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on Computational Economics |
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Issue of 2012‒07‒29
eighteen papers chosen by |
| By: | Adrián Fernández-Pérez (Universidad de Las Palmas de Gran Canaria); Fernando Fernández-Rodríguez (Universidad de Las Palmas de Gran Canaria); Simón Sosvilla-Rivero (Universidad Complutense de Madrid) |
| Abstract: | We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the most traded currencies, we find average profits ranking from 4.5083% to 0.3162% for changing 1 USD for EUR with respect to the direct exchange rate, for different transaction costs, during the period October 2000- April 2012. Our results also suggest that the arbitrage profits increased just after the subprime crisis in summer of 2007 and that they are higher when the market is less liquid. |
| Keywords: | Arbitrage, Foreign Exchange Market, Genetic Algorithm |
| JEL: | C45 G14 G15 |
| Date: | 2012–07 |
| URL: | http://d.repec.org/n?u=RePEc:aee:wpaper:1204&r=cmp |
| By: | Sinha, Pankaj; Goyal, Lavleen |
| Abstract: | The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian stock market when the short selling is not allowed. The effectiveness of this algorithm has been demonstrated with an example. |
| Keywords: | Portfolio Construction; Treynor's ratio; algorithm for portfolio selection; Capital Asset Pricing Model |
| JEL: | G11 G12 C00 C63 G10 |
| Date: | 2012–07–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:40134&r=cmp |
| By: | Hiroshi Sakamoto |
| Abstract: | This study develops a policy model under the hierarchical administration system of the regional economy in Japan. In case of Japan, a hierarchy of national, prefectural, and municipal (city) administration exists, and a different regional policy in these each hierarchies can be set up. Generally, the policy and its evaluation might be different whether should give priority to national interests or to each region’s interests. To show such a situation, quantitatively analysis by using the computable general equilibrium model (CGE model) is examined. Concretely, Kitakyushu City and Fukuoka City are taken up as an administrative region at the city level. Together with these two cities and surrounding areas, it becomes Fukuoka Prefecture. On the other hand, the case of including Yamaguchi Prefecture, the adjacent prefecture, in these regions exists. In this case, it can be called Northern Kyushu Area by combining Fukuoka Prefecture and Yamaguchi Prefecture, and such a large area also becomes important in the regional policy as higher hierarchy. Five regions including the rest of Japan are focused on this study. Moreover, due to availableness of the input-output tables of these regions, respectively, the data base to develop the CGE model is estimated after tabulating the interregional input-output table. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p383&r=cmp |
| By: | Theodore Tsekeris; Klimis Vogiatzoglou; Stelios Bekiros |
| Abstract: | The paper describes a spatial economic agent-based model (ABM), consistent with the principles of new economic geography (NEG), which allows the discrete-time evolutionary simulation of complex interactions of household and firm location choices. In contrast with the current ABM approaches, it considers a multi-regional (multi-urban) setting to enable a more realistic representation of decisions related to commuting, migration and household and employment location. The model allows simulating spatially differentiated, multi-commodity markets for land and labor in a system of cities and the behavior of profit-maximizing firms with multi-regional asset investment decisions, incorporating endogenous intra- and inter-urban transport costs with congestion effects. It also accounts for the impact of industrial and urban agglomeration forces on location choices and the formation of urban development patterns. Other features include the representation of the actions of central and local government agents to address issues of territorial development, efficiency and equity. The simulation set-up and evolutionary analysis of the spatial ABM are presented and several implications are discussed with regard to the possible outcomes of a set of policy interventions. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p479&r=cmp |
| By: | Yuzuru Miyata; Shuai Han |
| Abstract: | Reducing CO2 emissions is the most significant target in the global environmental issue. One of strongest measures for CO2 reduction may be introduction of renewable energies including wind and solar powers. Moreover smart grid is attracting attention as a new power supply system for CO2 reduction as well. Integration of renewable energies, smart grid and eco-friendly vehicles could significantly reduce CO2 emissions leading to the Low-Carbon Society. However economic assessment has not been implemented for such an attractive social form without a few exceptional studies. Thus this article aims to examine the economic performance of Low-Carbon Society taking Toyohashi city in Japan as a study region. The methodology applied in this article is a static CGE model. In this model, renewable energies, smart grid and eco-friendly vehicles are incorporated in addition to the standard structure of a CGE model. Toyohashi city will be evaluated from the viewpoint of reductions in CO2 emissions and fossil fuel consumption, and welfare level by employing the equivalent variation. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1639&r=cmp |
