nep-cmp New Economics Papers
on Computational Economics
Issue of 2014‒12‒03
six papers chosen by
Stan Miles
Thompson Rivers University

  1. Social Accounts for CGE in a Multi-Software Environment: Implan, GAMS and Excel By Randall Jackson; Amir Borges Ferreira Neto
  2. Vertical fiscal externalities and the environment By Christoph Böhringer; Nicholas Rivers; Hidemichi Yonezawa
  3. Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market By Fischer, Thomas; Riedler, Jesper
  4. Non-Optimal Behavior and Estimation of Risk Preferences By Guan, Zhengfei; Wu, Feng
  5. "Dynamic Equicorrelation Stochastic Volatility" By Yuta Kurose; Yasuhiro Omori
  6. Bridging the gap between horizontal and vertical merger simulation: Modifications and extensions of PCAID By Bush, C. Anthony

  1. By: Randall Jackson (Regional Research Institute, West Virginia University); Amir Borges Ferreira Neto (Regional Research Institute, West Virginia University)
    Abstract: This resource document provides a method for streamlining the IMPLAN-GAMS SAM -> CGE workflow. We present the step-by-step procedure for constructing a Social Accounting Matrix (SAM) in IMPLAN, reading the data into GAMS, saving the SAM in spreadsheet format to facilitate subsequent direct editing, and using the edited spreadsheet SAM as input directly into GAMS for further CGE modeling.
    Keywords: CGE, SAM, Spreadsheet, Excel, IMPLAN, GAMS
    JEL: C68 R13
    Date: 2014–10
  2. By: Christoph Böhringer (University of Oldenburg, Department of Economics); Nicholas Rivers (University of Ottawa); Hidemichi Yonezawa (University of Ottawa)
    Abstract: We show that imposition of a state-level environmental tax in a federation crowds out preexisting federal taxes. We explain how this vertical fiscal externality can lead unilateral statelevel environmental policy to generate a welfare gain in the implementing state, at the expense of other states. Using a computable general equilibrium model of the Canadian federation, we show that vertical fiscal externalities can be the major determinant of the welfare change following environmental policy implementation by a state government. Our numerical simulations indicate that - as a consequence of vertical fiscal externalities - state governments can reduce greenhouse<br>gas emissions by over 20 percent without any net cost to themselves.
    Keywords: fiscal externality, climate policy, federalism, computable general equilibrium
    Date: 2014–11
  3. 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 pro-cyclical 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: 2014
  4. By: Guan, Zhengfei; Wu, Feng
    Abstract: Non-optimal behavior due to budget constraint or credit availability is commonly observed in agricultural production. Not accounting for non-optimal behavior would result in biased estimates of risk preferences. A generalized model is developed in this article for estimating agents’ risk attitude accommodating both optimal and non-optimal behaviors. Results from Monte Carlo simulations suggest that estimation based on the proposed model yields consistent and unbiased risk preference estimates, whereas estimation based on the conventional modeling procedure produces biased results.
    Keywords: Corner Solution, Non-optimal Behavior, Risk Preferences, Budget Constraint, Monte Carlo Simulation, GMM Estimation., Agricultural Finance, Production Economics, Risk and Uncertainty, C13, C51, Q12, Q14,
    Date: 2014–05
  5. By: Yuta Kurose (School of Science and Technology, Kwansei Gakuin University); Yasuhiro Omori (Faculty of Economics, The University of Tokyo)
    Abstract: A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an ecient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables simultaneously. Numerical examples are provided to show its sampling efficiency in comparison with the simple algorithm that generates one latent variable at a time given other latent variables. Furthermore, the proposed model is applied to the multivariate daily stock price index data. The model comparisons based on the portfolio performances and DIC show that our model overall outperforms competing models.
    Date: 2014–09
  6. By: Bush, C. Anthony
    Abstract: A general theoretical and empirical framework is developed for assessing the potential of a vertically integrated firm to foreclose downstream competitors. Using this framework a policymaker may also evaluate the empirical welfare effects from a vertically integrated firm raising rivals' costs. The framework is developed within the context of a vertically integrated multichannel video programming distributor ("MVPD"), and this framework extends the applicability of PCAIDS to vertical mergers. Using public data from the Comcast-Time Warner-Adelphia Merger Order of the Federal Communications Commission, price effects from the threat and action of foreclosure in several designated marketing areas were simulated. Empirical results suggest that the Commission Staff Model substantially underestimated price increases to end users as a result of the threat and action of foreclosure. Empirical results suggest that Commission's Program Access Rules were essential for MVPD competition.
    Keywords: Mergers,merger simulation,vertical merger,horizontal merger,telecommunications,PCAIDS,foreclosure,raising rival's cost,two-sided markets
    JEL: C15 C01 C02 C53 C61 D4 K2 L1 L96
    Date: 2014

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.