nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒02‒16
six papers chosen by

  1. Modeling the Budgetary Costs of FHA's Single Family Mortgage Insurance: Working Paper 2014-05 By Francesca Castelli; Damien Moore; Gabriel Ehrlich; Jeffrey Perry
  2. Institutional herding in financial markets: New evidence through the lens of a simulated model By Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter
  3. Maintenance and Production Scheduling on a Single Machine with Stochastic Failures By von Hoyningen-Huene, Wiebke; Kiesmüller, Gudrun P.
  4. Testing innovation, employment and distributional impacts of climate policy packages in a macro-evolutionary systems setting By Bernhard Rengs; Manuel Scholz-Wäckerle; Ardjan Gazheli; Miklós Antal; Jeroen van den Bergh
  5. The macro-economic impact of e-commerce in the EU By Joseph Francois; Bertin Martens; Fan Yang
  6. Sharing the Burden for Climate Change Mitigation in the Canadian Federation By Christoph Böhringer, Nicholas Rivers, Thomas F. Rutherford, Randall Wigle

  1. By: Francesca Castelli; Damien Moore; Gabriel Ehrlich; Jeffrey Perry
    Abstract: This paper presents the simulation model that the Congressional Budget Office (CBO) uses to project the budgetary costs of the Federal Housing Administration's (FHA's) single-family mortgage insurance program. CBO simulates defaults, recoveries, and prepayments on cohorts of mortgages insured by FHA with key parameters estimated from a dataset of FHA-insured mortgages. Those simulations are used to estimate the loan guarantees' subsidy rates, which are the lifetime cost of FHA's insurance claim payments minus fees, expressed as a percentage of the original loan amounts. The simulations are
    JEL: G00 H50
    Date: 2014–09–11
  2. By: Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter
    Abstract: Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investorspecific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model.
    JEL: G11 G21 G01
    Date: 2014
  3. By: von Hoyningen-Huene, Wiebke; Kiesmüller, Gudrun P.
    Abstract: In this paper we study the problem of determining a production schedule for an order of n jobs on a single machine which is subject to stochastic machine failures. To avoid long downtime of the machine caused by unexpected failures, preventive maintenance should be planned as well. If a failure cannot be averted, a corrective maintenance activity is performed. Both maintenance activities are assumed to restore the machine to become `as good as new'. Furthermore it is assumed that jobs, interrupted by a machine failure, have to get restarted after the corrective maintenance is finished (non-resumable case). The aim is to minimise the average cost, composed of cost through order tardiness, when exceeding a due date, and cost for preventive as well as corrective maintenance activities. In order to regard practical relevance we compare simple production and maintenance scheduling rules for a huge number of jobs. In the course of a simulation study we first illustrate that in general an adjusted First Fit Decreasing algorithm generates the best results compared to other common used scheduling rules. We secondly show that the optimal length of the preventive maintenance interval can be estimated by using an extended decomposition approach which regards the non-resumable case, even if the processing times of the jobs are very long.
    Keywords: Maintenance,Scheduling,Stochastic Failures,Non-Resumable,Simulation Study
    JEL: M11
    Date: 2015–01–28
  4. By: Bernhard Rengs; Manuel Scholz-Wäckerle; Ardjan Gazheli; Miklós Antal; Jeroen van den Bergh
    Abstract: Climate policy has been mainly studied with economic models that assume representative, rational agents. However, it aims at changing behavior associated with carbon-intensive goods that are often subject to bounded rationality and social preferences, such as status and imitation. Here we use a macroeconomic multi-agent model with such features to test the effect of various policies on both environmental and economic performance. The model is particularly suitable to address distributional impacts of climate policies, not only because populations of many agents are included, but also as these are composed of different classes of households driven by specific motivations. We simulate various policy scenarios, combining in different ways a carbon tax, a reduction of labor taxes, subsidies for green innovation, a price subsidy to consumers for less carbon-intensive products, and green government procurement. The results show pronounced differences with those obtained by rational-agent model studies. It turns out that demand-oriented subsidies lead to lower unemployment and higher output, but perform less well in terms of carbon emissions. The supply-oriented subsidy for green innovation results in a significant reduction of carbon emissions with a slight reduction of unemployment.
    Keywords: Agent based modelling; climate change; bounded rationality; carbon productivity; environmental innovation; double dividend; other-regarding preferences
    JEL: B52 C63 H3 Q55
    Date: 2015–02
  5. By: Joseph Francois (World Trade Institute); Bertin Martens (European Commission – JRC - IPTS); Fan Yang (Hohenheim University)
    Abstract: We use data on cross-border e-commerce between EU Member States to estimate the implied cross-border trade cost reduction when consumers move from offline to online consumption. We plug this trade cost estimate into a macro-sector multi-country CGE model to estimate the impact of online retailing on consumers as well as producers. We find that cross-border e-commerce increases real household consumption. However, the domestic spill-over effect squeezes price margins in the retail sector and has a negative output effect for that sector. The resulting retail sector efficiency gains have a positive effect on production in other sectors. The combined macro-economic effect of these transmission channels is generally positive for EU Member States, ranging between 0.07 and 0.25 per cent of GDP. As such, this paper adds an innovative macro-perspective to existing micro-economic estimates of the impact of e-commerce on consumer welfare.
    Keywords: e-commerce, online trade, cross-border trade, international trade, EU digital single market, CGE model, non-tariff barriers
    JEL: F14 C54
    Date: 2014–09
  6. By: Christoph Böhringer, Nicholas Rivers, Thomas F. Rutherford, Randall Wigle (Wilfrid Laurier University)
    Abstract: Dividing the burden for greenhouse gas abatement amongst the provinces has proven challenging in Canada, and is a major factor contributing to Canada’s poor historic performance on greenhouse gas abatement. As the country aims to achieve substantial cuts to emissions over the next decade and by mid-century, such burden sharing considerations are likely to be elevated in importance. This paper uses a detailed Canadian computable general equilibrium model to compare a number of archetypal rules for sharing the burden of a joint commitment amongst members for the case of greenhouse gas reductions in Canada. Because of the substantial heterogeneity amongst Canadian provinces, these different burden sharing rules imply significantly different relative abatement effort amongst provinces, and also significantly different welfare implications. We compare these archetypal burden sharing rules to existing provincial emission reduction commitments, and find that none of the standard burden sharing rules comes close to existing commitments. We argue that future efforts to share the burden of greenhouse gas abatement in Canada would be more successful if they were informed by a formal analysis such as the one presented here.
    Keywords: climate change, burden sharing, policy, computable general equilibrium model
    JEL: C68 Q50
    Date: 2015–01–01

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