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on Computational Economics |
|
Issue of 2011‒10‒15
thirteen papers chosen by |
| By: | J. Edward Taylor |
| Abstract: | The purpose of this guideline is to make practitioners aware of simulation approaches for the evaluation of tourism projects. Simulation approaches are particularly useful when experimental or economic approaches for project evaluation are not feasible. For example, it usually is not possible to roll out a tourism-promotion program for a randomly chosen "treatment group" while excluding the program's benefits for a "control group" at the tourist destination. The guideline explains why a simulation approach is useful for tourism impact analysis, what a simulation model for the economic analysis of tourism impacts looks like, and data requirements. With the help of an illustrative two-island model, the guideline shows how to construct different kinds of simulation models and how to use simulations to quantify the costs and benefits of tourism and tourism projects. The guideline concludes by discussing some specific IDB projects in which this methodology has been used for tourism impact analysis. The primary goal of this paper is to make development practitioners aware of simulation approaches for tourism impact analysis and of how to integrate these approaches into their project proposals, budgets, and terms of reference for expert consultants. |
| Keywords: | Environment & Natural Resources :: Sustainable Tourism, Economics :: Economic Development & Growth |
| JEL: | C81 L83 O12 O18 O22 R11 R58 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:idb:brikps:37478&r=cmp |
| By: | Kamal Boukhetala (Faculté des Mathématiques - Université des Sciences et de la Technologie Houari Boumediène); Arsalane Guidoum (Department of Probabilities & Statistics - Université des Sciences et de la Technologie Houari Boumediène) |
| Abstract: | The Sim.DiProc package provides a simulation of diffusion processes and the differences methods of simulation of solutions for stochastic differential equations (SDEs) of the Ito's type, in financial and actuarial modeling and other areas of applications, for example the stochastic modeling and simulation of pollutant dispersion in shallow water using the attractive center, and the model of two diffusions in attraction, which can modeling the behavior of two insects, one attracts the other. The simulation of the processes of diffusion, through stochastic differential equations to allow simulated a random variable tc " first passage time" of the particle through a sphere of radius c, two methods are used in the estimation problem of the probability density function of the random variable tc: the histograms and the kernel methods. The R package Sim.DiffProc is introduced, providing a simulation and estimation for the stationary distribution of the stochastic process that describes the equilibrium of some dynamics. |
| Keywords: | Attractive model, diffusion process, simulations, stochastic differential equation, stochastic modeling, R language. |
| Date: | 2011–05–25 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00629841&r=cmp |
| By: | Imkeller, Peter; Reveillac, Anthony; Zhang, Jianing |
| Abstract: | In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical realizability. Then we study utility maximization problems on incomplete financial markets whose dynamics are governed by continuous semimartingales. Adapting standard methods that solve the utility maximization problem using BSDEs, we give solutions for the portfolio optimization problem which involve the delivery of a liability at maturity. We illustrate our study by numerical simulations for selected examples. As a byproduct we prove existence of a solution to a very particular quadratic growth BSDE with unbounded terminal condition. This complements results on this topic obtained in [6, 7, 8]. |
| Keywords: | numerical scheme; stochastic optimal control; utility optimization; quadratic growth; distortion transformation; logarithmic transformation; BSPDE; BSDE; |
| JEL: | C61 G11 D52 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:ner:dauphi:urn:hdl:123456789/7101&r=cmp |
| By: | Pree Thiengburanathum (College of Art Media and Technology - University of Chiang Mai); Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat); Yacine Ouzrout (LIESP - Laboratoire d'Informatique pour l'Entreprise et les Systèmes de Production - INSA - Institut National des Sciences Appliquées - Université Lumière - Lyon II : EA4125 - Université Claude Bernard - Lyon I - Institut National des Sciences Appliquées de Lyon); Nopasit Chakpitak (College of Art Media and Technology - University of Chiang Mai); Abdelaziz Bouras (LIESP - Laboratoire d'Informatique pour l'Entreprise et les Systèmes de Production - INSA - Institut National des Sciences Appliquées - Université Lumière - Lyon II : EA4125 - Université Claude Bernard - Lyon I - Institut National des Sciences Appliquées de Lyon) |
| Abstract: | In logistics, freight transportation is a major source of income in a country's economy. One of the most popular strategies is logistics sharing, which is a complex problem due to the involved stakeholders. Moreover, the current several transport operations are extremely expensive due to the empty return. For these reasons, a decision support system is needed to enhance or predict the system optimum and the best strategies of each stakeholder in the context of logistics sharing schemas. In this paper, we will discuss how a Knowledge Management System methodology can be developed for a real case study from the project between Northern Thailand and Southern China which will be used in our study. In parallel, we will show how we model the agent from the analysed data in order to use in our Multi-Agent Simulation in the next phase. The agents will be defined such as transport agents, intermediate agents and customers, among others. |
