nep-cmp New Economics Papers
on Computational Economics
Issue of 2014‒03‒01
five papers chosen by
Stan Miles
Thompson Rivers University

  1. Fiscal and Monetary Policies in Complex Evolving Economies By Giovanni Dosi; Giorgio Fagiolo; Mauro Napoletano; Andrea Roventini; Tania Treibich
  2. Computing the resolvent of composite operators By Abdellatif Moudafi
  3. Spatial price equilibrium and the transport sector : a trade-consistent SCGE model By Ando, Asao; Meng, Bo
  4. Accelerating Implicit Finite Difference Schemes Using a Hardware Optimised Implementation of the Thomas Algorithm for FPGAs By Samuel Palmer; David Thomas
  5. Systemic Risk and Default Clustering for Large Financial Systems By Konstantinos Spiliopoulos

  1. By: Giovanni Dosi (Scuola Superiore Sant'Anna, Pisa (Italy)); Giorgio Fagiolo (Scuola Superiore Sant'Anna, Pisa (Italy)); Mauro Napoletano (OFCE and SKEMA Business School, Sophia-Antipolis (France); Scuola Superiore Sant'Anna, Pisa (Italy)); Andrea Roventini (University of Verona (Italy); Scuola Superiore Sant'Anna, Pisa (Italy); OFCE and SKEMA Business School, Sophia-Antipolis (France)); Tania Treibich (Maastricht University (the Netherlands); GREDEG CNRS and University of Nice Sophia Antipolis (France))
    Abstract: In this paper we explore the effects of alternative combinations of fiscal and monetary policies under different income distribution regimes. In particular, we aim at evaluating fiscal rules in economies subject to banking crises and deep recessions. We do so using an agent-based model populated by heterogeneous capital- and consumption-good firms, heterogeneous banks, workers/consumers, a Central Bank and a Government. We show that the model is able to reproduce a wide array of macro and micro empirical regularities, including stylised facts concerning financial dynamics and banking crises. Simulation results suggest that the most appropriate policy mix to stabilise the economy requires unconstrained counter-cyclical fiscal policies, where automatic stabilisers are free to dampen business cycles fluctuations, and a monetary policy targeting also employment. Instead, "discipline-guided" fiscal rules such as the Stability and Growth Pact or the Fiscal Compact in the Eurozone always depress the economy, without improving public finances, even when escape clauses in case of recessions are considered. Consequently, austerity policies appear to be in general self-defeating. Furthermore, we show that the negative effects of austere fiscal rules are magnified by conservative monetary policies focused on inflation stabilisation only. Finally, the effects of monetary and fiscal policies become sharper as the level of income inequality increases.
    Keywords: agent-based model, fiscal policy, monetary policy, banking crises, income inequality, austerity policies, disequilibrium dynamics
    JEL: C63 E32 E6 E52 G01 G21 O4
    Date: 2014–02
  2. By: Abdellatif Moudafi (Ceregmia-Departement scientifque, Universite des Antilles et de la Guyane, 97275 Schoelcher, Martinique)
    Abstract: Based in a very recent paper by Micchelli et al. [7], we present an algorithmic approach for computing the resolvent of composite operators: the composition of a monotone operator and a continuous linear mapping. The proposed algorithm can be used, for example, for solving problems arising in image processing and trac equilibrium. Furthermore, our algorithm gives an alternative to Dykstra-like method for evaluating the resolvent of the sum of two maximal monotone operators.
    Date: 2014–01
  3. By: Ando, Asao; Meng, Bo
    Abstract: This paper presents a framework for an SCGE model that is compatible with the Armington assumption and explicitly considers transport activities. In the model, the trade coefficient takes the form of a potential function,and the equilibrium market price becomes similar to the price index of varietal goods in the context of new economic geography (NEG). The features of the model are investigated by using the minimal setting, which comprises two non-transport sectors and three regions. Because transport costs are given exogenously to facilitate study of their impacts, commodity prices are also determined relative to them. The model can be described as a system of homogeneous equations, where an output in one region can arbitrarily be determined similarly as a price in the Walrasian equilibrium. The model closure is sensitive to formulation consistency so that homogeneity of the system would be lost by use of an alternative form of trade coefficients.
    Keywords: Econometric model, Economic geography, Transportation, Trade theory, SCGE (Spatial Computable General Equilibrium) model, Armington assumption, Transport sector
    JEL: C67 C68 R15
    Date: 2014–02
  4. By: Samuel Palmer; David Thomas
    Abstract: The design and implementation of the Thomas algorithm optimised for hardware acceleration on an FPGA is presented. The hardware based algorithm combined with custom data flow and low level parallelism available in an FPGA reduces the overall complexity from 8N down to 5N arithmetic operations, and combined with a data streaming interface reduces memory overheads to only 2 N-length vectors per N-tridiagonal system to be solved. The Thomas Core developed allows for multiple tridiagonal systems to be solved in parallel, giving potential use for solving multiple implicit finite difference schemes or accelerating higher dimensional alternating-direction-implicit schemes used in financial derivatives pricing. This paper also discusses the limitations arising from the fixed-point arithmetic used in the design and how the resultant rounding errors can be controlled to meet a specified tolerance level.
    Date: 2014–02
  5. By: Konstantinos Spiliopoulos
    Abstract: As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.
    Date: 2014–02

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