nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒04‒02
ten papers chosen by
Stan Miles
Thompson Rivers University

  1. An agriculture-focused, regionally disaggregated SAM for Mexico 2008 By Luis Carlos Jemio; Lykke E. Andersen; Clemens Breisinger; Manfred Wiebelt
  2. Economic Impacts of Korea-Turkey FTA By Kilinc, Zubeyir; Mavuş, Merve; Oduncu, Arif
  3. Research joint ventures in an R&D driven market with evolving consumer preferences: An evolutionary multi-agent based modelling approach By Cevikarslan S.
  4. An Economic Analysis For The Capacitated Hub Location-Routing Problem By Ji Ung Sun
  5. Fiscal Policy Matters A New DSGE Model for Slovakia By Zuzana Mucka; Michal Horvath
  6. Agent-Based E-Commerce and its Contribution to Economy By Isil Karabey; Ugur Guven Adar
  7. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix) By Anne Péguin-Feissolle; Bilel Sanhaji
  8. Fast Bellman Iteration: An Application of Legendre-Fenchel Duality to In nite-Horizon Dynamic Programming in Discrete Time By Ronaldo Carpio; Takashi Kamihigashi
  9. Ranking economics journals using data from a national research evaluation exercise By Arne Risa Hole
  10. Multi-criteria Classification for Pricing European Options By Nikola Gradojevic

