nep-cmp New Economics Papers
on Computational Economics
Issue of 2014‒06‒02
nine papers chosen by
Stan Miles
Thompson Rivers University

  1. “A multivariate neural network approach to tourism demand forecasting” By Oscar Claveria; Enric Monte; Salvador Torra
  2. First Microsimulation Model of a LEDDA Community Currency--Dollar Economy By John C. Boik
  3. Appendix to "First Microsimulation Model of a LEDDA Community Currency--Dollar Economy" By John C. Boik
  4. Solving and Estimating Indeterminate DSGE Models By Farmer, Roger E A; Khramov, Vadim
  5. Transmission and Generation Investment in Electricity Markets: The Effects of Market Splitting and Network Fee Regimes By Grimm, Veronika; Martin, Alexander; Weibelzahl, Martin; Zöttl, Gregor
  6. Wealth share analysis with "fundamentalist/chartist" heterogeneous agents By Hai-Chuan Xu; Wei Zhang; Xiong Xiong; Wei-Xing Zhou
  7. Updating the poverty estimates in Serbia in the absence of micro data : a microsimulation approach By Cojocaru, Alexandru; Olivieri, Sergio
  8. Internal versus External Growth in Industries with Scale Economies: A Computational Model of Optimal Merger Policy By Mermelstein, Ben; Nocke, Volker; Satterthwaite, Mark; Whinston, Michael
  9. Monetary Policy and Natural Disasters: An Extension and Simulation Analysis in the Framework of New Keynesian Macroeconomic Model By Mitsuhiro Okano

