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on Computational Economics |
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Issue of 2012‒04‒03
eighteen papers chosen by |
| By: | Al-Batuly, Abdulmajeed; Al-Hawri, Mohamed; Cicowiez, Martin; Lofgren, Hans; Pournik, Mohammad |
| Abstract: | Once the current political crisis in Yemen has been resolved, it will be ever more urgent to speed up progress, including Millennium Development Goal (MDG) achievements. Drawing on simulations with the Maquette for MDG Simulations (MAMS), a model for strategy analysis, and a linked microsimulation model, this paper addresses Yemen's MDG challenges. A first simulation set considers scaled-up government actions with the aim of fully achieving the 2015 international MDG targets with required additional financing from foreign or domestic sources. The main finding is sobering but not surprising: given the required expansion of MDG -- related services, on-time achievement of key MDG targets does not appear to have been a realistic objective even if the government, hypothetically, would have expanded services with grant aid financing starting from 2005; macroeconomic stability, government efficiency, and the production of tradables would all have suffered due to the size of spending and aid increases as well as the resulting real exchange rate appreciation. The results suggest that countries, instead of relying on international targets, should set MDG targets grounded in their own reality. In light of these results, the authors designed a second simulation set that is focused on the remaining period up to 2015, and on what may be feasible once the current conflict has been settled. The simulations introduce moderate increases in foreign aid or government allocative efficiency. The government uses the resulting fiscal space for spending and service expansion in infrastructure and human development without losses in productive efficiency. The results suggest that, under these conditions, substantial improvements could still be achieved. |
| Keywords: | Economic Theory&Research,Population Policies,Debt Markets,Emerging Markets,Public Sector Economics |
| Date: | 2012–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:6013&r=cmp |
| By: | Ikumo Isono (Ikumo Isono Economic Research Institute for ASEAN and East Asia (ERIA)); Satoru Kumagai (Satoru Kumagai Institute of Developing Economies, Japan External Trade Organization (IDE-JETRO)); Fukunari Kimura (Fukunari Kimura Economic Research Institute for ASEAN and East Asia (ERIA)) |
| Abstract: | Spatial designing of economic development with enhancing connectivity has become essential to pursue both sustained growth and the narrowing of development gaps. The issue of agglomeration and dispersion in China and its neighboring countries is an example of requiring such an approach. This paper introduces the Geographical Simulation Model (GSM) based on the new economic geography setting and presents illustrative simulations on Asian Highway No. 3 and Kyaukpyu deep sea port development in order to analyze the economic implication of developing hard and soft infrastructure as well as lowering national border barriers for inclusive growth at the sub-national level. |
| Date: | 2012–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:era:wpaper:dp-2012-02&r=cmp |
| By: | Wenli Cheng; Simon D. Angus |
| Abstract: | This paper develops a simple dynamic model to study some of the implications of Cantillon’s insight that new money enters an economy at a specific point and that it takes time for the new money to permeate the economy. It applies a process analysis and uses numerical simulations to map out how the economy changes from one period to the next following a money injection. It finds that, within the region of stability, a money injection can generate oscillating changes in real variables for a considerably long period of time before converging back to the initial steady state. It also finds that a money injection benefits first recipients of the new money, but hurts later recipients and savers. Our simulation suggests that in our model savers can lose from a money injection even if they are first recipients of the new money. |
| JEL: | E51 E52 E37 |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2012-12&r=cmp |
| By: | Kimmo Ollikka; Piia Aatola; Markku Ollikainen |
