nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒08‒01
ten papers chosen by

  1. Neural Network Estimators of Binary Choice Processes: Estimation, Marginal Effects and WTP By Bergtold, Jason S.; Ramsey, Steven M.
  2. Detect & Describe: Deep learning of bank stress in the news By Samuel R\"onnqvist; Peter Sarlin
  3. The economic impact of climate change on cash crop farms in Quebec and Ontario By An, Ning; Thomassin, Paul J.
  4. Evaluation of Economic, Land Use, and Land Use Emission Impacts of Substituting Non-GMO Crops for GMO in the US By Taheripour, Farzad; Mahaffey, Harry; Tyner, Wallace E.
  5. Economic Returns and Risk Analysis of Forage Wrapping Technologies By Pruitt, J. Ross; Lacy, R. Curt; Hancock, Dennis W
  6. Embedding an Individual-Based Model of Wildlife Disturbance in an Agent-Based Model of Outdoor Recreation By Atallah, Shady S.; Cohen, Alexander; Zollner, Patrick
  7. Water Scarcity in South Asia: A Dynamic Computable General Equilibrium Analysis By Narayanan, Badri G.; Taheripour, Farzad; Hertel, Thomas W.; Sahin, Sebnem; Escurra, Jorge J.
  8. Agricultural production, irrigation, climate change, and water scarcity in India By Taheripour, Farzad; Hertel, Thomas W.; Gopalakrishnan, Badri N.; Sahin, Sebnem; Escurra, Jorge J.
  9. Accounting for tax evasion profiles and tax expenditures in microsimulation modelling. The BETAMOD model for personal income taxes in Italy By Andrea Albarea; Michele Bernasconi; Cinzia Di Novi; Anna Marenzi; Dino Rizzi; Francesca Zantomio
  10. Comonotonic Monte Carlo and its applications in option pricing and quantification of risk By Alain Chateauneuf; Mina Mostoufi; David Vyncke

  1. By: Bergtold, Jason S.; Ramsey, Steven M.
    Abstract: Estimation of binary choice models typically require that the econometric model satisfy the utility maximization hypothesis. The most widely used models for this purpose are the binary logit and probit models. To satisfy the utility maximization hypothesis the logit and probit models must make a priori assumptions regarding the underlying functional form of a representative utility function. Such a theoretical restriction on a statistical model withouth considering the underlying probabilistic structure of the observed data can leave the postulated estimable model statistically misspecified. Feed-forward back-propagation artificial neural networks (FFBANN) provide a potentially powerful semi-nonparametric method to avoid misspecifications. This paper shows that a single-hidden layer FFBANN can be interpreted as a logistic regression with a flexible index function. An empirical application is conducted using FFBANNs to model a contingent valuation study and estimate marginal effects and willingness-to-pay. Results are used for comparison with more traditional methods such as the binary logit and probit models.
    Keywords: Binary Choice, Contingent Valuation, Logistic Regression, Neural Networks, Marginal Effects, Seminonparametric, Willingness to Pay, Environmental Economics and Policy, Research Methods/ Statistical Methods, Resource /Energy Economics and Policy,
    Date: 2015
  2. By: Samuel R\"onnqvist; Peter Sarlin
    Abstract: News is a pertinent source of information on financial risks and stress factors, which nevertheless is challenging to harness due to the sparse and unstructured nature of natural text. We propose an approach based on distributional semantics and deep learning with neural networks to model and link text to a scarce set of bank distress events. Through unsupervised training, we learn semantic vector representations of news articles as predictors of distress events. The predictive model that we learn can signal coinciding stress with an aggregated index at bank or European level, while crucially allowing for automatic extraction of text descriptions of the events, based on passages with high stress levels. The method offers insight that models based on other types of data cannot provide, while offering a general means for interpreting this type of semantic-predictive model. We model bank distress with data on 243 events and 6.6M news articles for 101 large European banks.