  1. By: Luis Carlos Jemio (Institute for Advanced Development Studies (INESAD)); Lykke E. Andersen (Institute for Advanced Development Studies (INESAD)); Clemens Breisinger (International Food Policy Research Institute, Washington, D.C.); Manfred Wiebelt (Kiel Institute for the World Economy, Kiel, Germany)
    Abstract: This paper describes the construction of a Social Accounting Matrix (SAM) for the Mexican economy for year 2008. It presents the methodology and data sources used, assumptions made, criteria adopted to disaggregate the SAM’s accounts and the main results obtained. The Mexico SAM was built as the main data base for the calibration of a Computable General Equilibrium (CGE) Model, used to investigate the quantitative effects of climate change on the Mexican economy, with emphasis on analyzing its distributional impacts. Since the effects of climate change are mainly transmitted to the economy through the agricultural sector and since impacts on agriculture differ across regions, the Mexico SAM presents a significant disaggregation in the accounts referred to the agricultural activities and to income distribution, redistribution and income spending across households and regions. The final disaggregated SAM is quite large and is included in the accompanying spreadsheet file.
    Keywords: Social Accounting Matrix, Mexico
    Date: 2015–02
  2. By: Kilinc, Zubeyir; Mavuş, Merve; Oduncu, Arif
    Abstract: The trade volume and diversity of the products traded between Korea and Turkey have been increasing since early 2000s. On top of this, the enthusiasm of the countries in exploring new opportunities led them to start the negotiations on signing a free trade agreement in 2010. The process was finalized in 2012. The agreement foresees that all of the trade tariffs on industrial products and most of the tariffs on agricultural products will be removed in seven and ten years, respectively. To the best of our knowledge, this study is the first one that investigates possible economic impacts of this agreement on Korean and Turkish economies. It employs a computable general equilibrium model and uses the Global Trade Analysis Project database. It finds that the agreement will benefit both parties in terms of GDP and export. In particular, total gains of Korea and Turkey would be as high as 0.129 and 0.054 percent of their respective GDPs. Finally, the exports of Korea might increase by up to 0.139 percent where that of Turkey might increase by 0.164 percent.
    Keywords: Computable General Equilibrium (CGE) Analysis, Free Trade Agreements (FTA), Global Trade Analysis Project (GTAP), Korea, and Turkey
    JEL: F10 F14
    Date: 2015–02
  3. By: Cevikarslan S. (UNU-MERIT)
    Abstract: RD collaborations have increasingly attracted the attention of both academic and business circles in the last couple of decades. Several empirical studies have concentrated on the firms incentives to participate in these collaborations. This paper presents an alternative approach to RD collaborations using an evolutionary, multi-agent based and sector-level RD model. The model will firstly be used to simulate the evolution of an RD driven market composed of profit-driven firms and boundedly rational consumers. Next, frequently discussed research questions in the relevant empirical literature will be explored. This modelling exercise will extend beyond a basic confirmation/rejection of these research questions by showing that the way a firm is defined as an RD collaborator has a significant effect on research results.
    Keywords: Current Heterodox Approaches: Institutional; Evolutionary; Production, Pricing, and Market Structure; Size Distribution of Firms; Innovation and Invention: Processes and Incentives;
    JEL: B52 L11 O31
    Date: 2015
  4. By: Ji Ung Sun (Department of Industrial & Management Engineering, Hankuk University of Foreign Studies)
    Abstract: Hub and spoke (H&S) network reflecting the scale economies through consolidation and a large amount of freight transportation is widely used to reduce total transportation costs. H&S network has transportation routes that go to the final destination point pass through hub linking destination from hub linking origin. In this paper we deal with a capacitated hub location-routing problem (HLRP). The HLRP not only considers the locations of the capacitated p-hubs but also deals with the vehicle routing problem for collection and delivery of goods. This problem is formulated as an integer programming model with the objective of the minimum total transportation cost and the fixed cost associated with the establishment of hubs. As the HLRP has impractically demanding for the large sized problems, we develop a solution method based on ant colony optimization algorithm which solves hub location and vehicle routing problem hierarchically. Its performance is examined through a comparative study.
    Keywords: Hub and Spoke Network, Hub Location-Routing, Integer Programming, Ant Colony Optimization
    JEL: C61 R40 C52
    Date: 2014–05
  5. By: Zuzana Mucka (Council for Budget Responsibility); Michal Horvath (Council for Budget Responsibility)
    Abstract: The paper sets out a DSGE model designed and calibrated to match key stylized facts about the Slovak economy. The model includes a detailed fiscal policy block that allows a thorough analysis of fiscal policy measures. To evaluate the performance of the model, the response of the economy to a technology shock and to a foreign demand shock is considered under alternative fiscal adjustment scenarios. We find that a well-designed programme involving increases in transfers as well as taxes can stabilize the economy in the short run and improve longer-term growth prospects following a shock with adverse fiscal implications. We study the consequences of fiscal policy shocks in and away from the steady state of the model. The exercise yields implied fiscal multipliers that are large in spite of Slovakia being a small open economy. Cutting infrastructure spending or raising taxes on consumption and employment are particularly bad for the real economy in a recession.
    Keywords: dynamic stochastic general equilibrium model, simulations, fiscal rules, fiscal multipliers, fiscal consolidation
    JEL: E32 C61 C63 D58 E62 H63 H5
    Date: 2015–03
    Abstract: Today the importance of e-commerce increases in line with the rise in the number of internet users. The complexity and the excess of information in internet make the use of semantic web in e-commerce mandatory. In practice, semantic web uses agents for economic income. Agents are integrated into e-commerce systems such as B2C (Business to Consumer) and B2B (Business to Business). So, agents enable the exchange between customers and sellers and allow shopping transaction. Multi-agent systems are generally used in agent-based e-commerce systems. Negotiation and auction gained importance in these multi-agent systems. There are some differences between B2B and B2C agent systems. These differences can be exemplified by some systems such as MIT’s KASBAH or E-bay’s AuctionBot. With these systems, buyers can purchase with the minimum prices and sellers can reach more costumers without advertisement. In this paper, the benefits and challenges of agent based e-commerce is investigated and the contribution of the use of agents in B2B (Business to Business) e-commerce systems to the economy is examined.
    Keywords: e-commerce, agent-based e-commerce systems, multi-agent systems, economic agents.
    JEL: O32 O39
    Date: 2014–10
  7. By: Anne Péguin-Feissolle (Aix Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, Aix-Marseille); Bilel Sanhaji (Aix Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, Aix-Marseille)
    Abstract: We introduce two multivariate constant conditional correlation tests that require little knowledge of the functional relationship determining the conditional correlations. The first test is based on artificial neural networks and the second one is based on a Taylor expansion of each unknown conditional correlation. These new tests can be seen as general misspecification tests of a large set of multivariate GARCH-type models. We investigate the size and the power of these tests through Monte Carlo experiments. Moreover, we study their robustness to non-normality by simulating some models such as the GARCH?t and Beta?t?EGARCH models. We give some illustrative empirical examples based on financial data.
    Keywords: multivariate GARCH, neural network, Taylor expansion
    JEL: C22 C45 C58
    Date: 2015–03–10
  8. By: Ronaldo Carpio (School of Business and Finance, University of International Business and Economics); Takashi Kamihigashi (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)
    Abstract: We propose an algorithm, which we call "Fast Bellman Iteration" (FBI), to compute the value function of an infinite-horizon dynamic programming problem in discrete time. FBI is an extremely efficient linear-time algorithm applicable to a class of multidimensional dynamic programming problems with concave return (or convex cost) functions and linear constraints. In this algorithm, a sequence of functions is generated starting from the zero function by repeatedly applying a simple algebraic rule involving the Legendre-Fenchel transform of the return function. The resulting sequence is guaranteed to converge, and the Legendre-Fenchel transform of the limiting function coincides with the value function.
    Date: 2015–03
  9. By: Arne Risa Hole (Department of Economics, University of Sheffield)
    Abstract: This paper describes an algorithm for creating a ranking of economics journals using data from the 2014 UK Research Excellence Framework (REF) exercise. The ranking generated by the algorithm can be viewed as a measure of the average quality of the papers published in the journal, as judged by the REF Economics and Econometrics sub-panel, based on the outputs submitted to the REF.
    Keywords: Journal ranking, Research Excellence Framework
    JEL: A1
    Date: 2015–03
  10. By: Nikola Gradojevic (IÉSEG School of Management (LEM-CNRS), Lille Catholic University, France; The Rimini Centre for Economic Analysis, Italy)
    Abstract: This paper builds a novel multi-criteria, non-parametric classification framework in order to improve the accuracy of pricing European options. The proposed approach is based on classifying financial options according to their implied volatility, time to maturity and moneyness. Using a recent data set for the daily S&P 500 index call options traded in 2012, the multi-criteria modular neural network model demonstrates its superior out-of-sample pricing performance relative to competing parametric and non-parametric models. By observing the model’s pricing errors across various option types, the analysis provides additional insights into pricing biases and stresses the importance of selecting appropriate classification criteria.
    Date: 2015–03

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