|
on Computational Economics |
|
Issue of 2011‒08‒15
ten papers chosen by |
| By: | Falavigna Greta (Ceris - Institute for Economic Research on Firms and Growth, Moncalieri (TO), Italy) |
| Abstract: | Based on new regulations of Basel II Accord in 2004, banks and financial nstitutions have now the possibility to develop internal rating systems with the aim of correctly udging financial health status of firms. This study analyses the situation of Italian small firms that are difficult to judge because their economic and financial data are often not available. The intend of this work is to propose a simulation framework to give a rating judgements to firms presenting poor financial information. The model assigns a rating judgement that is a simulated counterpart of that done by Bureau van Dijk-K Finance (BvD). Assigning rating score to small firms with problem of poor availability of financial data is really problematic. Nevertheless, in Italy the majority of firms are small and there is not a law that requires to firms to deposit balance-sheet in a detailed form. For this reason the model proposed in this work is a three-layer framework that allows us to assign ating judgements to small enterprises using simple balance-sheet data. |
| Keywords: | rating judgements, artificial neural networks, feature selection |
| JEL: | C15 C45 G24 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:csc:cerisp:201104&r=cmp |
| By: | Marco Corazza (Department of Economics, Ca’ Foscari University of Venice; Advanced School of Economics in Venice.); Giovanni Fasano (Department of Management, Ca’ Foscari University of Venice; CNR - INSEAN (Italian Ship Model Basin).); Riccardo Gusso (Department of Economics, Ca’ Foscari University of Venice.) |
| Abstract: | In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In this contribution we focus on a class of measures that uses information contained both in lower and in upper tail of the distribution of the returns. We consider a nonlinear mixed-integer portfolio selection model which takes into account several constraints used in fund management practice. The latter problem is NP-hard in general, and exact algorithms for its minimization, which are both effective and efficient, are still sought at present. Thus, to approximately solve this model we experience the heuristics Particle Swarm Optimization (PSO). Since PSO was originally conceived for unconstrained global optimization problems, we apply it to a novel reformulation of our mixed-integer model, where a standard exact penalty function is introduced. |
| Keywords: | Portfolio selection, coherent risk measure, fund management constraints, NP-hard mathematical programming problem, PSO, exact penalty method, SP100 index's assets. |
| JEL: | C61 C63 G11 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:ven:wpaper:2011_10&r=cmp |
| By: | Michelle Gilmartin (Fraser of Allander Institute, University of Strathclyde); David Learmonth (Fraser of Allander Institute, University of Strathclyde); Peter McGregor (Department of Economics, University of Strathclyde); Kim Swales (Department of Economics, University of Strathclyde); Karen Turner (Stirling Management School, Division of Economics) |
| Abstract: | UK regional policy has been advocated as a means of reducing regional disparities and stimulating national growth. However, there is limited understanding of the interregional and national effects of such a policy. This paper uses an interregional computable general equilibrium model to identify the national impact of a policy-induced regional demand shock under alternative labour market closures. Our simulation results suggest that regional policy operating solely on the demand side has significant national impacts. Furthermore, the effects on the non-target region are particularly sensitive to the treatment of the regional labour market. |
| Keywords: | regional CGE modelling, migration, regional development policy |
| JEL: | C68 D58 R58 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:str:wpaper:1128&r=cmp |
| By: | Hamade, Kanj; Malorgio, Giulio; Midmore, Peter |
| Abstract: | While peripheral rural regions in Lebanon face typical problems of lagging development and economic marginalisation, they have not been regarded as a priority for policy-makers, and significant disparities between these and other regions have emerged as a result. Local extensionists have encouraged technological innovation as a means to improving farmersâ livelihoods, and this has led to increasing input use and an intensification of agricultural production. This paper applies contrasting quantitative and qualitative methodologies to analyse the effects of such changes at the level of the overall economy of Lebanon and also to explore the impacts on rural households. A Computable General Equilibrium (CGE) model explores several simulation scenarios in which agricultural output increases due to intensification in the use of intermediate inputs. The results are evaluated at local level through the use of qualitative case-study analysis carried out in the Hermel region of northeast Lebanon. Quantitative simulations indicate that, while intensification has a positive effect overall on the Lebanese economy, the effects on rural households and the income of farmers are negative; the case-study demonstrates that, at local level, agricultural trade liberalisation, increased agricultural output and greater volatility of commodity prices has resulted in farmers opting for lower input use and more secure market forms of production. |
| Keywords: | Community/Rural/Urban Development, |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aesc11:108960&r=cmp |
| By: | Eusebio Valero; Manuel Torrealba; Lucas Lacasa; Fran\c{c}ois Fraysse |
| Abstract: | This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo simulations, that usually involve rather large computation time, inefficient from a practical (financial) perspective. This model turns to be Markovian in three dimensions and therefore it can be mapped into a 3D partial differential equations problem. We propose an optimized numerical method to solve the 3D PDE model in both low computation time and reasonable accuracy, a fundamental criterion for practical purposes. The spatial and temporal discretization are performed using finite-difference and Crank-Nicholson schemes respectively, and the computational efficiency is largely increased performing a scale analysis and using Alternating Direction Implicit schemes. Several numerical considerations such as convergence criteria or computation time are analyzed and discussed. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1108.1688&r=cmp |
| By: | Apata, T.G.; Folayan, A.; Apata, O.M.; Akinlua, J. |
