
on Computational Economics 
Issue of 2014‒10‒22
eight papers chosen by 
By:  Flaig, Dorothee; McDonald, Scott; Grethe, Harald 
Keywords:  Labor and Human Capital, Research Methods/ Statistical Methods, 
Date:  2013–12 
URL:  http://d.repec.org/n?u=RePEc:ags:iats13:182511&r=cmp 
By:  Hisahiro Naito (Department of Economics, Graduate School of Humanities and Social Sciences,University of Tsukuba,) 
Abstract:  The effect of accepting more immigrants on welfare in the presence of a payasyou go social security system is analyzed qualitatively and quantitatively. First, it is shown that if initially there exist intergenerational government transfers from the young to the old, the government can lead an economy to the (modified) golden rule level within a finite time in a Paretoimproving way by increasing the percentage of immigrants to natives (PITN). Second, using the computational overlapping generation model, the welfare gain is calculated of increasing the PITN from 15.5 percent to 25.5 percent and years needed to reach the (modified) golden rule level in a Paretoimproving way in a model economy. The simulation shows that the present value of the welfare gain of increasing the PITN comprises 23 percent of the initial GDP. It takes 112 years for the model economy to reach the golden rule level in a Paretoimproving way. 
Date:  2014–09 
URL:  http://d.repec.org/n?u=RePEc:upd:utppwp:027&r=cmp 
By:  Sasa Zikovic; Rafal Weron; Ivana Tomas Zikovic 
Abstract:  In this paper we analyze the relative performance of 13 VaR models using daily returns of WTI, Brent, natural gas and heating oil onemonth futures contracts. After obtaining VaR estimates we evaluate the statistical significance of the differences in performance of the analyzed VaR models. We employ the simulationbased methodology proposed by Zikovic and Filer (2013), which allows us to rank competing VaR models. Somewhat surprisingly, the obtained results indicate that for a large number of different VaR models there is no statistical difference in their performance, as measured by the Lopez size adjusted score. However, filtered historical simulation (FHS) and the semiparametric BRW model stand out as robust and consistent approaches that – in most cases – significantly outperform the remaining VaR models. 
Keywords:  Energy markets; Risk management; Value at Risk; Multicriteria classification 
JEL:  C14 C22 C52 C53 G24 
Date:  2014–10–03 
URL:  http://d.repec.org/n?u=RePEc:wuu:wpaper:hsc1412&r=cmp 
By:  William Gould (StataCorp LP) 
Abstract:  Researchers do not adequately appreciate that floatingpoint numbers are a simulation of real numbers and, as with all simulations, some features are preserved while others are not. When writing code, or even dofiles, treating the computer's floatingpoint numbers as if they were real numbers can lead to substantive problems and to numerical inaccuracy. In this, the relationship between computers and real numbers is not entirely unlike the relationship between tea and Douglas Adams' NutriMatic drink dispenser. The NutriMatic produces a concoction that is "almost, but not quite, entirely unlike tea." Gould shows what the universe would be like if it was implemented in floatingpoint rather than in real numbers. The floatingpoint universe turns out to be nothing like the real universe and probably could not be made to function. Without jargon and without resort to binary, Gould shows how floatingpoint numbers are implemented on an imaginary base10 computer and quantifies the kinds of errors that can arise. In this, floatingpoint subtraction stands out as really being almost, but not quite, entirely unlike subtraction. Gould shows out how to work around such problems. The point of the talk is to build your intuition about the floatingpoint world so that you as a researcher can predict when calculations might go awry, know how to think about the problem, and determine how to fix it. 
Date:  2014–08–02 
URL:  http://d.repec.org/n?u=RePEc:boc:scon14:22&r=cmp 
By:  Jo\~ao da Gama Batista; JeanPhilippe Bouchaud; Damien Challet 
Abstract:  Trust is a collective, selffulfilling phenomenon that suggests analogies with phase transitions. We introduce a stylized model for the buildup and collapse of trust in networks, which generically displays a first order transition. The basic assumption of our model is that whereas trust begets trust, panic also begets panic, in the sense that a small decrease in trust may be amplified and ultimately lead to a sudden and catastrophic drop of trust. We show, using both numerical simulations and meanfield analytic arguments, that there are extended regions of the parameter space where two equilibrium states coexist: a wellconnected network where confidence is high, and a poorly connected network where confidence is low. In these coexistence regions, spontaneous jumps from the wellconnected state to the poorly connected state can occur, corresponding to a sudden collapse of trust that is not caused by any major external catastrophe. In large systems, spontaneous crises are replaced by history dependence: whether the system is found in one state or in the other essentially depends on initial conditions. Finally, we document a new phase, in which agents are connected yet distrustful. 
Date:  2014–09 
URL:  http://d.repec.org/n?u=RePEc:arx:papers:1409.8321&r=cmp 
By:  Davis, Todd D.; Anderson, John A.; Young, Robert E. III 
Abstract:  A stochastic simulation model is used to determine crop insurance premiums and farm program payments for a Illinois cornsoybean and Mississippi cornsoybeanricecotton farm. The optimal portfolio of crop insurance and farm programs are determined subject to payment limitations and crop insurance subsidy constraints. 
Keywords:  farm management, risk management, farm policy, Agricultural and Food Policy, Farm Management, Risk and Uncertainty, 
Date:  2014 
URL:  http://d.repec.org/n?u=RePEc:ags:aaeacj:184244&r=cmp 
By:  Torry, Malcolm 
Abstract:  Citizen’s Income – an unconditional and nonwithdrawable income for every individual – would offer many advantages, but transition from the UK’s current largely meanstested benefits system to one based on a Citizen’s Income might generate initial losses for some lowincome households, and this could make a Citizen’s Income politically unattractive. This paper employs EUROMOD to study the initial losses that a variety of different Citizen’s Income schemes would generate, and finds that in those schemes in which a Citizen’s Income replaces most meanstested benefits, substantial household losses would occur, both generally and for households in the lowest disposable income decile, whereas where meanstested benefits are not abolished, but instead the Citizen’s Income reduces meanstested benefits in the same way that other existing income does, almost no households in the lowest disposable income decile suffer initial losses, and initial losses generally are at a manageable level. This means that there is at least one method for implementing a Citizen’s Income that could be politically attractive. 
Date:  2014–09–18 
URL:  http://d.repec.org/n?u=RePEc:ese:emodwp:em1714&r=cmp 
By:  Itamar Caspi; Nico Katzke; Rangan Gupta 
Abstract:  This paper sets out to datestamp periods of historic oil price explosivity (or bubbles) us ing the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The datestamping strategy used in this paper is effective at identifying periodically col lapsing bubbles; a feature found lacking with previous bubble detecting methods. We set out to identify bubbles in the real price and the nominal pricesupply ratio of oil for the period 1876  2014. The recursive identification algorithms used in this study identifies several periods of significant explosivity, and as such provides future researchers with a reference for studying the macroeconomic impact of historical periods of significant oil price buildups. 
Keywords:  Oilprices; DateStamping Strategy; Periodically Collapsing Bubbles; Explosivity; Flexible Window; GSADF Test; Commodity Price Bubbles. 
JEL:  C15 C22 
Date:  2014–09–25 
URL:  http://d.repec.org/n?u=RePEc:ipg:wpaper:2014586&r=cmp 