nep-cmp New Economics Papers
on Computational Economics
Issue of 2014‒01‒24
seven papers chosen by
Stan Miles
Thompson Rivers University

  1. Analysis of Agent-based Models By Jakob Grazzini; Matteo G. Richiardi; Lisa Sella
  2. Environmental Tax Reforms in Switzerland A Computable General Equilibrium Impact Analysis By Christoph Böhringer; André Müller
  3. Sharing the burden for climate change mitigation in the Canadian federation By Christoph Böhringer; Nicholas Rivers; Tom F. Rutherford; Randall Wigle
  4. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process By Gilles Dufrénot; Adelya Ospanova; Alain Sand-Zantman
  5. Prices, debt and market structure in an agent-based model of the financial market By Fischer, Thomas; Riedler, Jesper
  6. Adjustable Robust Optimizations with Decision Rules Based on Inexact Revealed Data By Ruiter, F.J.C.T. de; Ben-Tal, A.; Brekelmans, R.C.M.; Hertog, D. den
  7. Non-linear externalities: A computational estimation method By Giulio Bottazzi; Ugo Gragnolati; Fabio Vanni

  1. By: Jakob Grazzini; Matteo G. Richiardi; Lisa Sella
    Abstract: This paper deals with the problem of analyzing the behavior of an agent-based (AB) model.
    Keywords: Agent-based Models
    Date: 2013
  2. By: Christoph Böhringer (University of Oldenburg, Department of Economics); André Müller (Ecoplan, Bern, Switzerland)
    Abstract: The Swiss energy strategy until 2050 envisages ambitious CO2 emission reduction targets along with substantial cutbacks in electricity consumption to establish a low-carbon economy without nuclear energy. Our computable general equilibrium analysis find that compliance with stringent CO2 constraints requires high CO2 taxes on economic activities which are not eligible for international emissions trading; likewise, electricity consumers are burdened with substantial electricity taxes. Environmental tax reforms are not likely to generate welfare gains without accounting for the benefits of improved environmental quality . However, economic adjustment costs to a low carbon economy without nuclear energy remain modest and can be markedly reduced through revenue-neutral cuts of initial distortionary taxes. On the other hand, alternative recycling strategies pose a trade-off between efficiency anddistributional justice which has to be resolved on normative grounds.
    Keywords: environmental tax reforms, computable general equilibrium
    JEL: H21 D58 Q48
    Date: 2014–01
  3. By: Christoph Böhringer (University of Oldenburg, Department of Economics); Nicholas Rivers (Graduate School of Public and International Affairs and Institute of Environment, University of Ottawa); Tom F. Rutherford (University of Wisconsin, Madison, USA); Randall Wigle (Balsillie School of International Affairs and School of Business and Economics, Wilfrid Laurier University)
    Abstract: Dividing the burden for greenhouse gas abatement amongst the provinces has proven challenging in Canada, and is a major factor contributing to Canada's poor historic performance on greenhouse gas abatement. As the country aims to achieve substantial cuts to emissions over the next decade and by mid-century, such burden sharing considerations are likely to be elevated in importance. This paper uses a calibrated multi-region multi-sector computable general equilibrium model to compare a number of archetypal rules for sharing the burden of a joint commitment amongst members for the case of greenhouse gas reductions in Canada. Because of the substantial heterogeneity amongst Canadian provinces, these different burden sharing rules imply signifcantly different relative abatement effort amongst provinces, and also signifcantly different welfare implications. When emission permits are allocated on an equal per capita basis, welfare is increased in Ontario, British Columbia, Quebec, and Manitoba, and signifcantly reduced in Alberta and Saskatchewan. In contrast, when emission permits are allocated based on historic emissions, Alberta and Saskatchewan are made better off, and Ontario, British Columbia, Quebec, and Manitoba are made worse off. We compare these archetypal burden sharing rules to existing provincial emission reduction commitments, and find that none of the standard burden sharing rules comes close to existing commitments. We argue that the debate on burden sharing of greenhouse gas abatement in Canada could be objectified if informed by coherent quantitative analysis such as the one presented here.
    Keywords: climate, burden sharing, computable general equilibrium analysis
    JEL: C68 Q50
    Date: 2014–01
  4. By: Gilles Dufrénot (DEFI - Centre de recherche en développement économique et finance internationale - Faculté des Sciences Economiques - Université de la Méditerranée - Aix-Marseille II, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, Centre de recherche de la Banque de France - Banque de France); Adelya Ospanova (Aix-Marseille Université - Aix-Marseille Université); Alain Sand-Zantman (GATE Lyon Saint-Étienne - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - École Normale Supérieure (ENS) - Lyon - PRES Université de Lyon)
    Abstract: This paper presents a quarterly macro econometric model of the Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations : interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect, as well as the demand effect of an increase in the wages. We also find that effect of the tight monetary policy in not ambiguous ; we argue that in some cases it is not the most efficient policy instrument to sustain the economy.
    Keywords: Transition economies; Kazakhstan; Macroeconomic stabilization; Central Asian CIS countries
    Date: 2014–01–09
  5. By: Fischer, Thomas; Riedler, Jesper
    Abstract: We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the liabilities side. A number of findings emerge when simulating the model: We find that the empirically observable log-normal distribution of bank balance sheet size naturally emerges and that higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of bankruptcies and systemic events. Credit frictions, which we define as the stickiness of debt adjustments, are able to explain a key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact of credit frictions on the fragility of the model financial system is complex. Lower frictions do increase the stability of the system most of the time, while systemic events become more probable. In particular, we observe an increasing frequency of severe liquidity crises that can lead to the collapse of the entire model financial system. --
    Keywords: agent-based model,financial markets,leverage,systemic risk,credit frictions
    JEL: C63 D53 D84
    Date: 2013
  6. By: Ruiter, F.J.C.T. de; Ben-Tal, A.; Brekelmans, R.C.M.; Hertog, D. den (Tilburg University, Center for Economic Research)
    Abstract: Abstract: Adjustable robust optimization (ARO) is a technique to solve dynamic (multistage) optimization problems. In ARO, the decision in each stage is a function of the information accumulated from the previous periods on the values of the uncertain parameters. This information, however, is often inaccurate; there is much evidence in the information management literature that evenin our Big Data era the data quality is often poor. Reliance on the data \as is" may then lead to poor performance of ARO, or in fact to any \data-driven" method. In this paper, we remedy this weakness of ARO by introducing a methodology that treats past data itself as an uncertain parameter. We show that algorithmic tractability of the robust counterparts associated with this extension of ARO is still maintained. The bene t of the new approach is demonstrated by a production-inventory application.
    Keywords: adjustable robust optimization;decision rules;inexact data;poor data quality
    JEL: C00 C15 C44 C61 C63
    Date: 2014
  7. By: Giulio Bottazzi; Ugo Gragnolati; Fabio Vanni
    Abstract: A stochastic discrete choice model and its related estimation method are presented which allow to disentangle non-linear externalities from the intrinsic features of the objects of choice and from the idiosyncratic preferences of agents. Having veried for the ergodicity of the underlying stochastic process, parameter estimates are obtained through numerical methods and so is their statistical signicance. In particular, optimization rests on successive parabolic interpolation. Finally, the model and its related estimation method are applied to the case of rm localization using Italian sectoral census data.
    Keywords: Externalities, Heterogeneity, Computational methods, Firm localization
    Date: 2014–01–15

This nep-cmp issue is ©2014 by Stan Miles. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.