| By: | Benjamin Kickhöfer; Dominik Grether; Kai Nagel |
| Abstract: | Public acceptance has often been named as a key factor for the successful realization of transport projects and policies. One reason, why even economically efficient projects might not be accepted by the major part of the population, could be the unequal distribution of benefits. For instance, individuals with higher Values of Time are expected to benefit more from user-financed improvements in the quality of service (e.g. speed) of any transportation mode. Beyond that, the implementation of road pricing schemes is actually discussed to have a regressive effect on the welfare distribution under certain conditions. In order to address these issues, microscopic multi-agent simulation presented in this paper can be used. Policy makers are directly able to compare the impacts of different policy schemes on the welfare distribution and can thus identify alternatives with higher public acceptance. Generally, by using the multi-agent approach, any segregation of individuals among any socio-demographic attribute is possible what allows a more detailed view on the effects of a policy measure. Furthermore, in contrast to applied economic policy analysis, this framework allows choice modeling and economic evaluation to be realised in a consistent way. This paper shows that (i) the inclusion of individual income in the users' preferences leads to a better understanding of problems that are linked to acceptability, (ii) benefits of transport projects are likely to rise disproportionally with increasing income - both, in terms of utility change and in terms of money -, and (iii) the simulation is already feasible for a real-world large-scale scenario with almost two million individuals. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1022&r=cmp |
| By: | Jung Hun Yang; Dick Ettema; Koen Frenken; Frank van Oort; Evert-Jan Visser |
| Abstract: | The present paper presents a geosimulation agent-based model of firm development that is based on firms’ behavioural rules. The model describes growth, closure, spin-offs and relocation of firms in 21 industrial sectors in the Netherlands, based on a dataset of all individual firms in the Netherlands. An important aspect of the model is the potential interaction that exists between firms, which is represented by various agglomeration indicators. The indicators represent the effect of the distance to other firms, which may have implications fro market potential, agglomeration advantages and congestion/competition. By including positive and negative attraction effects a proper description of concentration and deconcentration tendencies is achieved. The interactions may take place on difference scales, depending on the type of effect (agglomeration advantage, competition for space) and economic sector. The interactions affect growth, closure and spin-off of the individual firms in the model. The model is applied to simulate the distribution of economic development in the Netherlands during a ten year period (1998-2007). The simulation results are then compared to existing 2007 data. This comparison confirms the effectiveness of the model. Simulation carried out with and without various positive and negative agglomeration factors indicate that including agglomeration factors into the model seriously adds to the quality of predictions. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1016&r=cmp |
| By: | João Medeiros |
| Abstract: | This study uses vector auto-regression (VAR) models and a panel fiscal reaction function (FRF) to simulate debt ratios for fifteen EU Member States according to four regimes which are the product of the type of errors (normal or bootstrapped) with the assumption on the structural primary balance (unchanged or determined by a panel FRF). This methodology should be used to make probabilistic assessments on the debt ratio rather than for providing point estimates. Results suggest that debt ratio paths are not normally distributed being positively skewed, and; primary balances show "fiscal fatigue" and partial mean reversion to historical trends. Debt sustainability scenarios should also be run using a FRF or some equivalent "mean reversion" hypothesis. |
| JEL: | C53 E37 H68 |
| Date: | 2012–07 |
| URL: | http://d.repec.org/n?u=RePEc:euf:ecopap:0459&r=cmp |
| By: | Eduardo Haddad; Ana Carolina Giuberti |
