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on Computational Economics |
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Issue of 2013‒03‒09
ten papers chosen by |
| By: | Daniel Vela |
| Abstract: | This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson & Siegel and Svensson. Several forecasting methodologies are contrasted: an autoregressive model, a vector autoregressive model, artificial neural networks on each individual factor, and artificial neural networks on all factors that explain the yield curve. The out-of-sample performance of the fitting models improves with the neural networks in the one-month-ahead forecast along all studied yield curves. Moreover, the three factor model developed by Nelson & Siegel proves to be the best choice for out-of-sample forecasting. Finally, the success of the cross variable interaction strongly depends on the selected yield curve. |
| Date: | 2013–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:col:000094:010502&r=cmp |
| By: | JIN SEO CHO (School of Economics, Yonsei University); ISAO ISHIDA (CSFI, Osaka University); HALBERT WHITE (Department of Economics, University of California, San Diego) |
| Abstract: | We revisit the twofold identification problem discussed by Cho, Ishida, and White (Neural Computation, 2011), which arises when testing for neglected nonlinearity by artificial neural networks. We do not use the so-called ¡°no-zero¡± condition and employ a sixth-order expansion to obtain the asymptotic null distribution of the quasi-likelihood ratio (QLR) test. In particular, we avoid restricting the number of explanatory variables in the activation function by using the distance and direction method discussed in Cho and White (Neural Computation, 2012). We find that the QLR test statistic can still be used to handle the twofold identification problem appropriately under the set of mild regularity conditions provided here, so that the asymptotic null distribution can be obtained in a manner similar to that in Cho, Ishida, and White (Neural Computation, 2011). This also implies that the weighted bootstrap in Hansen (Econometrica, 1996) can be successfully exploited when testing the linearity hypothesis using the QLR test. |
| Keywords: | Artificial neural networks; Neglected nonlinearity; Quasi-likelihood ratio test; Distance and direction approach; Gaussian stochastic process; Twofold identification problem; Sixth-order (hexic) expansion; Weighted bootstrap |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:yon:wpaper:2013rwp-55&r=cmp |
| By: | Range, Troels Martin (Department of Business and Economics); Lusby, Richard Martin (Department of Engineering Management); Larsen, Jesper (Department of Engineering Management) |
| Abstract: | This paper addresses the Patient Admission Scheduling (PAS) problem. The PAS problem deals with assigning elective patients to beds, satisfying a number of soft and hard constraints. The problem can be seen as part of the functions of hospital management at an operational level. There exists a small number of different variants on this problem. We propose an optimization-based heuristic building on branch-and-bound, column generation, and dynamic constraint aggregation for one of the variants. We achieve tighter bounds than previously reported in the literature, and in addition we are able to produce new best solutions for five out of six instances from a publicly available repository. |
| Keywords: | Patient admission scheduling; column generation; dynamic constraint aggregation; dual disaggregation; branch-and-bound |
| JEL: | C61 |
| Date: | 2013–01–09 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:sdueko:2013_001&r=cmp |
| By: | Ling Tang; Qin Bao; ZhongXiang Zhang; Shouyang Wang |
| Abstract: | With large shares in global trade and carbon emissions, China’s international trade is supposed to be significantly affected by the proposed carbon-based border tax adjustments (BTAs). This paper examines the impacts of BTAs imposed by USA and EU on China’s international trade, based on a multi-sector dynamic computable general equilibrium (CGE) model. The simulation results suggest that BTAs would have a negative impact on China’s international trade in terms of large losses in both exports and imports. As an additional border tariff, BTAs will directly affect China’s exports by cutting down exports price level, whereas Chinese exporting enterprises will accordingly modify their strategies, significantly shifting from exports to domestic markets and from regions with BTAs policies towards other regions without them. Moreover, BTAs will affect China’s total imports and sectoral import through influencing the whole economy in an indirect but more intricate way. Furthermore, the simulation results for coping policies indicate that enhancing China’s power in world price determination and improving energy technology efficiency will effectively help mitigate the damages caused by BTAs. |
| Keywords: | Border carbon tax adjustments; International trade; Dynamic computable general equilibrium model; Price determination power; Technological change |
| JEL: | D58 F18 Q43 Q48 Q52 Q54 Q56 Q58 |
| Date: | 2013–01 |
| URL: | http://d.repec.org/n?u=RePEc:een:ccepwp:1301&r=cmp |
| By: | Denis Belomestny; Fabian Dickmann; Tigran Nagapetyan |
| Abstract: | In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation and time discretization, we propose a multi-level low biased estimate for the price of an American option. It turns out that the resulting complexity gain can be unexpectedly high and can even reach the order (\varepsilon^{-2}) with (\varepsilon) denoting the desired precision. The performance of the proposed multilevel algorithm is illustrated by a numerical example of pricing Bermudan max-call options. |