| Abstract: | We study the informational efficiency of the European Emissions Trading Scheme, EU ETS market by simulating the trading in this emerging market. If the market is efficient, profitable trading should only exist locally in time. We adopt the Timmermann and Granger (2004) definition of efficiency and for the first time in the literature run a large set of econometric, technical analysis and combined models to forecast the emissions allowance price changes. These forecasts are then used as trading signals in the trading simulation. We find that the combined models outperform the other models in forecasting ability. Trading simulation based on models combining time series and technical analysis trading rules shows that there have been possibilities for profitable trading in the EU ETS market during the study period of 2008?2010. This suggests that the EU ETS market shows periods with no informational efficiency. |
| Keywords: | European Union emissions trading, informational efficiency, econometric analysis |
| JEL: | Q52 Q53 |
| Date: | 2012–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:fer:wpaper:28&r=cmp |
| By: | Gerke, Rafael; Jonsson, Magnus; Kliem, Martin; Kolasa, Marcin; Lafourcade, Pierre; Locarno, Alberto; Makarski, Krzysztof; McAdam, Peter |
| Abstract: | The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial frictions typically considered are the financial accelerator mechanism (convex \spread costs related to firms' leverage ratios) and collateral constraints (based on asset values). The harmonized shocks we consider illustrate the workings and mechanisms underlying the financial-macro linkages embodied in the models. We also look at historical shock decompositions of real GDP growth across the models since 2005 in order to shed light on the common driving factors underlying the recent financial crisis. In these exercises, the models share qualitatively similar and interpretable features. This gives us confidence that we have some broad understanding of the mechanisms involved. In addition, we also survey the current and developing trends in the literature on financial frictions. -- |
| Keywords: | Financial Frictions,Credit Constraints,Financial Accelerator,Model Comparison,Eurosystem central bank models |
| JEL: | E32 E44 E47 E52 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:022012&r=cmp |
| By: | Bharati, Luna; Lacombe, Guillaume; Gurung, Pabitra; Jayakody, Priyantha; Hoanh, Chu Thai; Smakhtin, Vladimir (International Water Management Institute (IWMI)) |
| Keywords: | Water resources / River basins / Climate change / Hydrology / Simulation models / Precipitation / Evapotranspiration / Statistical methods / Water balance / Water yield / Irrigation water / India / Upper Ganges River |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:iwt:rerpts:h044532&r=cmp |
| By: | Oberst, Christian A. |
| Abstract: | This paper proposes an iterative three-step spatial clustering procedure to define Functional Economic Market Areas (FEMAs) with an evolutionary computational approach using flow data on economic linkages. FEMAs are needed as basic observation units in disaggregated economic data analysis, since those have to be taken at the spatial level at which the markets operate. Only then can analyses provide accurate and consistent results and allow useful interpretations of variables and the measurement of spillover effects between markets. Therefore FEMAs should, besides their use as analysis regions, serve as basic areas for regional policy or coordination of these. Although functional markets are particularly used in regional science, the proposed concept with the spatial clustering procedure is transferable to other economic fields like business management and marketing research, network or competition analyses. The presented methodology approach is a generalized and ubiquitous, disjunctive and contiguous delineation extended application based on the suggestion in RUSCHE (2009) of a joint application of the AMOEBA clustering procedure by ALDSTADT/GETIS (2006) and an interaction indicator on flow data. The methodology will be illustrated with real-world applications on German commuting data. Also presented is a possible way of computation and illustration of fuzzy market borders (differentiated border densities) as an extension to the procedure. -- |
| Keywords: | AMOEBA,functional regional markets,fuzzy set theory,market delineation,regionalisation,labor markets regions,travel-to-work areas |
| JEL: | R12 R23 J61 M3 Z0 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cawmdp:55&r=cmp |
| By: | Tommaso Ciarli |