    Date: 2015–07
  3. By: An, Ning; Thomassin, Paul J.
    Abstract: This paper examines the economic impact of alternative climate change scenarios on representative cash crop farms in Quebec and Ontario. Mixed Integer Dynamic Linear Programming models are used to determine the annual optimal land and labor allocations over a 30 year time horizon. In the modeling process, five climate scenarios are modeled, along with different combinations of CO2 enhancement and water limitation. Parameters, such as crop prices, costs of production, and crop yields, are simulated and projected into the future using various methods, such as Monte Carlo simulation, Crystal Ball Predictor and DSSAT cropping system model. Rotation and diversification constraints, as well as participation in public risk management programs are also incorporated into the optimization procedures. The results show that the economic impact of climate change varies by scenario, with the CO2 effect and water limitation having a more significant effect than the specific climate scenarios. Technology development, as well as the public insurance programs can contribute to the reduction of economic vulnerability.
    Keywords: Climate change, economic impacts, technological change, institutional change, Agricultural and Food Policy, Environmental Economics and Policy, Farm Management,
    Date: 2015
  4. By: Taheripour, Farzad; Mahaffey, Harry; Tyner, Wallace E.
    Abstract: The main objective of this study was to evaluate what would be the economic and environmental consequences of losing the GMO traits in the U.S. for the major crops of corn, soybeans, and cotton. The first step was to obtain from the literature a range of estimates of the yield loses if we move away from GMO traits in the U.S. The second step was to introduce the yield losses obtained in the first step into a well know CGE model, GTAP-BIO, to quantify the land use and economic impacts of banning GMO traits in the U.S. Our analyses confirms that if we do not have access to the GMO technology, a significant amount of land would need to be converted from other crops, cropland pasture, pasture, and forest to meet the global food demand. The land expansion likely is similar to the entire U.S. ethanol program. Furthermore, induced land use emissions were significantly larger that the corresponding figure for corn ethanol. Generally, the global savings in land use emissions due to using GMO crops in the US range between 7 and 17 percent of global agricultural emissions. The price changes for corn were as high as 28% and for soybeans as high as 22%. In general, the price increases for the reference and average cases were higher than those observed previously for biofuel shocks. Food price changes in the U.S. amount to $14 - $24 billion per year. As expected, welfare falls both in the U.S. and globally.
    Keywords: GMO Crops, Productivity, Computable General Equilibrium, Economic Impacts, Land Use, Land Use Emissions, Crop Production/Industries, Land Economics/Use, Productivity Analysis,
    Date: 2015
  5. By: Pruitt, J. Ross; Lacy, R. Curt; Hancock, Dennis W
    Abstract: Use of bale wrapping technology allows beef cow-calf producers to lower their forage costs while improving the nutritional content of stored forages. Using stochastic simulation, we evaluate the cost savings a cow-calf operation may experience by adopting this technology. This technology can lower per head feed costs for larger herds.
    Keywords: baleage, economics, simulation, Bermuda grass, winter annuals, beef cow-calf, Farm Management,
    Date: 2014
  6. By: Atallah, Shady S.; Cohen, Alexander; Zollner, Patrick
    Keywords: Agent-Based Model, Coupled Natural Human Systems, Ecological Economics, Outdoor Recreation, Wildlife Disturbance., Resource /Energy Economics and Policy, C63, Q26, Q57,
    Date: 2015
  7. By: Narayanan, Badri G.; Taheripour, Farzad; Hertel, Thomas W.; Sahin, Sebnem; Escurra, Jorge J.
    Abstract: The economy of South Asia faces serious challenges in water availability, which are expected to aggravate over the coming decades. In this context, we assess the long-run economy-wide impact of potential water scarcity in South Asia within a global context. This paper uses a dynamic Computable General Equilibrium (CGE) model, in tandem with an advanced comparative static CGE model, to examine the differences in economic growth possibilities in South Asia with and without water scarcity. Alternative assumptions on substitution between water and other inputs are considered. Our analysis shows that water scarcity is likely to affect economic growth of entire South Asian region adversely, more so in the future years. The potential losses for not pursuing productivity improvements in water use are huge, ranging from 7% to 45% of the potential GDP in 2030. Further looking at the sectoral impacts, we also find that water scarcity generates larger price impacts, particularly in the food sectors, in the medium term.
