nep-cmp New Economics Papers
on Computational Economics
Issue of 2012‒09‒03
seven papers chosen by
Stan Miles
Thompson Rivers University

  1. Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling By E. Hurwitz; T. Marwala
  2. Algorithm for calculating corporate marginal tax rate using Monte Carlo simulation By Sinha, Pankaj; Bansal, Vishakha
  3. Measuring the Effects of Trade Liberalization in Kosovo By Mario Holzner; Florin Peci
  4. To raise or not to raise? Impact assessment of Russia's incremental gas price reform By Heyndrickx, Christophe; Alexeeva-Talebi, Victoria; Tourdyeva, Natalia
  5. Impact of ASEAN-India Free Trade Agreement on Indian Dairy Trade: A Quantitative Approach By Bitan Mondal, Bitan Mondal; Smita Sirohi, Smita Sirohi; Vishal Thorat, Vishal Thorat
  6. Quantifying the role of alternative pension reforms on the Austrian economy By Miguel Sánchez Romero; Joze Sambt; Alexia Prskawetz
  7. Family and Labor Market Choices: Requirements to Guide Effective Evidence-Based Policy By Anna Kurowska; Michal Myck; Katharina Wrohlich

  1. By: E. Hurwitz; T. Marwala
    Abstract: For a number of reasons, computational intelligence and machine learning methods have been largely dismissed by the professional community. The reasons for this are numerous and varied, but inevitably amongst the reasons given is that the systems designed often do not perform as expected by their designers. The reasons for this lack of performance is a direct result of mistakes that are commonly seen in market-prediction systems. This paper examines some of the more common mistakes, namely dataset insufficiency; inappropriate scaling; time-series tracking; inappropriate target quantification and inappropriate measures of performance. The rationale that leads to each of these mistakes is examined, as well as the nature of the errors they introduce to the analysis / design. Alternative ways of performing each task are also recommended in order to avoid perpetuating these mistakes, and hopefully to aid in clearing the way for the use of these powerful techniques in industry.
    Date: 2012–08
  2. By: Sinha, Pankaj; Bansal, Vishakha
    Abstract: Simulated marginal tax rates involve complex calculations of simulating future (uncertain) incomes and mimicking corporate tax code. This paper develops two algorithms to calculate simulated marginal tax rate. The codes have been developed to forecast future taxable income of Indian companies and their Marginal Tax Rates (MTR) using Monte Carlo simulation in MATLAB. Loss carry forward and minimum alternate tax rules have been incorporated in both the algorithms. Further, a change is made in both the algorithms to incorporate loss carry backward feature to suit the needs of the country where such laws are applicable. The 10000 simulations in MATLAB suggest that MTR is company specific and it is dependent on the income pattern of the company. The MTR increases when loss carry backward rule is applied. In cases where the company actually pays zero tax in a year due to incurred losses, it is found that even in such cases MTR may be non zero. It is found that there is enough cross sectional and time series variations in MTR, therefore, the effect of tax rates on various policy issues of government and companies can be studied by taking MTR as an effective proxy for tax rates.
    Keywords: Marginal tax Rate; Corporate taxes; Loss carry forward; Alternate minimum tax; Loss carry backward; Tax code
    JEL: C6 C63 G38 C15 K34
    Date: 2012–07–20
  3. By: Mario Holzner (The Vienna Institute for International Economic Studies, wiiw); Florin Peci
    Abstract: Similar to other countries in the European periphery, Kosovo lacks competitiveness, has adopted the euro as its national currency and started an integration process with the EU. The next milestone in this process is the signing of an FTA with the EU. We simulate full trade liberalization vis-à-vis the EU, using the Global Simulation Model. Our results suggest a slight output loss in almost all industries in Kosovo due to a drop in prices. Moreover the government budget is expected to lose about 5% of its revenues due to the tariff cut. A shift towards more direct taxation and measures aimed at improving the investment climate in Kosovo are recommended.
    Keywords: trade policy simulation, Kosovo, EU integration
    JEL: F15 F17 P33
    Date: 2012–06
  4. By: Heyndrickx, Christophe; Alexeeva-Talebi, Victoria; Tourdyeva, Natalia
    Abstract: The growing momentum for gas price liberalization in Russia is increasingly constrained by fears of potentially strong adverse impact that market-based price setting principle will have on the economy. Based on a novel multi-regional, multi-sector and multi-household computable general equilibrium (CGE) model of the Russian Federation, this paper presents a simple yet a flexible framework for evaluating gas price reform. We found that the reform is feasible at low economic cost, without greater disparities in terms of increased inequity within and between country's federal districts. Large redistributive impacts can arise from specific mechanisms to recycle revenues. In terms of global environmental credentials, gas price liberalization can bring Russia on a substantially more sustainable path. The potential to foster adoption of energy efficiency measures by exploiting the revenue-recycling effect is, however, limited. --
    Keywords: regional general equilibrium model,sustainable development,natural gas pricing,Russia
    JEL: D58 H21 H22 Q48
    Date: 2012
  5. By: Bitan Mondal, Bitan Mondal; Smita Sirohi, Smita Sirohi; Vishal Thorat, Vishal Thorat
    Abstract: The study attempts a quantitative assessment of the impact of recently signed ASEAN-India FTA (AIFTA) for dairy commodities in India. ASEAN is strategically a potential market in dairy for India and our country already stands as net exporter of dairy products in this region. Partial equilibrium model (SMART model) has been used to simulate the likely impact of dairy exports to and imports from ASEAN countries under the proposed tariff reduction schedule of the AIFTA. The SMART model simulations suggest that AIFTA has generated an additional scope for India to increase its dairy exports to ASEAN countries. On the other hand, tariff elimination from India’s side creates little scope for ASEAN nations to expand their shares. The threat of cheap imports competing with the domestic products in the Indian markets is therefore not alarming. However necessary adjustment assistance may be provided to the dairy product manufacturers to counter the competition in the relevant product lines.
    Keywords: SMART Model; Dairy Products; AIFTA; Simulation; Export-Import
    JEL: F17
    Date: 2012–08–20
  6. By: Miguel Sánchez Romero (Max Planck Institute for Demographic Research, Rostock, Germany); Joze Sambt; Alexia Prskawetz (Max Planck Institute for Demographic Research, Rostock, Germany)
    Abstract: This paper investigates the role of recent pension reforms for the development of the social security system and economic growth in Austria. We use a computable general equilibrium model that is built up of overlapping generations that differ by their household structure, longevity, educational attainment, and capital accumulation. Each household optimally decides over its consumption paths, work effort, and retirement age according to the life-cycle theory of labor, while they face survival risk. We find that the pension reforms implemented from 2000 to 2004, although in the correct direction, are not sufficient to solve the labor market distortion caused by the Austrian PAYG pension system. Using alternative policy options, our simulations indicate that a change to a notional defined contribution system and an increase in the educational distribution of the work force would increase the incentive for later retirement ages and thereby increase labor supply and economic growth.
    Keywords: Austria, ageing, retirement, social security
    JEL: J1 Z0
    Date: 2012–08
  7. By: Anna Kurowska; Michal Myck; Katharina Wrohlich
    Abstract: Microsimulation methods and models of labor market decisions have attracted a lot of attention as an approach to the assessment of consequences of family related policies in the area of labor market and fertility. We set these models in the context of relevant demographic theories and present them from the point of view of their potential as tool to guide effective policy making with the aim to reconcile the objectives of increasing female participation and fertility and reducing poverty levels among families with children.
    Keywords: microsimulation, labor supply, fertility, evidence-based policy
    JEL: J22 J13 J18
    Date: 2012

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