| Abstract: | Brazilian government has recently confirmed the discovery of a huge oil and natural gas field in the pre-salt layer off the country's southeastern coast. It has been said that the oil fields can boost Brazil's oil production, and turn the country into one of the largest oil producers in the world. The fields are spatially concentrated in the coast area of a few Brazilian states, that may be directly benefited by oil production. This paper uses an interregional CGE model to assess the impacts of pre-salt on the economy of the State of Espirito Santo, a region already characterized by an economic base heavily reliant on natural resources. We focus our analysis on the structural economic impacts, both in the short run, medium run and long run. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p156&r=cmp |
| By: | Xuebo Zhan; Yishiro Higano; Huanzheng Du |
| Abstract: | Wuhan City is located in the central part of China, which is an import foothold of the transportation, manufacturing industry, commerce and education in China. Chinese government appointed Wuhan City as a national pilot reform area of resource-saving and environmentally friendly society at the end of 2007. There is a great deal of fresh water resources in Wuhan City, and Wuhan City is known as 'the city with 100 lakes'. However, about 60% of the lake water resources have became seriously polluted in Wuhan City. The most important reason for water degradation of Wuhan City is the imbalance between rapid economic development and the environment load capacity. In this study, we raised synthetic policies to reduce amount of lake water pollutants and realize the harmonious development between regional economy and water environment. In this paper, we focused on three contamination materials (COD, T-N and T-P) and constructed a model from environmental load, socio-economy and water quality improvement policies. We performed optimization simulation based on linear programming to maximize gross regional production (GRP) and reduce environmental load, and finally we suggested proper policies to improve water quality in this area. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1636&r=cmp |
| By: | Hong Li |
| Abstract: | Pollutants emitted by pollution generation sources do not only deteriorate the water quality, but the emissions of greenhouse gas also contribute to the green house effect. Material balance of biomass wastes shows there is a trade-off between water pollution and global warming. Therefore, in dealing with the water pollution problems, we also need to adopt methods to decrease greenhouse gas. In this study, we constructed a dynamic linear mathematical model to describe the interrelationships between environmental and socioeconomic indicators and variables. A computer simulation approach was used to make comprehensive environmental policies and to evaluate the most cost effective measures to effectively improve the water quality with the introduction of a biomass recycle plant to control air and water pollutant emissions, as well as generate electric energy. The purpose of this study was to determine the optimum policies to protect the water quality, reduce of green house gas emissions and the develop the local economy as a win-win situation. The simulations were run with the computer-based programming software called LINGO. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1633&r=cmp |
| By: | Gervasio Santos; Eduardo Haddad; Geoffrey Hewings |
| Abstract: | The objective of this paper is to evaluate the long-run regional impacts of tariff policy of the Brazilian electric power sector. The structural reforms carried on this sector determined the emergence of two different spatial distribution trends of the electric power tariffs among the Brazilian states: one of convergence and another of spatial divergence. The regional dispersion of tariffs is being influenced by the spatial features of the Brazilian economy, which is marked by the high degree of spatial concentration and the hierarchical distribution of large markets on the space. In spite of this, the electric power price differentials in Brazil tend to be determined by the market size differentials, which provide different conditions for gains from economies of scale by the electric power distribution companies. Based on these elements and in the fact that electric power is an important input for the production process, an Interregional Computable General Equilibrium model for energy policy analysis was built. The simulations showed that the input-output linkages, the spatial heterogeneity of the electric power intensity and the regional energy substitution differentials are the main determinants of spatial impacts of electric power price changes in Brazil. On the other hand, the recent trend of spatial divergence of the electric power prices may be contributing to reduce the national real GDP and to increase the regional inequalities in Brazil. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p157&r=cmp |
| By: | James Giesecke; Mark Horridge; Katarzyna Zawalinska |
