|
on Computational Economics |
|
Issue of 2012‒03‒14
eleven papers chosen by |
| By: | Mariko Ninomiya (Faculty of Economics, The University of Tokyo) |
| Abstract: | In application of mathematical finance to practical problems, weak approximation of stochastic differential equations (SDEs) is one of the most important themes.In probabilistic approach to this problem, the Euler-Maruyama scheme which is a first-order weak approximation scheme has been used. Kusuoka recently proposed a weak approximation schceme for diffusion processes. Lyons andVictoir extensively developed the idea of this scheme to establish the cubature formula on the Weiner space. These results and the spread of quasi Monte Carlo method showed the efficiency of higher-order weak approximation which is often called Kusuoka approximation or KLV scheme. Ninomiya-Victoir and Ninomiya-Ninomiya successfully constructed algorithms of this scheme. These algorithms have been improved in a number of research. (Fujiwara, Ooshima-Teichman-Veluscek, etc.) The author constructed a universal numerical library written inCfor calculation of weak approximation of any fiven SDEs following the Kusuoka scheme. Two types of algorithms mentioned above (NV and NN) of the Kusuoka scheme are included in this library. The Euler-Maruyama scheme is also available in this library. The source code for this library can be obtained by downloading it from https://sites.google.com/site/marikonino miya/ |
| Date: | 2011–12 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf274&r=cmp |
| By: | Clemens Breisinger,Olivier Ecker,Rainer Thiele,Manfred Wiebelt |
| Abstract: | Combining a Dynamic Computable General Equilibrium (DCGE) model of the Yemeni economy with a microsimulation model that captures the link between changes in household incomes and changes in nutrition status, this paper provides a quantitative assessment of the agricultural, economy-wide, and nutritional impacts of the 2008 Hadramout flash flood in Yemen. The model simulations point to strong and persistent negative effects on agricultural value added, farm household incomes and nutrition among farmers in the region most severely affected by the flood. Regional spillover effects lead to temporary increases in hunger and significant cumulative income losses even in other regions where the flood has no direct impact |
| Keywords: | floods, agriculture, nutrition, CGE modeling, Yemen |
| JEL: | I3 Q1 O5 C3 |
| Date: | 2012–02 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1758&r=cmp |
| By: | Angun, M.E. (Tilburg University); Kleijnen, Jack P.C. (Tilburg University) |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:ner:tilbur:urn:nbn:nl:ui:12-4274963&r=cmp |
| By: | Dolls, M.; Fuest, C.; Andreas Peichl (Institute for the Study of Labor (IZA)) |
| Abstract: | This paper investigates to what extent the tax and transfer systems in Europe protect households at different income levels against losses in current income caused by economic downturns like the present financial crisis. We use a multi country micro simulation model to analyse how shocks on market income and employment are mitigated by taxes and transfers. We find that the aggregate redistributive effect of the tax and transfer systems increases in response to the shocks. But the extent to which households are protected differs across income levels and countries. In particular, there is little stabilization of disposable income for low income groups in Eastern and Southern European countries. |
| Date: | 2011–12 |
| URL: | http://d.repec.org/n?u=RePEc:aia:ginidp:dp23&r=cmp |
| By: | Giampaolo Arachi (Deparment of Economics and Mathematical Statistics, University of Salento); Valeria Bucci (Deparment of Economics and Mathematical Statistics, University of Salento); Ernesto Longobardi (Department of Economics and Quantitative Methods, University of Bari); Paolo Panteghini (Department of Economics, University of Brescia); Maria Laura Parisi (Department of Economics, University of Brescia); Simone Pellegrino (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy); Alberto Zanardi (Department of Economics, University of Bologna) |
| Abstract: | In this paper we aim to discuss the strengths and weaknesses of the fiscal consolidation package adopted recently by the Italian Government in order to achieve a balanced budget by 2013. Revenues are forecasted to increase by more than 3.3 GDP percentage points; these stem mostly from indirect and property taxation. The analysis of the Italian case is interesting since it seems to be consistent with a recent strand of the literature which, in order to foster both short and long-term economic growth, advocated a shift of the tax burden from capital and labour income to consumption and property. Through a set of micro simulation models, this paper evaluates the effects of the Italian fiscal package on households and firms. We show that, in respect of households’ income, indirect and property tax reforms are highly regressive, whilst the reform makes limited resources available for growth enhancing policies (reduction in the effective corporate tax burden). Then, we propose an alternative fiscal package. We show that a less regressive reform on households can be obtained by shifting taxation from personal and corporate income tax to indirect taxation. Our proposal allows the tax burden on firms to be reduced substantially and, in the meantime, offers lower personal income tax rates on households in the lowest deciles of income distribution since they are penalized most by the increase in indirect taxation. |
| Keywords: | Tax reforms, Fiscal consolidation, Micro simulation models, Italy |
| JEL: | H2 D22 D31 |
| Date: | 2012–02 |
| URL: | http://d.repec.org/n?u=RePEc:tur:wpapnw:2&r=cmp |
| By: | Adamos Adamou; Sofronis Clerides; Theodoros Zachariadis |
| Abstract: | Vehicle taxation based on a car’s CO2 emission levels is increasingly adopted in countries around the world. This paper describes a model of oligopolistic competition in markets with differentiated products, simulating automobile demand and supply under alternative tax regimes. The objective is to perform simulations in order to evaluate policies that could shift consumer purchases towards low-CO2 cars and thus lead to the reduction of fuel use and CO2 emissions. Focusing on an analysis of the car market of Greece, we assess the environmental and economic implications of alternative carbon-based tax schemes. Our findings, which are relevant for other European countries as well, illustrate that careful policy design, supported by an appropriate model, can bring about substantial environmental benefits without losing control of economic parameters such as public finances or firm profits. In some cases vehicle taxation can have adverse (though unintended) environmental consequences. |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:ucy:cypeua:04-2012&r=cmp |