    Keywords: Agricultural and Food Policy, Environmental Economics and Policy, International Relations/Trade, Land Economics/Use, Resource /Energy Economics and Policy,
    Date: 2015
  8. By: Taheripour, Farzad; Hertel, Thomas W.; Gopalakrishnan, Badri N.; Sahin, Sebnem; Escurra, Jorge J.
    Abstract: This paper uses an advanced Computable General Equilibrium (CGE) model coupled with biophysical data on future changes in crop yields due to climate change to examine: 1) the consequences of climate change for India’s agricultural and food products; 2) the extent to which water scarcity can affect the irrigation adoption and demand for water; and 3) how water scarcity, climate change, and trade jointly alter land use changes across the Indian subcontinent. It shows that when water scarcity is ignored, irrigated areas grows due to changes in crop yields induced by climate change. When water scarcity is introduced, competition for water increases and that largely reduces demand for irrigation across all river basins in India. When available water for irrigation is not limited, climate change alone could moderately increase agricultural outputs at national level and that leads to some welfare gains. However, water scarcity, induced by expansion in water demand in non-agricultural uses and lack of water infrastructure, blocks the demand for irrigation and that generates significant negative impacts on the economy of India and its agricultural activates. The overall welfare losses due to water scarcity for this economy is expected to be about $3.2 billion (at 2007 prices) in 2030. With a 3% discount rate, the net present value of the annual reductions in welfare will be about $24.3 billion for 2008 to 2030.
    Keywords: India, Agriculture, Water Scarcity, Climate Change, Irrigation, General Equilibrium, Agricultural and Food Policy, Environmental Economics and Policy, Land Economics/Use,
    Date: 2015
  9. By: Andrea Albarea (Department of Economics, University Of Venice Cà Foscari); Michele Bernasconi (Department of Economics, University Of Venice Cà Foscari); Cinzia Di Novi (Department of Economics, University Of Venice Cà Foscari); Anna Marenzi (Department of Economics, University Of Venice Cà Foscari); Dino Rizzi (Department of Economics, University Of Venice Cà Foscari); Francesca Zantomio (Department of Economics, University Of Venice Cà Foscari)
    Abstract: The paper presents the main characteristics of BETAMOD, a static microsimulation model that reproduces the Italian personal income tax (IRPEF), as well as local income taxes, namely the regional and municipal additional income taxes, building on a detailed reconstruction of tax legislation. With respect to the vast majority of existing tax microsimulation models, the peculiarities of BETAMOD concern two aspects: the inclusion of a detailed set of tax expenditures, and the estimation of individual-specific tax evasion rates, which account for the total individual income level, its composition in terms of income sources, and the geographical area of residence.
    Keywords: Tax-benefit microsimulation, tax evasion, tax expenditures, SILC, Italy
    JEL: C15 C63 H20 H24 H26 H31
    Date: 2015
  10. By: Alain Chateauneuf (IPAG Business School et Centre d'Economie de la Sorbonne - Paris School of Economics); Mina Mostoufi (Centre d'Economie de la Sorbonne - Paris School of Economics); David Vyncke (Universiteit Gent)
    Abstract: Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting, such as estimating the Tail Value-at-Risk for large portfolios or pricing basket options and Asian options. For these types of problems, one can construct an upper bound in the convex order by replacing the copula by the comonotonic copula. This comonotonic upper bound can be computed very quickly, but it gives only a rough approximation. In this paper we introduce the Comonotonic Monte Carlo (CoMC) similation, by using the comonotonic approximation as a control variate. The CoMC is of broad applicability and numerical results show a remarkable speed improvement. We illustrate the method for estimating Tail Value-at-Risk and pricing basket options and Asian options when the logreturns follow a Black-Scholes model or a variance gamma model
    Keywords: Control Variate Monte Carlo; Comonotonicity; Option pricing
    JEL: G17 C02 C13 C15 C63
    Date: 2015–02

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