nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒04‒20
six papers chosen by
Stan Miles
Thompson Rivers University

  1. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox By Roberto Casarin; Stefano Grassi; Francesco Ravazzolo; Herman K. van Dijk
  2. Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments By Garland Durham; John Geweke
  3. Clean-Development Investments: An Incentive-Compatible CGE Modelling Framework By Christoph Böhringer; Thomas F. Rutherford; Marco Springmann
  4. Does climate policy make the EU economy more resilient to oil price rises? A CGE analysis By Helene Maisonnave; Jonathan Pycroft; Bert Saveyn; Juan Carlos CISCAR
  5. The effects of uncertainty, trust, structure and resistance to change in the diffusion of management accounting innovations: an agent based modeling approach. By Bertrand Masquefa; Pierre Teller
  6. Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability By Suni, Paavo; Vihriälä, Vesa

  1. By: Roberto Casarin (University Ca’ Foscari of Venice and GRETA); Stefano Grassi (Aarhus University and CREATES); Francesco Ravazzolo (Norges Bank and BI Norwegian Business School); Herman K. van Dijk (Erasmus University Rotterdam, VU University Amsterdam and Tinbergen Institute)
    Abstract: This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights are time-varying and may depend on past predictive forecasting performances and other learning mechanisms. The core algorithm is the function DeCo which applies banks of parallel Sequential Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for standard CPU computing and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab parallel computing toolbox and show how to use General Purposes GPU computing almost effortless. This GPU implementation comes with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore CPU. We show the use of the package and the computational gain of the GPU version, through some simulation experiments and empirical applications.
    Keywords: Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
    JEL: C11 C15 C53 E37
    Date: 2013–08–04
  2. By: Garland Durham (Quantos Analytics, LLC); John Geweke (Economics Discipline Group, University of Technology, Sydney)
    Abstract: Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benfits algorithms that conform to parallel computing environments are needed. Sequential Monte Carlo comes very close to this ideal whereas other approaches like Markov chain Monte Carlo do not. This paper presents a sequential posterior simulator well suited to this computing environment. The simulator makes fewer analytical and programming demands on investigators, and is faster, more reliable and more complete than conventional posterior simulators. The paper extends existing sequential Monte Carlo methods and theory to provide a thorough and practical foundation for sequential posterior simulation that is well suited to massively parallel computing environments. It provides detailed recommendations on implementation, yielding an algorithm that requires only code for simulation from the prior and evaluation of prior and data densities and works well in a variety of applications representative of serious empirical work in economics and finance. The algorithm is robust to pathological posterior distributions, generates accurate marginal likelihood approximations, and provides estimates of numerical standard error and relative numerical efficiency intrinsically. The paper concludes with an application that illustrates the potential of these simulators for applied Bayesian inference.
    Keywords: Graphics processing unit; particle filter; posterior simulation; sequential Monte Carlo; single instruction multiple data
    JEL: C11 C63
    Date: 2013–04–01
  3. By: Christoph Böhringer (University of Oldenburg, Department of Economics); Thomas F. Rutherford (University of Wisconisn-Madison); Marco Springmann (University of Oldenburg, Department of Economics)
    Abstract: The Clean Development Mechanism (CDM) established under the Kyoto Protocol allows industrialized Annex I countries to offset part of their domestic emissions by investing in emissionsreduction projects in developing non-Annex I countries. We present a novel CDM modelling framework which can be used in computable general equilibrium (CGE) models to quantify the sector-specific and macroeconomic impacts of CDM investments. Compared to conventional approaches that mimic the CDM as sectoral emissions trading, our framework adopts a microeconomically consistent representation of the CDM incentive structure and its investment<br>characteristics. In our empirical application we show that incentive compatibility implies that the sectors implementing CDM projects do not suffer, and that overall cost savings from the CDM tend to be lower than suggested by conventional modelling approaches.
    Keywords: Clean Development Mechanism, Computable General Equilibrium Modeling