| Keywords: | Knowledge Management, Customer Relationship Management, Multi Agent Simulation and Modelling, Greater Mekong Subregion's North-South Economics Corridor |
| Date: | 2010–12–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00628948&r=cmp |
| By: | Toshihiro Ihori (The University of Tokyo); Ryuta Ray Kato (International University of Japan); Masumi Kawade (Nihon University); Shun-ichiro Bessho (Hitotsubashi University) |
| Abstract: | This paper evaluates the drastic reforms of Japanese public health insurance initiated in 2006. We employ a computable general equilibrium framework to numerically examine the reforms for an aging Japan in the dynamic context of overlapping generations. Our simulation produced the following results: First, an increase in the co-payment rate, a prominent feature of the 2006 reform, would promote economic growth and welfare by encouraging private saving. Second, the ex-post moral hazard behavior following the increase in co-payment rates, however, reduces economic growth. Third, Japanfs trend of increasing the future public health insurance benefits can mainly be explained by its aging population, and increasing the co-payment rate does little to reduce future payments of public health insurance benefits. Fourth, the effect on future economic burdens of reducing medical costs through efficiencies in public health insurance, emphasis on preventive medical care, or technological progress in the medical field is small. Finally, a policy of maintaining public health insurance at a fixed percentage of GDP will require reducing public health insurance benefits, perhaps up to 45% by 2050. Such a policy also reduces economic growth until approximately 2035. Our simulation indicates that the reform does not significantly reduce future public health insurance benefits, but it can enhance economic growth and welfare by encouraging private saving. |
| Keywords: | public health insurance; Japan; national medical expenditure; economic growth; aging population; dynamic CGE model |
| JEL: | C68 D58 E17 E62 H51 H55 H62 I18 O40 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:iuj:wpaper:ems_2011_17&r=cmp |
| By: | Mueller, Marc; Ferrari, Emanuele |
| Abstract: | Quantitative policy analysts are usually confronted with the problem to derive a base-line scenario that reflects the most likely state of an economy in a future year. The methods used in practice to derive such a base-line scenarios are heterogeneous and range from the usage of the last observable year to complete and consistent estimation procedures. In the case of general equilibrium (CGE) analyses, the Scenar2020 project (European Commission 2006a) is one example how projections of macro-economic indicators (exogenous drivers) are used to construct the base-line as a model scenario: Starting from a calibrated version, exogenous variables are modified until macro-economic projections are met. However, numerous projections refer to economic indicators which are endogenous variables within the CGE framework, such as gross domestic product (GDP), market prices, or produced quantities. To investigate methods that allow integrating projections for endogenous CGE variables is the main topic of this study. Our starting point is the work by Arndt et al (2002), where entropy-based (Golan et al 1996) techniques are employed for the estimation of behavioural parameters by fitting a CGE model to time series on endogenous variables. Following this concept, we investigate a method to fit a CGE´s parameters and endogenous variables to market- and macro-economic projections from major research institutes. |
| Keywords: | general equilibrium model, baseline construction, parameter estimation, macro-economic projections, Research Methods/ Statistical Methods, |
| Date: | 2011–09–02 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eaae11:114638&r=cmp |
| By: | Tómasson, Helgi (Faculty of Economics, University of Iceland, Reykjavik, Iceland) |
| Abstract: | Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. |
| Keywords: | CARMA, maximum-likelihood, spectrum, Kalman filter, computation |
| JEL: | C01 C10 C22 C53 C63 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:ihs:ihsesp:274&r=cmp |
| By: | Ryuta Ray Kato (International University of Japan) |
| Abstract: | This paper presents a computable general equilibrium (CGE) framework to numerically examine the effect of marginal tax reforms on the supply side of health related sectors. The generalized framework with the latest Japanese input-output table of year 2005 with 108 different production sectors provides the following results: An expansion of subsidies to the hospital sector creates the largest welfare gain when the government does not take into account its financing explicitly. The effect of such a policy on economic efficiency is more than ten times as much as the cost. However, such an expansion policy does necessarily not eventuate in the largest gain anymore if the government considers its balanced budget. The reduction of subsidies to the hospital sector reversely results in the largest welfare gain if the government uses its surplus induced by the reduction of subsidies, in order to decrease the tax imposed on the social welfare sector. Furthermore, if the hospital sector is compensated by lump-sum trasfers when its net subsidy rate is reduced, then a welfare gain could become larger. If the govenment uses its surplus not only for the reduction of the net tax rate of the social welfare sector but also for lump-sum transfers to the hospital sector in order to keep its income unchanged, then a larger welfare gain would be obtained, even if the government implements a balanced budget policy. This implies that a welfare enhancing tax reform within health related sectors is plausible as long as the net subsidy rate of the hospital sector can be reduced. Such a reform does not create any new government deficits either. |
| Keywords: | Computable General Equilibrium (CGE) Model, Marignal Tax Reform, Health Sectors, Taxation, Subsidy, Simulation |
