption of a greater risk when the investment horizon is longer. This does not mean that the risk is limited over time, but rather that the volatility of the equity assets provides periods of exit opportunities with significant returns.
    Date: 2010–02
  7. By: Albert Touna Mama; Jacques Ewoudou
    Abstract: Since the seminal work of Jappelli (1990), it has become standard to identify as liquidity-constrained, borrowers who were either turned down for credit or did not apply because they might be turned down. In this paper, we show that the so-called “denied or discouraged” proxy does not capture accurately consumers’ credit access when consumers seek credit to finance expenditure on durable goods. Our sample is drawn from the Panel Study of Income Dynamics. We document systematic misclassification of unconstrained households as constrained. We argue that: for durables, this proxy captures best the intensity put forth by the borrower when shopping for a loan.
    Keywords: Borrowing constraints; Mortgage loans; Consumer search
    JEL: E21 D12
    Date: 2010
  8. By: Alain Bernard (IRCCyN); Nicolas Perry (IRCCyN); Jean-Charles Delplace; Serge Gabriel
    Abstract: This communication is based on an original approach linking economical factors to technical and methodological ones. This work is applied to the decision process for mix production. This approach is relevant for costing driving systems. The main interesting point is that the quotation factors (linked to time indicators for each step of the industrial process) allow the complete evaluation and control of, on the one hand, the global balance of the company for a six-month period and, on the other hand, the reference values for each step of the process cycle of the parts. This approach is based on a complete numerical traceability and control of the processes (design and manufacturing of the parts and tools, mass production). This is possible due to numerical models and to feedback loops for cost indicator analysis at design and production levels. Quotation is also the base for the design requirements and for the choice and the configuration of the production process. The reference values of the quotation generate the base reference parameters of the process steps and operations. The traceability of real values (real time consuming, real consumable) is mainly used for a statistic feedback to the quotation application. The industrial environment is a steel sand casting company with a wide mix product and the application concerns both design and manufacturing. The production system is fully automated and integrates different products at the same time.
    Date: 2010–11
  9. By: Chaton, Corinne (Laboratoire de Finance des Marchés d'Energies); Gasmi, Farid (Toulouse School of Economics (ARQADE & IDEI)); Guillerminet, Marie-Laure (Hamburg University (FNU)); Oviedo, Juan Daniel (Universidad del Rosario)
    Abstract: Motivated by recent policy events experienced by the European natural gas industry, this paper develops a simple model for analyzing the interaction between gas release and capacity investment programs as tools to improve the performance of imperfectly competitive markets. We consider a regional market in which a measure that has an incumbent release part of its gas to a marketer complements a program of investment in transport capacity dedicated to imports by the marketer, at a regulated transport charge, of competitively-priced gas. First, we examine the case where transport capacity is regulated while gas release is not, i.e., the volume of gas released is determined by the incumbent. We then analyze the effect of the "artifcial" duopoly created by the regulator when the latter regulates both gas release and transport capacity. Finally, using information on the French industry, we calibrate the basic demand and cost elements of the model and perform some simulations of these two scenarios. Besides allowing us to analyze the economic properties of these scenarios, a policy implication that comes out of the empirical analysis is that, when combined with network expansion investments, gas-release measures applied under regulatory control are indeed effective short-term policies for promoting gas-to-gas competition.
    Keywords: Natural gas, Gas release, Regulation, Competition
    JEL: L51 L95
    Date: 2010–11
  10. By: Xavier Taixés; Gabor Wiese
    Abstract: This article starts a computational study of congruences of modular forms and modular Galois representations modulo prime powers. Algorithms are described that compute the maximum integer modulo which two monic coprime integral polynomials have a root in common in a sense that is defined. These techniques are applied to the study of congruences of modular forms and modular Galois representations modulo prime powers. Finally, some computational results with implications on the (non-)liftability of modular forms modulo prime powers and possible generalisations of level raising are presented.