| Abstract: | The Common Agricultural Policy (CAP) is one of the most complex and also the most costly of all EU policies. It comprises over 40 financing streams, including Pillar I and Pillar II measures which are highly regulated. In the case of Poland, these are directed to all 16 NUTS2 regions. We are modelling here the regional and thus national consequences of the CAP’s most costly Pillar II measure in Poland, so called Less Favoured Areas support (LFA). It is complex, when we recognise the multipurpose of this measure and significant amount of funds directed at a large number of regions. To handle the regional complexity of this problem, we require a multi-regional model. Such a model must be detailed in its disaggregation of industries, commodities and households if it is to be capable of reflecting the complexity of this measure. As such, we use a large-scale multi-regional CGE model. The model is tailored to reflect the complexity of the rural development policy (Pillar II), of which LFA is the largest part in Poland. Of the 82 region-specific sectors in the model, over 20 is related to agricultural production. The model distinguishes rural and urban households in each region and is based on the most recent IO tables of 2005. We propose a framework for mapping the individual financing stream of the LFA to the specific structural variables relating to specific type of land (LFA and nonLFA) in each region. As to our best knowledge such an approach was never conducted before with respect not only of LFA but also Pillar II measures in general. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p872&r=cmp |
| By: | Karst Geurs; Henk Meurs |
| Abstract: | The Dutch government has decided to gradually introduce a complex national road pricing system in the years 2012 to 2018. Existing car purchase taxes and the annual road taxes are to be replaced by a kilometre-based charging system. Several appraisal studies have been conducted to examine the impacts of different pricing variants, using the well-known Dutch national model system (NMS) and the national car market model DYNAMO. The car market model has recently been developed and simulates yearly car ownership and car purchase behaviour of households at a detailed level (120 car types * 70 household types), and endogenously models second hand car prices as a pricing mechanism to create an equilibrium in supply and demand. The Dutch road pricing scheme is expected to have major impacts: car ownership is projected to increase by 5-6% in the long run, car use is to reduced by by 10-15% and congestion on the main motorway network in 2020 by about 50%, compared to a reference scenario. Cost-benefit analysis studies, using output from the transport models, show significant positive welfare effects. This paper will review existing appraisal studies on the impacts of the kilometre charge, and describe the Dutch car market model DYNAMO and projections of the impacts of different CO2 pricing schemes. Results from DYNAMO estimations show that abolishing existing car purchase and road taxes by a CO2 differentiated kilometre charge has unintended consequences in the form of rising car ownership and increasing shares of diesel cars and relatively large and heavy vehicle types. Explanations for these unintended effects are that households react more to present one-off fixed costs than to recurrent variable costs, and total car costs are reduced for households with relatively low car mileages. For households with low car usage, the reduction of fixed car taxes is not fully compensated by increases in variable costs, and savings can be used to buy a more expensive and larger car. However, overall environmental impacts of CO2 differentiated kilometre charges are quite positive resulting from the reduction in car travel. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1438&r=cmp |
| By: | Ying Jin |
| Abstract: | Title: Impacts of road pricing upon travel demand in an integral city region: a case study of London and its surrounding regions Updated abstract: This paper aims to study ways in which the impacts of road pricing upon travel demand can be examined in the wider city region, with a view to inform the design and possible future adaptations of road charges. Its theoretical framework incorporates the medium to long term impact of transport costs (including road charging) upon business location and commuting patterns. A case study is carried out on London and its surrounding regions, through a review of existing evidence and a set of simulation tests using a land use/transport model that has been calibrated to represent realistic travel demand elasticities. The new feature of these simulation tests is that they account for business productivity effects as well as land use/transport interaction. A generic, city-region wide marginal social cost pricing scheme is estimated together with different land use development scenarios to identify directions and range of the effects. The model results show that the social marginal cost based road pricing scheme can have significant long term impacts upon travel demand if they trigger land use changes, which could either enhance or negate the initial travel time savings and reliability benefits. Note: an extended abstract has been previously submitted via email to convenor. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1482&r=cmp |