| Abstract: | This study examined the role of subsistence-oriented agriculture in Nigeria in the 1990s to 2000s. The start out by discussing the diverging economic effects of the growth of subsistence agriculture in Nigeria since the transition process started. The quantitative analysis of this sectorâs role is carried out by means of an applied Computable General Equilibrium (CGE) model applying a 1994 Social Accounting Matrix (SAM) as base year data. The innovation of the article is to disaggregate primary agricultural production not by products but by farm types, which enables us to distinguish their institutional and economic characteristics. The study simulates two Structural Adjustment Programme (SAP) of the government. The results of the post SAP period highlight that Nigeriaâs subsistence agriculture was an important shock absorber against further agricultural output declines during transition. A simulation, which looks into the effects of a devaluation of the Nigeria Naira, shows that the financial crisis should have increased the relative competitiveness particularly of large-scale crop farms versus small-scale farms. The reforms of successive governments show that efficiency enhancing institutional change would benefit both large-scale and small-scale farms. However, within small-scale agriculture, a shift from subsistence to commercial agriculture would take place. |
| Keywords: | Subsistence agriculture, CGE model, Exchange rate, Institutional Development, Structural Constraints, Nigeria, Community/Rural/Urban Development, |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aesc11:108942&r=cmp |
| By: | Lecca, Patrizio; Swales, J. Kim; Turner, Karen |
| Abstract: | This paper examines the impact of imposing different separability assumptions in the specifications of the standard hierarchical KLEM production function in a computable general equilibrium (CGE) model. The appropriate means of introducing energy to sectoral production functions in CGE models has been a source of debate for a number of years. However, while modellers often subject their model results to sensitivy analysis with respect to the values associated with elasticities of substitution between inputs, it is rarely the case that the structure of the production function is subjected to testing. However, the chosen structure reflects the modeller's view about elasticity between different inputs and will have implications for model results wherever there are changes in relative prices. We illustrate our argument by introducing a simple demand shock to a CGE model of the Scottish economy (targetted at the energy supply sector) under different assumptions regarding the structure of the KLEM production function and separability assumptions therein. Specifically, we conduct both systematic and random parameter variation within alternative KLEM production structures, examining the impacts on a number of model outputs, though with primary focus on energy use in production. We find that if energy is introduced to the value-added rather than intermediates nest there is greater variation in energy use in production in response to the demand disturbance. |
| Keywords: | separability assumptions; KLEM production function; general equilibriu m |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:stl:stledp:2010-18&r=cmp |
| By: | Nyangweso, P.M.; Odmori, Paul Okelo; Mapelu, M.Z.; Odhiambo, Mark O. |
| Abstract: | Simulation models have been used successfully to forecast productivity of cropping systems under various weather, management and policy scenarios. These models have helped farmers make efficient resource allocation decisions. However, in Kenya simulation models have not been used extensively and more specifically in modeling large scale cropping systems. The study aimed at forecasting productivity and profitability of wheat cropping systems in Uasin Gishu district, Kenya. Both primary and secondary data were used. Both time series and cross-sectional data for variables of interest were collected and complemented by a survey of 20 wheat farmers who were systematically selected to verify information obtained from secondary sources. Cropping Systems simulation model and Monte Carlo simulation were used to determine wheat output and profits under alternative price scenarios. Even though, simulated yields overestimated actual field wheat yield both at the district and across the four agro-ecological zones, the deviation from the actual field yield was marginal. It is recommended that Cropsyst and Monte Carlo models be included among a bundle of tools for decision making. Further research is also required to test the two models under different locations, diverse soil types, varied management styles and different scales of production. |
| Keywords: | Wheat, cropping system, simulation, forecasting, productivity, profits, Crop Production/Industries, |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaae10:95960&r=cmp |
| By: | Gill, Tania; Punt, Cecilia |
| Abstract: | In South Africa, a water scarce country, conflict between water users is mounting, while there are few remaining bulk water augmentation options. Water demand management is thus increasingly taking centre stage in water management debates. Water pricing is regarded as an important component of managing the demand for water resources. This article traces the efficacy of increasing irrigation water tariffs to save water and the impact thereof on the national economy and the Western Cape economy using the Computable General Equilibrium (CGE) model and Social Accounting Matrix (SAM) constructed by Hassan et al (2008). Two scenarios are investigated in which the water tariff is increased by 50 percent from a base of 2c/m³. In the first scenario water demand is fixed in agriculture; thus, water needs to be fully utilized in agriculture. In the second scenario it is assumed that all water does not have to be utilized. The study finds that, for both scenarios, increasing water tariffs by 50% raises the risk profile of agriculture, threatens food security, decreases national welfare, increases imports of staple foods, increases the prices of staple foods, decreases household welfare and decreases employment in agriculture. These adverse effects are more severe in the second scenario than in the first scenario. The introduction of irrigation water pricing shocks should thus be approached with due caution and alternative demand management approaches should be investigated. |
| Keywords: | Resource /Energy Economics and Policy, |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaae10:96425&r=cmp |
| By: | Dlamini, Thula S.; Fraser, Gavin C.G. |
| Abstract: | The feasibility of springbuck based meat production in the EC Karoo was analysed through a stochastic budgeting model, while overtly taking cost and price risk into consideration. Monte Carlo simulation of a springbuck based meat production enterprise was used to quantify the risks that would be faced by springbuck ranchers. Springbuck ranching has been proven a viable alternative in the production of highly nutritious and healthy meat (venison) that is on high demand in European markets and more recently with a promising and growing local demand as well. The results indicate that in the Eastern Cape Karoo, springbuck ranching for meat production is a viable business. As the call for more environmentally friendlier rangelands utilisation economic systems intensifies, rangelands owners in the EC Karoo have a practicable option. At the very least, an alternative to broaden their incomes with springbuck based meat production exists. |
| Keywords: | Game ranching, Springbuck ranching, meat production, economic feasibility, Monte Carlo simulation, Livestock Production/Industries, |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaae10:96181&r=cmp |