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on Computational Economics |
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Issue of 2014‒08‒16
five papers chosen by |
| By: | Daniel Ledermann (ICMA Centre, Henley Business School, University of Reading); Carol Alexander (ICMA Centre, Henley Business School, University of Reading) |
| Abstract: | This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques. |
| Keywords: | : Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation |
| URL: | http://d.repec.org/n?u=RePEc:rdg:icmadp:icma-dp2011-06&r=cmp |
| By: | Ole Boysen (Agricultural and Food Policy, University of Hohenheim; Institute for International Integration Studies, Trinity College Dublin); Hans Grinsted Jensen (Department of Food and Resource Economics, University of Copenhagen); Alan Matthews (Department of Economics, Trinity College Dublin; Institute for International Integration Studies, Trinity College Dublin) |
| Abstract: | Despite substantial reforms, the EU's Common Agricultural Policy (CAP) is still criticised for its detrimental effects on developing countries. This paper provides updated evidence on the impact of the CAP on one developing country, Uganda. It goes beyond estimating macro-level economic effects by analysing the impacts on poverty. The policy simulation results show that eliminating EU agricultural support would have marginal but nonetheless positive impacts on the Ugandan economy and its poverty indicators. From the perspective of the EU's commitment to policy coherence for development, this supports the view that further reducing EU agricultural support would be positive for development. |
| Keywords: | Uganda; Common Agricultural Policy; poverty; trade policy; domestic support; computable general equilibrium-microsimulation |
| JEL: | D58 F14 O10 O55 |
| Date: | 2014–07 |
| URL: | http://d.repec.org/n?u=RePEc:iis:dispap:iiisdp452&r=cmp |
| By: | Stephen Hansen (Barcelona Graduate School of Economics (Barcelona GSE)); Michael McMahon (University of Warwick, Department of Economics; Centre for Macroeconomics (CFM)); Andrea Prat (Columbia University, Graduate School of Business) |
| Abstract: | How does transparency, a key feature of central bank design, affect the deliberation of monetary policymakers? We exploit a natural experiment in the Federal Open Market Committee in 1993 together with computational linguistic models (particularly Latent Dirichlet Allocation) to measure the effect of increased transparency on debate. Commentators have hypothesized both a beneficial discipline effect and a detrimental conformity effect. A difference-in-differences approach inspired by the career concerns literature uncovers evidence for both effects. However, the net effect of increased transparency appears to be a more informative deliberation process. |
| Keywords: | Monetary policy, deliberation, FOMC, transparency, career concerns |
| JEL: | E52 E58 D78 |
| Date: | 2014–04 |
| URL: | http://d.repec.org/n?u=RePEc:cfm:wpaper:1411&r=cmp |
| By: | Jean Chateau; Rob Dellink; Elisa Lanzi |
| Abstract: | This document provides a detailed technical description of the ENV-Linkages model. The OECD ENV-Linkages Computable General Equilibrium (CGE) model is an economic model that describes how economic activities are inter-linked across several macroeconomic sectors and regions. It links economic activity to environmental pressure, specifically to emissions of greenhouse gases (GHGs). The links between economic activities and emissions are projected for several decades into the future, and thus shed light on the impacts of environmental policies for the medium- and long-term future. In this paper specific attention is given to the equations that form the core of the model. The version of the model presented here is used for analysis carried out for the OECD Environmental Outlook to 2050 (OECD, 2012). An updated version of the model is expected to play a key role in the new CIRCLE project (OECD, 2013). Ce manuel donne une description détaillée du modèle ENV-Linkages. Le modèle ENV-Linkages de l’OECD est un modèle d’Équilibre Général Calculable (MEGC) qui décrit les relations économiques entre secteurs d’activité, pays et agents économiques. Le modèle associe les émissions de gaz à effet de serre aux différentes activités économiques reproduites. Les liens entre les émissions et les activités économiques sont projetés à un horizon de plusieurs décennies, mettant ainsi en avant les impacts à moyen et long terme des politiques environnementales. L’attention est portée dans ce document sur une description technique des équations sous-jacentes du modèle. La version du modèle présentée est celle utilisée dans les Perspectives de l’environnement à l’horizon 2050 (OECD, 2012). Une version mise à jour du modèle jouera un rôle essentiel dans le nouveau projet CIRCLE (OCDE, 2013). |
| Keywords: | climate change, long-term scenarios, general equilibrium models, scénarios de long-terme, changement climatique, équilibre général calculable |
| JEL: | D58 H23 O41 Q54 Q56 |
| Date: | 2014–06–11 |
| URL: | http://d.repec.org/n?u=RePEc:oec:envaaa:65-en&r=cmp |
| By: | Zura Kakushadze |
| Abstract: | The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence "mean-reversion via demeaning -> regression -> weighted regression -> (constrained) optimization -> factor models". We discuss in detail how to do mean-reversion based on this approach, including common pitfalls encountered in practical applications, such as the difference between maximizing the Sharpe ratio and minimizing an objective function when trading costs are included. We also discuss explicit algorithms for optimization with linear costs, constraints and bounds. |
| Date: | 2014–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1408.2217&r=cmp |