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on Computational Economics |
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Issue of 2011‒08‒29
ten papers chosen by |
| By: | Sarlin, Peter (BOFIT); Peltonen, Tuomas A. (BOFIT) |
| Abstract: | The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks on a two-dimensional plane as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a multidimensional financial stability space and thus allows disentangling the individual sources impacting on systemic risks. The SOFSM can be used to monitor macro-financial vulnerabilities by locating a country in the financial stability cycle: being it either in the pre-crisis, crisis, post-crisis or tranquil state. In addition, the SOFSM performs better than or equally well as a logit model in classifying in-sample data and predicting out-of-sample the global financial crisis that started in 2007. Model robustness is tested by varying the thresholds of the models, the policymaker’s preferences, and the forecasting horizon. |
| Keywords: | systemic financial crisis; systemic risk; self-organizing maps; visualisation; prediction; macroprudential supervision |
| JEL: | E44 E58 F01 F37 |
| Date: | 2011–08–22 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofitp:2011_018&r=cmp |
| By: | Callan, Tim; Van de Ven, Justin |
| Abstract: | This paper describes a structural dynamic microsimulation model of the household that has been developed to explore behavioural responses to pensions policy counterfactuals in Ireland. The model is based upon the life-cycle theory of behaviour, which assumes that individuals make their decisions to maximise expected lifetime utility, subject to expectations that are consistent with the prevailing decision making environment. The model is calibrated to match Irish survey data. |
| Keywords: | data/Dynamic Programming,Savings,Labor Supply,Pensions/Individuals/Ireland |
| JEL: | C51 C61 C63 H31 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:esr:wpaper:wp400&r=cmp |
| By: | Grossmann, Volker; Steger, Thomas M.; Trimborn, Timo |
| Abstract: | Previous research on optimal R&D subsidies has focussed on the long run. This paper characterizes the optimal time path of R&D subsidization in a semi-endogenous growth model, by exploiting a recently developed numerical method. Starting from the steady state under current R&D subsidization in the US, the R&D subsidy should significantly jump upwards and then slightly decrease over time. There is a negligible loss in welfare, however, from immediately setting the R&D subsidy to its optimal long run level, compared to the case where the dynamically optimal policy is implemented. -- |
| Keywords: | R&D subsidy,transitional dynamics,semi-endogenous growth,welfare |
| JEL: | H20 O30 O40 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:leiwps:97&r=cmp |
| By: | Quamrul H. Ashraf (Williams College); David N. Weil (Brown University); Joshua Wilde (University of South Florida) |
| Abstract: | We assess quantitatively the effect of exogenous reductions in fertility on output per capita. Our simulation model allows for effects that run through schooling, the size and age structure of the population, capital accumulation, parental time input into child-rearing, and crowding of fixed natural resources. The model is parameterized using a combination of microeconomic estimates, data on demographics and natural resource income in developing countries, and standard components of quantitative macroeconomic theory. We apply the model to examine the effect of an intervention that immediately reduces TFR by 1.0, using current Nigerian vital rates as a baseline. For a base case set of parameters, we find that an immediate decline in the TFR of 1.0 will raise output per capita by approximately 13.2 percent at a horizon of 20 years, and by 25.4 percent at a horizon of 50 years. |
| Keywords: | Fertility, Population size, Age structure, Child quality, Worker experience, Labor force participation, Capital accumulation, Natural resources, Income per capita |
| JEL: | E17 J11 J13 J18 J21 J22 J24 O11 O13 O55 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:wil:wilcde:2011-07&r=cmp |
| By: | Haddad, Eduardo A.; Garcia Samaniego, Juan Manuel; Porsse, Alexandre A.; Ochoa Jimenez, Diego Alejandro; Ochoa Moreno, Wilman Santiago; Souza, Luiz Gustavo Antonio |
| Abstract: | In this paper, we explore the structural characteristics of the interregional input-output system developed for Ecuador for the year 2007. As part of an ongoing project that aims to develop an interregional CGE model for the country, this database was developed under conditions of limited information. It provides the opportunity to better understand the spatial linkage structure associated with the national economy in the context of its 22 provinces, 15 sectors and 60 different products. This exploratory analysis is based on the description of structural coefficients and the use of traditional input-output techniques. Finally, we further explore the spatial linkage structure by looking at the regional decomposition of final demand. It is hoped that this exercise might result in a better appreciation of a broader set of dimensions that might improve our understanding of the integrated interregional economic system in Ecuador. |
| Keywords: | Interregional input-output model; Ecuador; spatial linkages |
| JEL: | D57 R15 R12 R34 C67 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32927&r=cmp |
| By: | Ansgar Belke; Christian Dreger |
| Abstract: | The Greek government budget situation plays a central role in the debt crisis in the euro area. The debt to GDP ratio is above 150 percent, while the defi cit to GDP ratio exceeds 10 percent. To re-establish the Maastricht criteria, respectively, strong consolidation measures need to be implemented, with potential adverse eff ects on the Greek economy, and further credit requirements. Therefore, a debt conversion might become a reasonable alternative. The aim of this paper is to provide some simulation-based calculations on the expected fi scal costs for the governments in the large European countries Germany, France, Spain and Italy arising from diff erent policy options – among them a second Greek rescue package. Under realistic conditions, a debt conversion may be the less costly strategy for Greece and the euro area partner states. A value-added of these calculations lies in a potential transfer to smaller euro area member countries. |
