nep-cmp New Economics Papers
on Computational Economics
Issue of 2012‒09‒30
nine papers chosen by
Stan Miles
Thompson Rivers University

  1. Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting By Mahesh S. Khadka; K. M. George; N. Park
  2. Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress By Zhang Li; Ilya Pollak
  3. The Economic Implications of Introducing Carbon Taxes in South Africa By Alton, Theresa; Arndt, Channing; Davies, Rob; Hartley, Faaiqa; Makrelov, Konstantin
  4. Freight distribution systems with cross-docking: a multidisciplinary analysis By Jesus Gonzalez-Feliu
  5. Stability analysis in economic dynamics: A computational approach By Halkos, George; Tsilika, Kyriaki
  6. Sticky Information Models in Dynare By Verona, Fabio; Wolters, Maik H.
  7. Can Cities or Towns Drive African Development? Economy-wide Analysis for Ethiopia and Uganda By Dorosh, Paul; Thurlow, James
  8. Stochastic mortality, macroeconomic risks, and life insurer solvency By Hanewald, Katja; Post, Thomas; Gründl, Helmut
  9. Export diversification and resource-based industrialization: the case of natural gas By Massol, O.; Banal-Estanol, A.

  1. By: Mahesh S. Khadka; K. M. George; N. Park
    Abstract: This paper presents performance analysis of hybrid model comprise of concordance and Genetic Programming (GP) to forecast financial market with some existing models. This scheme can be used for in depth analysis of stock market. Different measures of concordances such as Kendalls Tau, Ginis Mean Difference, Spearmans Rho, and weak interpretation of concordance are used to search for the pattern in past that look similar to present. Genetic Programming is then used to match the past trend to present trend as close as possible. Then Genetic Program estimates what will happen next based on what had happened next. The concept is validated using financial time series data (S&P 500 and NASDAQ indices) as sample data sets. The forecasted result is then compared with standard ARIMA model and other model to analyse its performance.
    Date: 2012–09
  2. By: Zhang Li; Ilya Pollak
    Abstract: The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of economic policy decisions. We consider optimizing the amount and structure of a bailout in a borrower-lender network: Given a fixed amount of cash to be injected into the system, how should it be distributed among the nodes in order to achieve the smallest overall amount of unpaid liabilities or the smallest number of nodes in default? We develop an exact algorithm for the problem of minimizing the amount of unpaid liabilities, by showing that it is equivalent to a linear program. For the problem of minimizing the number of defaults, we develop an approximate algorithm using a reweighted l1 minimization approach. We illustrate this algorithm using an example with synthetic data for which the optimal solution can be calculated exactly, and show through numerical simulation that the solutions calculated by our algorithm are close to optimal.
    Date: 2012–09
  3. By: Alton, Theresa; Arndt, Channing; Davies, Rob; Hartley, Faaiqa; Makrelov, Konstantin
    Abstract: South Africa is considering introducing carbon taxes to reduce greenhouse gas emissions. We evaluate potential impacts using a dynamic economy-wide model linked to an energy sector model. Simulation results indicate that a phased-in carbon tax that reache
    Keywords: carbon tax; growth; employment; income distribution; South Africa
    Date: 2012
  4. By: Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat)
    Abstract: Freight transport constitutes one of the main activities that influences economy and society, as it assures a vital link between suppliers and customers and it represents a major source of employment. Multi-echelon distribution is one of the most common strategies adopted by the transport companies in an aim of cost reduction. This paper presents the main concepts of multi-echelon distribution with cross-docks through a multidisciplinary analysis that includes an optimisation study (using both exact and heuristic methods), a geographic approach (based on the concept of accessibility) and a socio-economic analysis. a conceptual framework for logistics and transport pooling systems, as well as a simulation method for strategic planning optimisation.
    Keywords: Freight transport systems, cross-docking, simulation, collaboration, socio-economic issues
    Date: 2012–04
  5. By: Halkos, George; Tsilika, Kyriaki
    Abstract: Modern microeconomics and macroeconomics study dynamic phenomena. Dynamics could predict future states of an economy based on its structural characteristics. Economic dynamics are modeled in discrete and continuous time context, mainly via autonomous difference and differential equations. In this study, we use Xcas and Mathematica as software tools, in order to generate results concerning the dynamic properties of the solutions of the difference and differential equation(s) models and determine whether an economic equilibrium exists. Our computational approach does not require solving the difference or differential equation(s) and makes no assumptions for initial conditions. The results provide quantitative information based on the qualitative properties of the mathematical solutions. The computer codes are fully presented and can be reproduced as they are in computational-based research practice and education. The relevant output of CAS software is created in a way as to be interpreted without the knowledge of advanced mathematics.
    Keywords: Stability conditions; software tools; economic equilibrium
    JEL: C63 C02 C88 C62
    Date: 2012–07
  6. By: Verona, Fabio; Wolters, Maik H.
    Abstract: Sticky information models as developed by Mankiw and Reis in a series of papers starting with Mankiw and Reis (2002) include an infinite number of lagged expectation terms. It is therefore not straightforward to solve these models under rational expectations. Several authors have developed specialized solution algorithms that are able to solve these models quickly and with high precision. We demonstrate that it is also possible to implement sticky information models in Dynare - a widely used software package for solving dynamic stochastic general equilibrium models. We demonstrate the usage of the Dynare macro language to easily construct the required large number of lagged expectation terms. We compare simulations with different truncation points for the lagged expectations terms. The solution computed with Dynare is very precise even for moderate truncation points. The advantage over the usage of solution algorithms specifically developed for sticky information models is that the large number of tools of the Dynare software can be used for further analysis of sticky information models. Examples include the computation of optimal policy rules, the estimation of model parameters and the computation of forecasts.
    Keywords: sticky information; Dynare; macro-processor; lagged expectations
    Date: 2012–09
  7. By: Dorosh, Paul; Thurlow, James
    Abstract: Rapid urbanization is an important characteristic of African development and yet the structural transformation debate focuses on agriculture.s relative merits without also considering the benefits from urban agglomeration. As a result, African governments
    Keywords: urbanization, rural development, growth, poverty, CGE model, Africa
    Date: 2012
  8. By: Hanewald, Katja; Post, Thomas; Gründl, Helmut
    Abstract: Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in this stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices react to changes in GDP, which itself is modelled as a stochastic process. Our simulation results show that insolvency probabilities are significantly higher when the reaction of mortality rates to changes in GDP is incorporated. --
    Date: 2011
  9. By: Massol, O.; Banal-Estanol, A.
    Abstract: For resource-rich economies, primary commodity specialization has often been considered to be detrimental to growth. Accordingly, export diversification policies centered on resource-based industries have long been advocated as effective ways to moderate the large variability of export revenues. This paper discusses the applicability of a mean-variance portfolio approach to design these strategies and proposes some modifications aimed at capturing the key features of resource processing industries (presence of scale economies and investment lumpiness). These modifications help make the approach more plausible for use in resource-rich countries. An application to the case of natural gas is then discussed using data obtained from Monte Carlo simulations of a calibrated empirical model. Lastly, the proposed framework is put to work to evaluate the performances of the diversification strategies implemented in a set of nine gas-rich economies. These results are then used to formulate some policy recommendations.
    Keywords: Resource-based industrialization; Mean-variance portfolio; Export earnings volatility; Natural gas
    Date: 2012

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