| Date: | 2013–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1303.1334&r=cmp |
| By: | Ghatak, Maitreesh (London School of Economics); de Quidt, Jonathan (London School of Economics); Fetzer, Thiemo (London School of Economics) |
| Abstract: | Motivated by recent controversies surrounding the role of commercial lenders in micro nance, we analyze borrower welfare under different market structures, considering a benevolent non-profit lender, a for-prfi t monopolist, and a competitive credit market. To understand the magnitude of the effects analyzed, we simulate the model with parameters estimated from the MIX Market database. Our results suggest that market power can have severe implications for borrower welfare, while despite possible information frictions competition typically delivers similar borrower welfare to non-pro t lending. In addition, for-profit lenders are less likely to use joint liability than non-profits. |
| Keywords: | micronance; market power; for-profit; social capital |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:cge:warwcg:122&r=cmp |
| By: | Elsa Vaz (Economics Department of University of Évora and CEFAGE); Maria Paula Fontoura (ISEG - School of Economics and Management / Technical University of Lisbon, and UECE – Research Unit on Complexity and Economics) |
| Abstract: | The purpose of this paper is to analyse, for the case of Portugal, the effectiveness of wage reduction - a current proposal since 2011 ??to help the country to reverse the high public and external debt - in promoting the efficiency and international competitiveness of the economy. A static multi-sector and single-country general equilibrium model is used and data is collected from the GTAP7 Database. The model allows the measurement of changes by sector. The simulations performed show that extending the reduction of wages already deployed by the government in the public sector to the private sector leads to a positive impact on employment (both skilled and unskilled labour), production and volume of exports in all sectors except those that are R&D intensive, the latter having a low weight in the Portuguese economy. However, it is possible that the positive results in terms of external competitiveness are not sustainable, as the impact on productivity is negative, albeit small, for most sectors. There are also reasons for concern regarding the observed deterioration of the trade balance of most sectors, the exception being the traditional labour intensive sectors, which show good prospects in this respect. |
| Keywords: | Competitiveness; Wages; Stability and Growth Pact; General Equilibrium Model; Portugal. |
| JEL: | D58 J38 D24 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:cfe:wpcefa:2013_04&r=cmp |
| By: | Abdellatif Moudafi (Ceregmia,Département Scientifique Interfacultaire) |
| Abstract: | Due to their extraordinary utility and broad applicability in many areas of applied mathematics (most notably, fully-discretized models of problems in image reconstruction from projections,in image processing, and in intensity-modulated radiation therapy),algorithms for solving convex feasibility problems continue to receive great attention. |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:crg:wpaper:dt2013-02&r=cmp |
| By: | Nagl, Stephan (Energiewirtschaftliches Institut an der Universitaet zu Koeln) |
| Abstract: | This paper outlines the effects of weather uncertainty on investment and operation decisions of electricity producers under a feed-in tariff and renewable quota obligation. Furthermore, this paper tries to quantify the sectoral welfare and investments risks under the different policies. For this purpose, a spatial stochastic equilibrium model is introduced for the European electricity market. The numerical analysis suggests that including the electricity market price in renewable policies (wholesale price + x) reduces the loss of sectoral welfare due to a renewable policy by 11-20 %. Moreover, investors face an only slightly higher risk than under fixed price compensations. However, electricity producers face a substantially larger investment risk when introducing a renewable quota obligation without the option of banking and borrowing of green certi cates. Given the scenario results, an integration of the hourly market price in renewable support mechanisms is mandatory to keep the financial burden to electricity consumers at a minimum. Additionally, following the discussion of a European renewable quota after 2020, the analysis indicates the importance of an appropriate banking and borrowing mechanism in light of stochastic wind and solar generation. |
| Keywords: | RES-E policy; price and quantity controls; mixed complementarity problem |
| JEL: | C61 L50 Q40 |
| Date: | 2013–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:ris:ewikln:2013_004&r=cmp |
| By: | Søren Johansen (University of Copenhagen and CREATES); Bent Nielsen (Nuffield College & Department of Economics, University of Oxford & Institute for New Economic Thinking at the Oxford Martin School.) |
| Abstract: | The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is made. The argument involves theory for a new class of weighted and marked empirical processes, quantile process theory, and a fixed point argument to describe the iterative element of the procedure. |
| Keywords: | Fixed point result, Forward Search, quantile process, weighted and marked empirical process |
| JEL: | C22 |
| Date: | 2013–10–02 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2013-05&r=cmp |