| Abstract: | We propose an agent-based computational model defining the following dimensions of structural change - organisation of production, technology of production, and product on the supply side, and income distribution and consumption patterns on the demand side - at the microeconomic level. We define ten different parameters to account for these five dimensions of structural change. Building on existing results we use a full factorial experimental design (DOE) to analyse the size and significance of the effect these parameters on output growth. We identify the aspects of structural change that have the strongest impact. We study the direct and indirect effects of the factors of structural change, and focus on the role of the interactions among the different factors and different aspects of structural change. We find that some aspects of structural change - income distribution, changes to production technology and the emergence of new sectors, - play a major role on output growth, while others -consumption shares, preferences, and the quality of goods, - play a rather minor role. Second, these major factors can radically modify the growth of an economy even when all other aspects experience no structural change. Third, different aspects of structural change strongly interact: the effect of a factor that influences a particular aspect of structural change varies radically for different degrees of structural change in other aspects. These results on the different aspects of structural change provide a number of insights on why regions starting from a similar level of output and with initial small differences grow so differently through time. |
| Keywords: | Structural change, long run growth, ABM, DOE |
| JEL: | O41 L16 C63 C99 |
| Date: | 2012–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:esi:evopap:2012-06&r=cmp |
| By: | R\'emi Lemoy; Eric Bertin |
| Abstract: | We consider a simple stochastic model of a urban housing market, in which the interaction of tenants and landlords induces rent (or price) fluctuations. We simulate the model numerically and measure the equilibrium price distribution, which is found to be well-described by a lognormal law. We also study the influence of the density of agents (or equivalently, the vacancy rate) on the price distribution. A simplified version of the model, amenable to analytical treatment, is proposed and allows us to recover a normal distribution for the logarithm of the price. The predicted equilibrium value agrees quantitatively with numerical simulations, while a qualitative agreement is obtained for the standard deviation. |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1203.5298&r=cmp |
| By: | Rod Tyers |
| Abstract: | Export led growth has been very effective in modernising China’s economy and establishing a large high-saving middle class. Notwithstanding political opposition from trading partners, this growth strategy has also offered the rest of the world an improved terms of trade and cheaper finance. Yet it is believed by China’s government that this convenient strategy has run its course and the transition has begun to a model that “looks inward” for growth, to be driven by expanding consumption and home investment. This paper uses a numerical model of the Chinese economy with oligopoly behaviour to examine the available “inward” sources of transformative growth along with the policies needed to exploit them. Success will require the redistribution of the considerable rents now accruing to connections of key state owned enterprises, suggesting the potential for political resistance and the yet-avoidable possibility that China could fall into a “middle income trap”. |
| JEL: | D43 D58 E62 L13 L43 |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:acb:camaaa:2012-15&r=cmp |
| By: | Gallagher, Paul W.; Richey, Jeremiah |
| Abstract: | This paper investigates the effect of a biomass crop introduction in a local market where field crops, cattle forage and biomass crops compete for the agricultural resources and determine land use. A simulation study for a State in the US (Minnesota) with extensive and diverse agricultural resources that could also support a biomass industry is reported. Local market impact on prices and land use is summarized. A local biofuel industry with 1.0 billion gallon capacity can transform declining local land values to stable or moderately increasing land values, partly because secular declines in cattle forage can be replaced with biofuel demands. The effects of greenhouse gas emissions and sinks are also estimated. The local agriculture sectors’ net greenhouse gas changes are converted from a net emission to a net sink position with a biofuels industry-we calculate an annual net improvement of 55 bil. Lbs CO2 –equivalent, due, in part, declining cattle emissions and favorable land use effects from expanding hay production. |
| Keywords: | land use; Land rent; livestock emissions; switchgrass; greenhouse gas (GHG) |
| Date: | 2012–03–28 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:35011&r=cmp |
| By: | Greg Thompson; Tim Murray; Patrick Jomini |
