nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒07‒11
thirteen papers chosen by
Stan Miles
Thompson Rivers University

  1. The implications for trade and FDI flows from liberalisation of China's capital account By George Verikios
  2. Regression and kriging metamodels with their experimental designs in simulation : review By Kleijnen, J.P.C.
  3. The Impact of LNG Export Expansion in Queensland, with special emphasis on the effects of increased gas prices By Philip Adams
  4. Validating the assumptions of sequential bifurcation in factor screening By Shi, W.; Kleijnen, J.P.C.
  5. A Tax Benefit Model for Policy Evaluation in Luxembourg: LuxTaxBen By Islam, Nizamul; Flood, Lennart
  6. Exploring Network Behavior Using Cluster Analysis By Rong Rong; Daniel Houser
  7. Potential effects of Statutory Minimum Wage on the Gender Pay Gap: A Simulation-Based Study for Germany By Christina Boll; Hendrik Hüning; Julian Leppin; Johannes Puckelwald
  8. Patient Prognosis from Vital Sign Time Series: Combining Convolutional Neural Networks with a Dynamical Systems Approach By Li-wei Lehman; Mohammad Ghassemi; Jasper Snoek; Nemati, Shamim
  9. Shifting taxes from labor to consumption: More employment and more inequality By Pestel, Nico; Sommer, Eric
  10. Endogenizing take-up of social assistance in a microsimulation model : a case study for Germany By Wiemers, Jürgen
  11. Time-Varying Fiscal Multipliers in an Agent-Based Model with Credit Rationing By Mauro Napoletano; Andrea Roventini; Jean-Luc Gaffard
  12. Searching for Information* By Han, Jungsuk; Sangiorgi, Francesco
  13. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes By Mehmet Balcilar; Rangan Gupta; Anandamayee Majumdar; Stephen Miller

  1. By: George Verikios
    Abstract: We model the partial liberalisation of the capital account by China using a dynamic CGE model of the world economy. Our results indicate that a reduced capital controls on FDI would lead to a significant increase in FDI capital in China and a significant reduction in the cost of capital in China relative to the rest of the world. Further, we observe an increase in capital stocks in all regions, which benefits all regions in terms of GDP and GNP. The economies of China (1.7%), East Asia (1.3%) and Australia/New Zealand (0.5%) grow most strongly. The rental price of capital falls significantly in these regions, which lowers domestic costs and they experience a real depreciation of the exchange rate and thus increased exports relative to other regions. We also observe an across-the-board increase in the saving rate driven by the rise in the price of consumption relative to investment (saving) in all regions.
    Keywords: capital controls, China, computable general equilibrium, FDI, multinational firms, trade
    JEL: C68 E22 F21 F23 F40
    Date: 2014–01
  2. By: Kleijnen, J.P.C. (Tilburg University, Center For Economic Research)
    Abstract: This article reviews the design and analysis of simulation experiments. It focusses on analysis via either low-order polynomial regression or Kriging (also known as Gaussian process) metamodels. The type of metamodel determines the design of the experiment, which determines the input combinations of the simulation experiment. For example, a …first-order polynomial metamodel requires a "resolution-III" design, whereas Kriging may use Latin hypercube sampling. Polynomials of fi…rst or second order require resolution III, IV, V, or "central composite" designs. Before applying either regression or Kriging, sequential bifurcation may be applied to screen a great many inputs. Optimization of the simulated system may use either a sequence of low-order polynomials known as response surface methodology (RSM) or Kriging models …tted through sequential designs including e¢ cient global optimization (EGO). The review includes robust optimization, which accounts for uncertain simulation inputs.
    Keywords: robustness and sensitivity; simulation; metamodel; design; regression; Kriging
    JEL: C0 C1 C9 C15 C44
    Date: 2015
  3. By: Philip Adams
    Abstract: The large Queensland LNG projects currently under construction will begin production over the next two years. Exploiting previously unused reserves of coal seam gas, the LNG produced will be sold at an international price which far exceeds the current price of natural gas in Eastern Australia. The new exports of LNG will therefore boost Australia's exports and terms of trade, leading to increased real GDP and welfare for the national economy. But this is only one part of the overall impacts of the new projects. Through competitive pressures, the price premium received for unconventional Queensland gas will lead to increased prices for gas throughout Eastern Australia. This will increase costs of production for energy-intensive industries. For those industries (and regions) which cannot pass on the cost increases, production will fall. In this paper, using the Victoria University Regional Model (VURM), we report on simulations designed to provide a balanced assessment of the costs and benefits of the new LNG projects. Key findings are: During construction, the projects boost real GDP and national welfare, and have a positive impact on most industries and most regional economies; During the mature, production phase, the national impacts are marginal. Real GDP is stimulated slightly, while national welfare is hardly affected. Some industries gain production, particularly electricity-related sectors that benefit from favourable price-induced substitution effects. Other industries lose production, due to the adverse cost impacts of increased gas and electricity prices. Because some industries gain, while other industries lose, so some regions gain real GSP and employment (Queensland), while other regions lose (notably Victoria and South Australia). The projects will lead to higher CO2-e emissions, due to the stimulus to coal-fired electricity.