    Date: 2010–01
  11. By: Horstschräer, Julia; Clauss, Markus; Schnabel, Reinhold
    Abstract: In this paper we estimate the effects of an unconditional basic income on labor supply and income distribution with a special focus on the incentives to work in the family context. An unconditional basic income guarantees every citizen a minimum income without any means-testing. We simulate a proposed basic income reform with a detailed microsimulation model, estimate labor supply reactions with a structural labor supply model and perform distributional analysis using micro data from the German Socio-Economic Panel. As the originally proposed basic income concept yields a very high deficit, we also analyze two budget neutral alternatives. Comparing labor supply and distributional results of the budget neutral alternatives, the well-known equity-effciency trade-off is unveiled. In the family context our analyzes suggest that the unconditional character of the basic income causes increasing family incomes, but also serious disincentives to work for secondary earners. --
    Keywords: basic income,negative income tax,flat tax,female labor supply
    JEL: C15 D31 D78 H31 H53 J08 J22
    Date: 2010
  12. By: C. Robin Lindsey (University of British Columbia, Canada); Vincent A.C. van den Berg (VU University Amsterdam); Erik T. Verhoef (VU University Amsterdam)
    Abstract: In most dynamic traffic congestion models, congestion tolls must vary continuously over time to achieve the full optimum. This is also the case in Vickrey's (1969) 'bottleneck model'. To date, the closest approximations of this ideal in practice have so-called 'step tolls', in which the toll takes on different values over discrete time intervals, but is constant within each interval. Given the prevalence of step tolling schemes they have received surprisingly little attention in the literature. This paper compares two step-toll schemes that have been studied using the bottleneck model by Arnott, de Palma and Lindsey (1990) and Laih (1994). It also proposes a third scheme in which late in the rush hour drivers slow down or stop just before reaching a tolling point, and wait until the toll is lowered from one step to the next step. Such behaviour has indeed been observed in reality. Analytical derivations and numerical modelling show that the three tolling schemes have different optimal toll schedules and reduce total social costs by different percentages. These differences persist even in the limit as the number of steps approaches infinity. Braking lowers the welfare gain from tolling by 14% to 21% in the numerical example. Therefore, preventing or limiting braking seems important in designing step-toll systems.
    Keywords: Congestion pricing; step tolls; bottleneck model; Vickrey model; departure time choice; braking
    JEL: D62 R41 R48
    Date: 2010–11–30
  13. By: António Afonso; Christophe Rault
    Abstract: This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of cross-country dependence regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods for the analysis. Results based on the Common Correlated Effect estimator of Pesaran (2006) and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that in addition to common movements in sovereign yields, investors also consider country differences arising from specific factors (inflation, budgetary and current account imbalances, real effective exchange rates, and liquidity).
    Keywords: long-term yields, EU, financial integration, panel cointegration, bootstrap.
    JEL: C23 E43 E62 G15 H62
    Date: 2010–11
  14. By: Richard Ochmann
    Abstract: This paper empirically investigates distributional and welfare effects of Germany's year<br /> 2000 income tax reform. The reform is simulated in an ex-ante behavioral microsimulation approach. Dead weight loss of changes in capital income taxation is estimated in a structural model for household savings and asset demand applied to German survey data. Significant reductions in tax rates result in income gains for most of the households. Gains are found greater for households in higher tax brackets, whereby income inequality increases, slightly greater in East- than in West-Germany. Moreover, households increase savings and alter the structure of asset demand as a result of shifts in relative asset prices. As a consequence, utility losses reduce welfare effects for almost all households.
    Keywords: Capital income taxation, household savings, asset demand, welfare effects
    JEL: C35 G11 H31
    Date: 2010
  15. By: Bastani, Spencer (Uppsala Center for Fiscal Studies); Blomquist, Sören (Uppsala Center for Fiscal Studies); Micheletto, Luca (Uppsala Center for Fiscal Studies)
    Abstract: Previous literature has shown that public provision of private goods can be a welfareenhancing device in second-best settings where governments pursue redistributive goals. However, three issues have so far been neglected. First, the case for supplementing an optimal nonlinear income tax with public provision of private goods has been made in models where agents dier only in terms of market ability. Second, the magnitude of the welfare gains achievable through public provision schemes has not been assessed. Third, the similarities/dierences between public provision schemes and tagging schemes have not been thoroughly analyzed. Our purpose in this paper is therefore threefold: rst, to extend previous contributions by incorporating in the theoretical analysis both heterogeneity in market ability and in the need for the publicly provided good; second, to perform numerical simulations to quantify the size of the potential welfare gains achievable by introducing a public provision scheme, and to characterize the conditions under which these welfare gains are sizeable; nally, to compare the welfare gains from public provision with the welfare gains from tagging.