| By: | Maria Letizia Bertotti; Giovanni Modanese |
| Abstract: | We discuss a family of models expressed by nonlinear differential equation systems describing closed market societies in the presence of taxation and redistribution. We focus in particular on three example models obtained in correspondence to different parameter choices. We analyse the influence of the various choices on the long time shape of the income distribution. Several simulations suggest that behavioral heterogeneity among the individuals plays a definite role in the formation of fat tails of the asymptotic stationary distributions. This is in agreement with results found with different approaches and techniques. We also show that an excellent fit for the computational outputs of our models is provided by the k-generalized distribution introduced by G. Kaniadakis (Physica A 296 (2001) 405-425). |
| Date: | 2012–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1207.6081&r=cmp |
| By: | Marco Migliore; Salvatore Amoroso; Valeria Cardaci; Mario Catalano |
| Abstract: | In the last years we have observed a sub-urbanization process or 'sprawl' process (low density inhabitant models), caused by new economic and production conditions, by a free diffusion of new habitant models in territory, by new organization models of social relationships and by one-side power of road mode and in particular the private use. Commuters need to reach quickly own destinations and the traffic and parking problems in central areas increase mainly the importance of multi-modal displacements in an integrated transport system between public and private mode. Planner role should re-balance modal choice in favour to public transport and motivate passenger intermodality integrating the private car with transit. The optimal location and design of modal shift nodes for potential users involved in multimodal transfers in a urban and metropolitan context, is one of the most important issues in transport system design and planning. Several algorithms have been developed to face this issue. The main idea was to locate such nodes in areas of adequate size, well connected to the road network and public transit in order to minimize the time required for the transfer, taking into account the variation of transport demand in the various stages of decision-making process (generation, distribution, modal choice and transfer route). The aim of the proposed research is to analyze the attractiveness towards passenger modal shift nodes in relation to their potential territorial role and the optional services they can offer, which are relevant in vast urban areas. In particular, the metropolitan area of Palermo, and its outskirts which is taking the connotations of a large expanded city, will be a good case study to verify the effectiveness of the proposed strategy. The results define the operational criteria for the optimum location of passengers modal shift nodes in an environment characterized by a spread urban area composed by many municipalities, taking into account the role each node has in the territory and its ability to influence the transport demand in space and time. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa10p1606&r=cmp |
| By: | Mónica Enciso Pulido; Andrés Acosta Hernández; Jacobo Campo Robledo |
| Abstract: | Resumen SIDIC es un sistema de inferencia difuso que considera valoraciones subjetivas, las cuales son aproximadas a valores precisos, esto es aplicado a variables económicas consideradas determinantes de la inflación y su aplicación muestra una nueva posibilidad para el análisis y pronóstico de uno de los indicadores macroeconómicos con mayor relevancia en las decisiones que deben tomar las autoridades económicas. Los resultados de la aplicación de este sistema muestran el comportamiento esperado, en este sentido, se puede afirmar que la aplicación de la lógica difusa a un problema como proyectar la tasa de inflación anual, es válido y se convierte en una herramienta adecuada y contrastable. Abstract SIDIC is a fuzzy inference system that considers subjective assessments, which are approximated to accurate values, applying to economic variables considered as determinants of inflation and its application shows a new possibility for analyzing and forecasting of one of the most relevant indicators of the decisions that should make by the economic authorities. The results of the implementation of this system show the expected behavior, in this sense, we can say that the application of fuzzy logic to a problem as predict the annual inflation rate is valid and becomes a suitable tool and comparable. |
| Date: | 2012–02–15 |
| URL: | http://d.repec.org/n?u=RePEc:col:000444:009815&r=cmp |