    Keywords: CGE modelling, Gas production, LNG exports, Australian economy
    JEL: C68 D58 F43 O40
    Date: 2014–11
  4. By: Shi, W.; Kleijnen, J.P.C. (Tilburg University, Center For Economic Research)
    Abstract: Sequential bifurcation (SB) is a very efficient and effective method for identifying the important factors (inputs) of simulation models with very many factors, provided the SB assumptions are valid. A variant of SB called multiresponse SB (MSB) can be applied to simulation models with multiple types of responses (outputs). The specific SB and MSB assumptions are: (i) a second-order<br/>polynomial per output is an adequate approximation (valid metamodel) of the implicit input/output function of the underlying simulation model; (ii) the directions (signs) of the first-order effects are known (so the first-order polynomial approximation per output is monotonic); (iii) heredity applies; i.e., if an input has no important first-order effect, then this input has no important second-order effects. To validate these three assumptions, we develop new methods. We compare these methods through Monte Carlo experiments and a case study.
    Keywords: simulation; sensitivity analysis; Design of experiments; statistical analysis
    JEL: C0 C1 C9 C15 C44
    Date: 2015
  5. By: Islam, Nizamul (LISER (CEPS/INSTEAD)); Flood, Lennart (University of Gothenburg)
    Abstract: We develop a behavioural micro simulation model (LuxTaxBen) that contains very precise information on income tax rules, as well as eligibility-rules for a number of welfare programs, such as social assistance, housing allowance etc. The model has been built specifically for analysing the Luxembourgish tax-transfer system whereby one can generate disposable income for various combinations of hours of work and welfare. It can be used for calculating accurate (net) household incomes conditional on labour supply while income tax rules and the various welfare benefit-levels are complicated functions of earned and unearned income. The LuxTaxBen is capable to handle almost all parts of the Luxembourg tax and transfer systems. Such a model has a great potential to be used for evaluating the effects of tax-benefit policy reforms and other changes on poverty, inequality, incentives and the governmental budget. It provides the users the opportunity to simulate the new rules in the Luxembourg tax-transfer system. The model consists of a number of modules such as module for child benefit, housing allowance, fees for child care. It is constructed in an integrated way so all the modules can be used together. This means that it is possible to analyses the interaction between the different transfer systems.
    Keywords: micro simulation, distributional and behavioural effect, welfare
    JEL: C8 D31 H24
    Date: 2015–06
  6. By: Rong Rong (Department of Economics, Weber State University); Daniel Houser (Interdisciplinary Center for Economic Science and Department of Economics, George Mason University)
    Abstract: Innovation occurs in network environments. Identifying the important players in the innovative  process,  namely  “the  innovatorsâ€,  is  key to understanding the process of innovation. Doing this requires flexible analysis tools tailored to work well with complex datasets generated within such environments. One such tool, cluster analysis, organizes a large data set into discrete groups based on patterns of similarity. It can be used to discover data patterns in networks without requiring strong ex ante assumptions about the properties of either the data generating process or the environment. This paper reviews key procedures and algorithms related to cluster analysis. Further, it demonstrates how to choose among these methods to identify the characteristics of players in a network experiment where innovation emerges endogenously. Length: 30
    Keywords: cluster analysis, k-means algorithm, innovation, networks, laboratory experiment
    JEL: C46 C81
    Date: 2014–10
  7. By: Christina Boll; Hendrik Hüning; Julian Leppin; Johannes Puckelwald
    Abstract: In a simulation-based study with data from the German Socio-Economic Panel Study (SOEP), we analyze the effects of the newly introduced statutory minimum wage of 8.50 Euro per working hour in Germany on the gender wage gap. In our first scenario where we abstain from employment effects, the pay differential is reduced by 2.5 percentage points from 19.6 % to 17.1 %, due to a reduction of the sticky-floor effect at the bottom of the wage distribution. In more realistic scenarios where we incorporate minimum wage effects on labor demand, a further reduction of the pay gap by 0.2 pp (1.2 pp) in case of a monopsonistic (neoclassical) labor market is achieved. However, this comes at the cost of job losses by which women are more strongly affected than men. The magnitude of job losses ranges be-tween 0.2 % and 3.0 % of all employees. It is higher in a neoclassical market setting and positively related to the assumed wage elasticity.