    JEL: C68 Q58
    Date: 2013–03
  4. By: Helene Maisonnave (Universite Laval, Quebec, Canada); Jonathan Pycroft (JRC IPTS, European Commission); Bert Saveyn (JRC IPTS, European Commission); Juan Carlos CISCAR (JRC IPTS, European Commission)
    Abstract: The European Union has committed itself to reduce greenhouse gas (GHG) emissions by 20% in 2020 compared with 1990 levels. This paper investigates whether this policy has an additional benefit in terms of economic resilience by protecting the EU from the macroeconomic consequences due to an oil price rise. We use the GEM-E3 computable general equilibrium model to analyze the results of three scenarios. The first one refers to the impact of an increase in the oil price. The second scenario analyses the European climate policy and the third scenario analyses the oil price rise when the European climate policy is implemented. Unilateral EU climate policy imposes a cost on the EU of around 1.0% of GDP. An oil price rise in the presence of EU climate policy does impose an additional cost on the EU of 1.5% of GDP, but this is less than the 2.2% of GDP that the EU would lose from the oil price rise in the absence of climate policy. This is evidence that even unilateral climate policy does offer some economic protection for the EU.
    Keywords: Oil price, general equilibrium, climate policy
    JEL: Q54 C68 Q40
    Date: 2012–02
  5. By: Bertrand Masquefa (CRIFP - Centre de Recherche en Ingénierie Financière et Finances Publiques - Université Nice Sophia Antipolis (UNS)); Pierre Teller (CRIFP - Centre de Recherche en Ingénierie Financière et Finances Publiques - Université Nice Sophia Antipolis (UNS))
    Abstract: This article considers the effects of uncertainty, structure, trust and resistance to change on the success or failure of management accounting innovations diffusion. The diffusion process is examined through a social network of nodes and ties. Ties represent communication channels through which the diffusion flows and nodes represent organizational actors who facilitate or impede the diffusion process. Trust is operationalized through strong ties and structure is modeled with the density of ties within organizational units and ties between organizational units. Uncertainty represents the degree of controversy that is often inherent to management accounting innovation and change. Initially, organizational actors can be in three possible states: adopters, detractors and non-adopters. Innovation adopters or detractors embedded in the organizational network will mobilize their own network of strong ties to convince non-adopters to adopt or reject the innovation. This research aims at exploring the effects of uncertainty, trust, structure and perception of a management accounting innovation on the likelihood of success of the diffusion process. The authors used an agent based modeling approach to simulate the behavior of organizational agents within an organizational context. The results suggest that mechanistic and organic structures are contingently conducive of success in the implementation of management accounting innovation. The likelihood of success depends on the interplay of the controversy of the innovation, the number of the initial adopters or detractors and the trusted component of network ties.
    Keywords: uncertainty, trust, structure, social networks, innovation, diffusion, management accounting, agent-based modeling
    Date: 2013–04–05
  6. By: Suni, Paavo; Vihriälä, Vesa
    Abstract: Abstract: The euro crisis has rekindled questions about the advantages and disadvantages of membership in the European Monetary Union. In the Northern periphery of the EU, the different monetary regime choices of Finland and Sweden have created a particularly interesting testing ground for the benefits of the EMU. The average growth rates were rather similar before the Great Recession that started in the autumn of 2009, while Sweden has grown faster since that. In terms of price stability Sweden has fared somewhat better than Finland in the EMU period. We assess the effects of the regime choice by simulating the behaviour of the Swedish economy with National Institute’s Global Econometric Model (NiGEM) on the assumption that Sweden had joined the EMU in 1999. The simulation exercise suggests that the independent monetary regime reduced the impact of the global shock on Sweden. The different monetary regimes cannot, however, explain the growth gap between Sweden and Finland anymore in 2012. Other factors, such as the decline of the Nokia cluster, are needed for that. As a whole, our results suggest that the different choices with regard to the EMU have not affected the macroeconomic outcomes very much.
    Keywords: Finland, Sweden, EMU, simulation, counter factual
    JEL: C15 F17 F37 P52
    Date: 2013–04–04

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