    Keywords: optimal income taxation; in-kind transfers; tagging
    JEL: H21 H42
    Date: 2010–11–16
  16. By: Vincent Chatellier; Hervé Guyomard
    Abstract: [Paper in French] This paper presents an analysis of the consequences for the French agricultural sector of the Common Agricultural Policy (CAP) Health Check following the measures adopted in France in February 2009. The simulations, conducted with the Farm Accountancy Data Network (FADN), show a shift of direct payments in favour of sheep and dairy farms, mainly those with a high proportion of grassland in their rotation. By contrast, crop farms and intensive cattle farms should lose. This new reform of the CAP will reduce the variability of single farm payment amounts among French farms; however, it will not modify in depth the current hierarchy of agricultural incomes which is also highly dependent on agricultural prices. In addition, these measures promote a more targeted allocation of budgetary outlays on natural resource protection.
    Keywords: CAP, France, health check, direct aid, single farm payment, farms, FADN
    JEL: Q12 Q18
    Date: 2010
  17. By: Peter Claeys (Universitat de Barcelona,); Alessandro Maravalle (University of the Basque Country,)
    Abstract: The Financial Crisis has hit particularly hard countries like Ireland or Spain. Procyclical fiscal policy has contributed to a boom-bust cycle that undermined fiscal positions and deepened current account deficits during the boom. We set up an RBC model of a small open economy, following Mendoza (1991), and introduce the effect of fiscal policy decisions that change over the cycle. We calibrate the model on data for Ireland, and simulate the effect of different spending policies in response to supply shocks. Procyclical fiscal policy distorts intertemporal allocation decisions. Temporary spending boosts in booms spur investment, and hence the need for external finance, and so generates very volatile cycles in investment and the current account. This economic instability is also harmful for the steady state level of output. Our model is able to replicate the relation between the degree of cyclicality of fiscal policy, and the volatility of consumption, investment and the current account observed in OECD countries.
    Keywords: RBC, current account, small open economy, fiscal rule, spending
    JEL: E32 E62 F41 H62
    Date: 2010–12–02
  18. By: Shin-ichi Inage
    Abstract: Electric vehicles (EVs) represent both a new demand for electricity and a possible storage medium that could supply power to utilities. The "load shifting" and “vehicle-to-grid” concepts could help cut electricity demand during peak periods and prove especially helpful in smoothing variations in power generation introduced to the grid by variable renewable resources such as wind and solar power. This paper proposes a method for simulating the potential benefits of using EVs in load shifting and "vehicle-to-grid" applications for four different regions – the United States, Western Europe, China and Japan – that are expected to have large numbers of EVs by 2050.
    Keywords: technology
    Date: 2010–08
  19. By: Determinants of the structural real exchange rates and economic structures in Argentina, Chile and Mexico
    Abstract: A theoretical model, applied to Argentina, Chile and Mexico, shows how exogenous shocks impact on the structural real exchange rate (SRER, defined by the relative tradable to non-tradable price) and sectoral shares. First, a simulation approach designed to test how rich the theoretical model is in providing predictions: a) captures the behaviour of the Argentinean series quite well but its ability to predict the Chilean and Mexican variables differs between variables and b) shows that the collapse of the Argentinean currency, at the end of 2001, was necessary to correct a 38.9% SRER misalignment. In addition, a cointegration approach shows that: a) productivity improvements in the Mexican manufacturing sector reduce its share to GDP, b) labour endowments influence positively the Chilean SRER and both tradable sectors in Argentina and Mexico, while they reduce the Chilean primary sector, c) terms of trade improvements depreciate the SRER of all countries but reduce the size of the primary sector in Chile and Mexico, d) government spending reduces the Mexican SRER and the primary and manufacturing shares in Argentina while it increases the Mexican SRER and manufacturing shares, e) additional external debt reduces the Argentinean SRER and reduces (increases) the Argentinean and Mexican primary (manufacturing) shares and f) the collapse of the Argentinean currency depreciated its SRER by about 31.1% with an 18% overshooting. The benchmarking of the simulated and cointegrated results for Argentina reveals that the cumulated Argentinean SRER misalignment before the collapse of its currency was due to fundamental factors.
    Date: 2010–11

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