    Keywords: Minimum wage, labor demand, wage elasticity, gender pay gap, monopsony
    JEL: J31 J23 J16
    Date: 2015
  8. By: Li-wei Lehman; Mohammad Ghassemi; Jasper Snoek; Nemati, Shamim
    Date: 2015–01
  9. By: Pestel, Nico; Sommer, Eric
    Abstract: This paper investigates the effect of shifting taxes from labor income to consumption on labor supply and the distribution of income in Germany. We simulate stepwise increases in the value-added tax (VAT) rate, which are compensated by revenue-neutral reductions in income-related taxes. We differentiate between the personal income tax (PIT) and social security contributions (SSC). Based on a dual data base and a microsimulation model of household labor supply behavior, we find a regressive impact of such a tax shift in the short run. When accounting for labor supply adjustments, the adverse distributional impact persists for PIT reductions, while the overall effects on inequality and progressivity become lower when payroll taxes are reduced. This is partly due to increases in aggregate labor supply, resulting from higher work incentives.
    Keywords: income and payroll taxes,consumption taxes,microsimulation,inequality,Germany
    JEL: C63 D31 H23
    Date: 2015
  10. By: Wiemers, Jürgen (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany])
    Abstract: "Microsimulation studies typically assume that all entitlements to means-tested benefits are actually claimed by eligible households, despite a large body of research that suggests that take-up rates are substantially below 100%. The assumption of full take-up tends to exaggerate the simulated increase in caseloads and fiscal costs of a social policy reform. This paper investigates the impact of non-take-up for two hypothetical scenarios, namely increasing and decreasing the base amount of social assistance in Germany by EURO 100 per month. We find a substantial effect of considering non-take-up on the simulated change in fiscal costs and in particular on the change in caseloads, where the full take-up assumption exaggerates the latter change by a factor of about two." (Author's abstract, IAB-Doku) ((en))
    Keywords: leistungsberechtigte Arbeitslose, Arbeitslosengeld II, Leistungsanspruch - Inanspruchnahme, Simulation, Sozialgesetzbuch XII, Nicht-Inanspruchnahme
    JEL: I38 H31 C15
    Date: 2015–07–07
  11. By: Mauro Napoletano; Andrea Roventini; Jean-Luc Gaffard
    Abstract: We build an agent-based model populated by households with heterogenous and time-varying nancial conditions in order to study how scal multipliers can change over the business cycle and are aected by the state of credit markets. We nd that decit-spending scal policy dampens the eect of bankruptcy shocks and lowers their persistence. Moreover, the size and dynamics of government spending multipli- ers are related to the degree and persistence of credit rationing in the economy. On the contrary, in presence of balanced-budget rules, output permanently falls below pre-shock levels and the ensuing multipliers fall below one and are much lower than the ones emerging from the decit-spending policy. Finally, we show that dierent conditions in the credit market signicantly aect the size and the evolution of scal multipliers.
    Keywords: fiscal multipliers, agent-based models, credit-rationing, balance-sheet recession, bankruptcy shocks
    Date: 2015–09–07
  12. By: Han, Jungsuk (Stockholm School of Economics); Sangiorgi, Francesco (Stockholm School of Economics)
    Abstract: This paper provides a microfounded information acquisition technology based on a simple framework with information search. When searchable information is limited, an agent encounters increasingly more redundant information in his search for new information. Redundancy slows down the learning process and generates decreasing returns. Further- more, as multiple agents search for information from the same source, limited searchabil- ity leads to covariance as the acquired information becomes increasingly more overlapped among agents. Using an asymptotic approach, we construct a tractable mapping from resource (attention) allocations to the precision and the correlation of agents’information under varying degrees of searchability of information. We study two economic applica- tions with endogenous information acquisition using our model: (i) a “beauty contest” coordination game, and (ii) a noisy rational expectations equilibrium.
    Keywords: information processing; concavity; precision; asymptotic analysis; coordina- tion games; portfolio choice; …nancial equilibrium
    JEL: C65 D80 D81 D83 G11 G14
    Date: 2015–05–01
  13. By: Mehmet Balcilar; Rangan Gupta (Department of Economics, Eastern Mediteranean University); Anandamayee Majumdar (Department of Finance, Grandiose University); Stephen Miller
    Abstract: This paper provides out-of-sample forecasts of Nevada gross gaming revenue and taxable sales using a battery of linear and non-linear forecasting models and univariate and multivariate techniques. The linear models include vector autoregressive and vector error-correction models with and without Bayesian priors. The non-linear models include non-parametric and semiparametric models, smooth transition autoregressive models and artificial neural network autoregressive models. In addition to gross gaming revenue and taxable sales, we employ recently constructed coincident and leading employment indexes for Nevada’s economy. We conclude that non-linear models generally outperform linear models in forecasting future movements in gross gaming revenue and taxable sales.
    Keywords: Forecasting, Linear and non-linear models, Nevada gross gaming revenue, Nevada taxable sales
    JEL: C32 R31

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