| JEL: | C68 H51 H53 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:iuj:wpaper:ems_2011_19&r=cmp |
| By: | Mack, Gabriele; Mohring, Anke; Zimmermann, Albert; Gennaio, Maria-Pia; Mann, Stefan; Ferjani, Ali |
| Abstract: | The Swiss agent-based model (SWISSland) claims to depict as realistically as possible the 50 000 family farms comprising the whole of Swiss agriculture in all their heterogeneity as regards farm and cost structures as well as farm decision-making behaviour and interactions, with the aim of improving the simulation and forecasting of structural change in agriculture. With the linking of different methods and recorded data, there is a marked increase in the quality of the assessment of policy consequences. Simulations are shown for policy measures which affect only farm entry by cutting socially motivated direct payments for young operators. |
| Keywords: | agent-based model, sector model, farm entry, structural change, Farm Management, |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eaae11:114374&r=cmp |
| By: | Witte, Björn-Christopher |
| Abstract: | This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and the exclusion interval, affect individual investment behavior, an evolutionary model based on a genetic algorithm is developed. The simulation experiments indicate that the influence of competitve conditions on investment behavior and attitudes towards risk is significant. What is alarming is that intense competitive pressure generates riskseeking behavior and undermines the predominance of the most skilled. -- |
| Keywords: | risk preferences,competition,genetic programming,fund managers,portfolio theory |
| JEL: | C73 D81 G11 G24 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bamber:81&r=cmp |
| By: | Siddig, Khalid H.A.; Babiker, Babiker Idris |
| Abstract: | The traditional agriculture in Sudan occupies 60% of the total cultivated land and employs 65% of the agricultural population. Nevertheless, it is characterized by its low crop productivity, which is mainly driven by low technical efficiency, while drought and civil conflicts threaten most of its areas countrywide. Therefore, it has contributed only an average of 16% to the total agricultural GDP during the last decade. This paper addresses from an empirical point of view the sectoral and macroeconomic implications of agricultural efficiency improvement in Sudan and assesses the efficiency gains under the assumption of trade liberalization. Efficiency improvement experiments are implemented by augmenting the efficiency parameters of labor, capital, and land in a Computable General Equilibrium (CGE) framework. The CGE model of the study relies on the newly produced Sudanese Social Accounting Matrix (SAM), which provides data on 10 agricultural sectors, 10 industrial sectors and 13 service sectors. Results show that improving the agricultural efficiency would lead to improvements in GDP, welfare level, and trade balance. In addition it would also improve the output and competitiveness of the Sudanese agricultural exports and increase their strength to face the challenges of liberalization. |
| Keywords: | Agricultural efficiency, liberalization, Sudan SAM, CGE analysis, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Consumer/Household Economics, Crop Production/Industries, Food Security and Poverty, Labor and Human Capital, Land Economics/Use, Production Economics, Productivity Analysis, D2, D5, D6, E1, E2, F1, F2, H2, |
| Date: | 2011–08–10 |
| URL: | http://d.repec.org/n?u=RePEc:ags:ukdawp:112786&r=cmp |
| By: | Cecilia Llambi; Silvia Laens; Marcelo Perera; Mery Ferrando |
| Abstract: | In the context of a sharp rise in the incidence of poverty and increasing inequality since the end of the last decade, a major tax reform was put into place in mid-2007 with the explicit goals of promoting both greater efficiency and equity in the Uruguayan tax system. Overall, the reform substantially increased direct taxes on personal income by increasing marginal rates, lowered indirect taxes and direct taxes on firms, harmonized employer contributions to social security across sectors and eliminated some highly distortionary taxes. The joint effects of these changes on the macroeconomic equilibrium, labour markets, and poverty and inequality are assessed using a top-down static CGE, a microsimulation approach. It is shown that full implementation of the tax reform has substantial general equilibrium effects which generally strengthen the reduction of poverty incidences, poverty gaps and the severity of poverty exclusively due to the introduction of the personal income tax (without behavioural responses). Regarding poverty, the general equilibrium effects are significantly greater than the direct effects. Overall, we estimate a one-point reduction of the Gini index due to the reform. |
| Keywords: | tax Reform, CGE models, Microsimulations, Poverty, Inequality |
| JEL: | D58 H20 I38 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:pmmacr:2011-14&r=cmp |
| By: | Winter, Joachim K.; Schlafmann, Kathrin; Rodepeter, Ralf |
| Abstract: | We analyse life-cycle saving decisions when households use simple heuristics, or rules of thumb, rather than solve the underlying intertemporal optimization problem. We simulate life-cycle saving decisions using three simple rules and compute utility losses relative to the solution of the optimization problem. Our simulations suggest that utility losses induced by following simple decision rules are relatively low. Moreover, the two main saving motives re ected by the canonical life-cycle model { long-run consumption smoothing and short-run insurance against income shocks { can be addressed quite well by saving rules that do not require computationally demanding tasks such as backward induction. |
| Keywords: | saving; life-cycle models; bounded rationality; rules of thumb |
| JEL: | D91 E21 |
| Date: | 2011–10 |
| URL: | http://d.repec.org/n?u=RePEc:lmu:muenec:12334&r=cmp |