| By: | Grogro, Ole |
| Abstract: | This paper introduces the computable partial equilibrium energy model 'Global Resource Extraction and Energy Transformation' (GREET), its structure, assumptions and the outcomes of two exemplary scenarios. GREET is characterized by a comprehensive modelling of constraints on the diffusion of renewable energy, where physical constraints on the regional deployment of renewable energy technologies are complemented by the need to provide storage capacities for renewable production of electricity. The consumption of conventional primary energy carriers, on the other hand, is constrained by regional resource endowments as well as the need for capacity investments in primary energy carrier extraction-, trade- and ransformation processes. In comparison to most contrastable global energy models, there is an explicit modelling of interregional trade flows in primary energy carriers, for which originating and destinating regions of the energy trades can clearly be specified. Thus, GREET, covering global primary energy trades for eleven world model regions, is very applicable for looking into future developments of energy trade flows. At the same time GREET doesn't miss to cover the point that predominantly renewable based energy systems of the future are confined by constraints on renewable energy production technologies, such as the need to provide electricity storage capacities. -- |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdok:1202&r=cmp |
| By: | Chai Cheng, T. |
| Abstract: | This paper investigates the effects of removing subsidies for private health insurance on public sector expenditure for hospital care. An econometric framework using simultaneous equation models is developed to analyse the interrelated decisions on the intensity and type of health care use and insurance. The results indicate that while privately insured individuals are more likely to seek hospital care as a private patient, they do not differ in their intensity of hospital care use compared with those without private insurance. The simulation results suggest that eliminating subsides could potentially yield substantial public sector savings. |
| Keywords: | Demand for Hospital Care; Private Insurance; Bivariate count data models; Simultaneous equation models; Policy simulation; |
| JEL: | I11 H42 C31 C15 |
| Date: | 2011–10 |
| URL: | http://d.repec.org/n?u=RePEc:yor:hectdg:11/32&r=cmp |
| By: | Pablo A Guerron-Quintana; James M Nason |
| Abstract: | We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK)DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the ability of this class of DSGE model to transmit real, nominal, and fiscal and monetary policy shocks into endogenous fluctuations at business cycle frequencies. Intuition about these propagation mechanisms is developed by reviewing the structure of a canonical NKDSGE model. Estimation and evaluation of the NKDSGE model rests on being able to detrend its optimality and equilibrium conditions, to construct a linear approximation of the model, to solve for its linear approximate decision rules, and to map from this solution into a state space model to generate Kalman filter projections. The likelihood of the linear approximate NKDSGE model is based on these projections. The projections and likelihood are useful inputs into the Metropolis-Hastings Markov chain Monte Carlo simulator that we employ to produce Bayesian estimates of the NKDSGE model. We discuss an algorithm that implements this simulator. This algorithm involves choosing priors of the NKDSGE model parameters and fixing initial conditions to start the simulator. The output of the simulator is posterior estimates of two NKDSGE models, which are summarized and compared to results in the existing literature. Given the posterior distributions, the NKDSGE models are evaluated with tools that determine which is most favored by the data. We also give a short history of DSGE model estimation as well as pointing to issues that are at the frontier of this research. |
| JEL: | C32 E10 E32 |
| Date: | 2012–02 |
| URL: | http://d.repec.org/n?u=RePEc:acb:camaaa:2012-10&r=cmp |
| By: | Carfì, David; Perrone, Emanuele |
| Abstract: | In this paper we apply the Complete Analysis of Differentiable Games (introduced by D. Carfì in [3], [6], [8], [9]; already employed by himself and others in [4], [5], [7]) and some new algorithms using the software wxMaxima 11.04.0, in order to reach a total scenario knowledge (that is the total knowledge of the payoff space of the interaction) of the classic Cournot Duopoly (1838), viewed as a complex interaction between two competitive subjects, in a particularly interesting asymmetric case. The software wxMaxima is an interface for the computer algebra system Maxima. Maxima is a system for the manipulation of symbolic and numerical expressions, including differentiation, sets, vectors and matrices. |
| Keywords: | Asymmetric Cournot Duopoly; Normal-form Games; Software algorithms in Microeconomic Policy; Complete Analysis of a normal-form game; Pareto optima; valuation of Nash equilibriums; Bargaining solutions |
| JEL: | D2 C02 C7 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:37093&r=cmp |
| By: | Raffaella Calabrese (Dynamics Lab, Geary Institute, University College Dublin) |
| Abstract: | In evaluating credit scoring predictive power it is common to use the Re-ceiver Operating Characteristics (ROC) curve, the Area Under the Curve(AUC) and the minimum probability-weighted loss. The main weakness of the rst two assessments is not to take the costs of misclassication errors into account and the last one depends on the number of defaults in the credit portfolio. The main purposes of this paper are to provide a curve, called curve of Misclassication Error Loss (MEL), and a classier performance measure that overcome the above-mentioned drawbacks. We prove that the ROC dominance is equivalent to the MEL dominance. Furthermore, we derive the probability distribution of the proposed predictive power measure and we analyse its performance by Monte Carlo simulations. Finally, we apply the suggested methodologies to empirical data on Italian Small and Medium Enterprisers. |
| Keywords: | Performance Assessment, Credit Scoring Modules, Monte Carlo simulations, Italian Enterprisers |
| Date: | 2012–02–20 |
| URL: | http://d.repec.org/n?u=RePEc:ucd:wpaper:201204&r=cmp |