| Abstract: | International trade produces income gains across the world by facilitating an efficient allocation of production among trading countries. However, increased trade exposure also creates some challenges, and there are adjustment costs associated with changing trade patterns. Effective complementary policies, by promoting flexibility and adaptation within economies, can reduce adjustment costs associated with increased trade, and therefore ensure the benefits are maximised. This paper highlights these issues with reference to recent experience in Australia. Computable General Equilibrium modelling shows how the recent improvement in Australia‘s terms of trade is likely to have increased incomes and that the magnitude of these gains is directly linked to the degree of flexibility of the economy. |
| Keywords: | growth, trade, employment, wages |
| JEL: | F16 |
| Date: | 2012–03–27 |
| URL: | http://d.repec.org/n?u=RePEc:oec:traaab:137-en&r=cmp |
| By: | Shigeto Kusuoka (Graduate School of Mathematical Sciences, The University of Tokyo); Mariko Ninomiya (Graduate School of Economics, University of Tokyo); Syoiti Ninomiya (Center for Research in Advanced Financial Technology, Tokyo Institute of Technology) |
| Abstract: | The authors focuses on numerical experiments of application of the Kusuoka approximation to pricing barrier options which is one of the problems with a boundary condition. The killing functions play a role of giving probability of hitting the boundary. The numerical experiments show that second-order approximation is achieved as done in pricing European style options ([3][4]). |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf277&r=cmp |
| By: | Mishra, SK |
| Abstract: | Pena’s method of construction of a synthetic indicator is very sensitive to the order in which the constituent variables (whose linear aggregation yields the synthetic indicator) are arranged. Due to this, Pena’s method can at present give only an arbitrary synthetic indicator whose representativeness is indeterminate and uncertain, especially when the number of constituent variables is not very small. This paper uses discrete global optimization method based on the Particle Swarms to obtain a heuristically optimal order in which the constituent variables can be arranged so as to yield Pena’s synthetic indicator that maximizes the minimal absolute (or squared) correlation with its constituent variables. |
| Keywords: | Synthetic indicators; Pena’s distance; Particle swarm; Discrete Global Optimization; Composite indices; Maxi-min absolute correlation |
| JEL: | C43 C44 C63 C61 |
| Date: | 2012–03–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:37625&r=cmp |
| By: | L. De Leo; V. Vargas; S. Ciliberti; J. -P. Bouchaud |
| Abstract: | We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, probably more importantly, to congenial numerical treatments. We show that the skew and the curvature of the smile can be computed as exotic options, for which the Hedged Monte Carlo method is particularly well suited. When applied to options on the S&P index, we find that the skew and the curvature of the smile are very poorly reproduced by the standard Edgeworth (cumulant) expansion. Most notably, the relation between the skew and the skewness is inverted at small and large vols, a feature that none of the model studied so far is able to reproduce. Furthermore, the around-the-money curvature of the smile is found to be very small, in stark contrast with the highly kurtic nature of the returns. |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1203.5703&r=cmp |
| By: | Shih Hsu Wang Author_Email: wss.cv91g@nctu.edu.tw (Faculty of Civil Engineering, R.O.C, Military Academy); Ren-Jye Dzeng (Faculty of Civil Engineering, National Chiao-Tung University); Cheng-Kai Huang (Graduate of Civil Engineering, National Chiao-Tung University) |
| Keywords: | National Competitiveness, Infrastructure, Leading and Behind Fuzzy Score Graphics-based Model,Clustering Analysis,Fuzzy Evaluations. |
| JEL: | M0 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:cms:1icm11:2011-058-176&r=cmp |
| By: | Mohammad Majid Fouladgar Author_Email: (Fateh Research Group, Tehran, Iran); Abdolreza Yadani-Chamzini (Fateh Research Group, Tehran, Iran); Mohammad Hossein Basiri (Tarbiat Modares University) |
| Keywords: | Decision Making, Fuzzy Set, Risk Management, Tunnelling |
| JEL: | M0 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:cms:1icm11:2011-087-331&r=cmp |
| By: | ALI JOLAEE Author_Email: (Universiti Teknologi Malaysia); MOHAMMADREZA DAROONPARVAR (Universiti Teknologi Malaysia); MEYSAM KESHAVARZ (Universiti Teknologi Malaysia); DAVOOD DAROONPARVAR (Islamic Azad University, Firoozkoh, Tehran, Iran) |
| Keywords: | Fuzzy Hierarchical Decision Making, Sustainable Development, Iron and Steel Industry |
| JEL: | M0 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:cms:1icm11:2011-111-206&r=cmp |