  1. By: Oscar Claveria (Faculty of Economics, University of Barcelona); Enric Monte (Department of Signal Theory and Communications, Polytechnic University of Catalunya); Salvador Torra (Faculty of Economics, University of Barcelona)
    Abstract: This study compares the performance of different Artificial Neural Networks models for tourist demand forecasting in a multiple-output framework. We test the forecasting accuracy of three different types of architectures: a multi-layer perceptron network, a radial basis function network and an Elman neural network. We use official statistical data of inbound international tourism demand to Catalonia (Spain) from 2001 to 2012. By means of cointegration analysis we find that growth rates of tourist arrivals from all different countries share a common stochastic trend, which leads us to apply a multivariate out-of-sample forecasting comparison. When comparing the forecasting accuracy of the different techniques for each visitor market and for different forecasting horizons, we find that radial basis function models outperform multi-layer perceptron and Elman networks. We repeat the experiment assuming different topologies regarding the number of lags used for concatenation so as to evaluate the effect of the memory on the forecasting results, and we find no significant differences when additional lags are incorporated. These results reveal the suitability of hybrid models such as radial basis functions that combine supervised and unsupervised learning for economic forecasting with seasonal data.
    Keywords: forecasting; tourism demand; cointegration; multiple-output; artificial neural networks. JEL classification: L83; C53; C45; R11
    Date: 2014–05
  2. By: John C. Boik (Principled Societies Project)
    Abstract: Results are presented for a first-in-class microsimulation model of a community currency (local currency) system. The agent-based, stock-flow consistent model uses U.S. Census income data as a starting point to project the evolution of community currency and dollar flows within a simplified county-level economy over a period of 28 years. Changes in the distribution of family income are tracked. The community currency system under investigation is the Token Exchange System (TES), a component of the larger Local Economic Direct Democracy Association (LEDDA) framework under development by the Principled Societies Project. The model captures key design features of a TES, and results suggest parameter ranges under which the simulated TES is stable and capable of achieving intended aims. Median take-home family income more than doubles during the simulation period, income inequality is nearly eliminated, and the unemployment rate drops to a 1 percent structural level. The need for more sophisticated modeling of a TES and avenues for future research are discussed.
    Keywords: LEDDA, token, TES, sustainability, agent-based, stock-flow consistent, simulation, local currency, community currency, complementary currency, e-currency, economic democracy, economic direct democracy
    JEL: B59 C63 E51 I31 J31 O15 P48 Q56
    Date: 2014–05
  3. By: John C. Boik (Principled Societies Project)
    Abstract: This appendix contains graphs and other supplementary information for the paper "First Microsimulation Model of a LEDDA Community Currency--Dollar Economy," by John C. Boik.
    Keywords: LEDDA, sustainability, agent-based, stock-flow consistent, simulation, local currency, community currency, complementary currency, e-currency, token, economic democracy, economic direct democracy
    JEL: B59 C63 E51 I31 J31 O15 P48 Q56
    Date: 2014–05
  4. By: Farmer, Roger E A; Khramov, Vadim
    Abstract: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
    Keywords: Bayesian estimation; Dynare; indeterminacy
    JEL: C11 C13 C54
    Date: 2013–09
  5. By: Grimm, Veronika; Martin, Alexander; Weibelzahl, Martin; Zöttl, Gregor
    Abstract: In this paper we propose a three–level computational equilibrium model that allows to analyze the impact of the regulatory environment on transmission line expansion (by the regulator) and investment in generation capacity (by private firms) in liberalized electricity markets. The basic model analyzes investment decisions of the transmission operator (TO) and private firms in expectation of an energy only market and cost-based redispatch. In different specifications we consider the cases of one versus two price zones (market splitting) and analyze different approaches to recover network cost, in particular lump sum, capacity based, and energy based fees. In order to compare the outcomes of our multi–stage market model with the first best benchmark, we also solve the corresponding integrated planer problem. In two simple test networks we illustrate that energy only markets can lead to suboptimal locational decisions for generation capacity and thus, imply excessive network expansion. Market splitting heals those problems only partially. Those results obtain for both, capacity and energy based network tariffs, although investment slightly differs across those regimes.
    Keywords: Electricity markets; Network Expansion; Generation Expansion; Investment Incentives; Computational Equilibrium Models; Transmission Management
    Date: 2014–03–31
  6. By: Hai-Chuan Xu (TJU); Wei Zhang (TJU); Xiong Xiong (TJU); Wei-Xing Zhou (ECUST)
    Abstract: We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies' parameters on investors' wealth shares. We find that, as chartists' exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run.
    Date: 2014–05
  7. By: Cojocaru, Alexandru; Olivieri, Sergio
    Abstract: The continued poverty impact of the financial crisis in Serbia is difficult to establish beyond 2010 because of the lack of survey data. This paper tackles this difficulty. It uses a micro-simulation approach that accounts for a key pathway of the financial crisis in Serbia, the labor market. The results suggest a further increase in poverty in 2011 on account of a continued deterioration of the labor market indicators and despite a recovering gross domestic product. In order to evaluate the forecast, the model is applied to generate forecasts for previous years (2009 and 2010), which are compared with realized poverty estimates. The micro-simulation model performs well in predicting poverty dynamics during 2009-10 and less so during 2008-09. The accuracy of the predictions improves when the response of the social protection system is accounted for.
    Keywords: Rural Poverty Reduction,Inequality,Economic Theory&Research,Poverty Impact Evaluation,Services&Transfers to Poor
    Date: 2014–05–01
  8. By: Mermelstein, Ben; Nocke, Volker; Satterthwaite, Mark; Whinston, Michael
    Abstract: We study optimal merger policy in a dynamic model in which the presence of scale economies implies that firms can reduce costs through either internal investment in building capital or through mergers. The model, which we solve computationally, allows firms to invest or propose mergers according to the relative profitability of these strategies. An antitrust authority is able to block mergers at some cost. We examine the optimal policy when the antitrust authority can commit to a policy rule and when it cannot commit, and consider both consumer value and aggregate value as possible objectives of the antitrust authority. We find that optimal policy can differ substantially from what would be best considering only welfare in the period the merger is proposed. We also find that the ability to commit can lead to a significant welfare improvement. In general, antitrust policy can greatly affect firms' optimal investment behavior, and firms' investment behavior can in turn greatly affect the antitrust authority's optimal policy.
    Keywords: antitrust; commitment; entry; investment; merger
    JEL: L13 L41
    Date: 2014–04
  9. By: Mitsuhiro Okano (Asia Pacific Institute of Research)
    Abstract: In this paper, we show that how monetary policy should respond in the aftermath of a rare but large scale natural disaster such as typhoons and earthquakes, using simulation analysis from the view of New Keynesian perspective. Since the conditions for the simulation is different from previous studies, monetary tightening for inflation stabilization does not necessarily have better performance in the aftermath of a disaster shock.
    Keywords: monetary policynatural disaster
    JEL: E31 E32 E52 Q54
    Date: 2013–07

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