| Keywords: | Euro area debt crisis; debt conversion; Greece |
| JEL: | F33 F34 H63 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:rwi:repape:0273&r=cmp |
| By: | Tindara Addabbo; Anna Maccagnan |
| Abstract: | The aim of this paper is to analyse the effects of the crisis on the Italian labour market. The Italian labour market is characterized by deep gender differences and regional variability. The data show that the crisis lead to an increase in the gap of female employment rates and womens inactivity rates with respect to Europe. The North of Italy experienced a higher increase in unemployment than the South, where many people withdrew from the labour market because of poor employment prospects. Moreover, in Italy, the increase in unemployment has been mitigated by the increase in the number of workers having access to the wage supplementation fund who are not computed within the unemployed. However, the heterogeneity in the system of unemployment benefits increased inequalities amongst the unemployed. Using a micro simulation techniques, we estimate the effect of the crisis on income distribution and poverty and find that at the national level, the population showed a reduction in equivalised household income by about 1 percent. The limited impact on household's equivalent income can be connected to the relatively high share of unemployed who are young with relatively low income and sustained by other members of the household. |
| Keywords: | labour market, poverty, economic crisis |
| JEL: | J6 I32 |
| Date: | 2011–02 |
| URL: | http://d.repec.org/n?u=RePEc:mod:cappmo:0086&r=cmp |
| By: | Schäfer, Andreas; Schneider, Maik T. |
| Abstract: | While most countries have harmonized intellectual property rights (IPR) legislation, the dispute about the optimal level of IPR-enforcement remains. This paper develops an endogenous growth framework with two open economies satisfying the classical North-South assumptions to study (a) IPR-enforcement in a decentralized game and (b) the desired globally-harmonized IPR-enforcement of the two regions. The results are compared to the constrained-efficient enforcement level. Our main insights are: The regions' desired harmonized enforcement levels are higher than their equilibrium choices, however, the gap between the two shrinks with relative market size. While growth rates substiantially increase when IPR-enforcement is harmonized at the North's desired level, our numerical simulation suggests that the South may also benefit in terms of long-run welfare. -- |
| Keywords: | Endogenous Growth,Intellectual Property Rights,Trade,Dynamic Game |
| JEL: | F10 F13 O10 O30 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:leiwps:96&r=cmp |
| By: | Julian di Giovanni; Andrei A. Levchenko |
| Abstract: | This paper proposes a new mechanism by which country size and international trade affect macroeconomic volatility. We study a multi-country, multi-sector model with heterogeneous firms that are subject to idiosyncratic firm-specific shocks. When the distribution of firm sizes follows a power law with an exponent close to -1, the idiosyncratic shocks to large firms have an impact on aggregate output volatility. We explore the quantitative properties of the model calibrated to data for the 50 largest economies in the world. Smaller countries have fewer firms, and thus higher volatility. The model performs well in matching this pattern both qualitatively and quantitatively: the rate at which macroeconomic volatility decreases in country size in the model is very close to what is found in the data. Opening to trade increases the importance of large firms to the economy, thus raising macroeconomic volatility. Our simulation exercise shows that the contribution of trade to aggregate fluctuations depends strongly on country size: in the largest economies in the world, such as the U.S. or Japan, international trade increases volatility by only 1.5-3.5%. By contrast, trade increases aggregate volatility by some 15-20% in a small open economy, such as Denmark or Romania. |
| JEL: | F12 F15 F41 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17335&r=cmp |
| By: | Marco Cozzi (Queen’s University) |
| Abstract: | This paper implements a simple Bayesian approach to quantitatively study the Hansen and Imrohoroglu (1992) economy, a calibrated GE model with uninsurable employment risk, designed to assess the optimal replacement rate for a public Unemployment Insurance scheme. The results of this sensitivity analysis are consistent with the original findings, but with several caveats. One novel result in particular is that the distribution of the optimal UI is bimodal. Depending on the calibrated parameters, the optimal UI is in one of two regimes: a very generous scheme with high replacement ratios, where insurance is mainly provided by the UI scheme, or one with low replacement ratios, where insurance is mainly achieved through self-insurance. Even in the absence of moral hazard, it is never optimal to provide full insurance. Moreover, for many plausible parameters’ configurations, the welfare maximizing replacement rate does not decrease with the level of MH. The qualitative patterns and quantitative findings are not altered substantially when considering an enlarged labor force, which includes the marginally attached workers. Finally, the parameters representing the hours worked, the leisure share in the households’ consumption bundle, and the intertemporal elasticity of substitution have a first order impact on the average welfare. The determination of the optimal UI scheme depends heavily on them. This finding suggests that extra caution should be paid when calibrating these parameters in similar environments. |
| Keywords: | Calibration methods, Unemployment Risk, Optimal Unemployment Insurance, Heterogeneous Agents, Incomplete Markets, Computable General Equilibrium, Monte Carlo |
| JEL: | E21 D52 D58 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:qed:wpaper:1272&r=cmp |