nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒08‒13
fourteen papers chosen by
Stan Miles
Thompson Rivers University

  1. Macroeconomic Modelling of R&D and Innovation Policies By Francesco Di Comite; D'Artis Kancs; Wouter Torfs
  2. Vehicle routing with source selection: Integration sourcing in fleet deployment By Schönberger, Jörn
  3. Myanmar: Long-Term Scenarios for Sustained Macroeconomic Growth By Roland-Holst, David; Park, Cyn-Young
  4. Impact of a Financial Transaction Tax on a Financial Market By Roman Šperka; Irena Szarowská
  5. Real and financial crises in the Keynes-Kalecki structuralist model: An agent-based approach By Bill Gibson; Mark Setterfield
  6. Statistical Emulators for Pricing and Hedging Longevity Risk Products By James Risk; Michael Ludkovski
  7. Shifting Taxes from Labour to Property. A Simulation under Labour Market Equilibrium By Flavia Coda Moscarola; Ugo Colombino; Francesco Figari; Marilena Locatelli
  8. Going Dutch? The Impact of Oil Price Shocks on the Canadian Economy By Kenneth James McKenzie; Jared C. Carbone
  9. The Distributional Effects of Consumption Taxes in New Zealand By Thomas, Alastair
  10. Working for Families changes: The effect on labour supply in New Zealand By Penny Mok; Joseph Mercante
  11. Scheduling of sport leage systems with inter-leage constraints By Schönberger, Jörn
  12. Private Road Networks with Uncertain Demand By Xinying Fu; Vincent van den Berg; Erik T. Verhoef
  13. Identification of preferences in network formation games By Ãureo de Paula; Seth Richards-Shubik; Elie Tamer
  14. San Diego I-15 Demonstration Integrated Corridor Management System: PATH Report on Stage 3: Site Demonstration and Evaluation By Dion, Francois; Skabardonis, Alexander

  1. By: Francesco Di Comite (European Commission – JRC - IPTS); D'Artis Kancs (European Commission – JRC - IPTS); Wouter Torfs (European Commission – JRC - IPTS)
    Abstract: This paper presents and applies a dynamic spatial computable general equilibrium model - RHOMOLO - to assess the impact of research, technological development and innovation policies in the EU. RHOMOLO is parameterised by econometrically estimating the relationship between regional productivity and R\&D intensity by applying a technology catch-up model to the EU regional context. Our simulation results suggest that a dynamic spatial computable general equilibrium approach is particularly useful for handling spillovers of investments in the innovation capacity of the regions, both of which cannot be captured by models in which the spatial structure is not present. The paper shows the strengths and limitations of the approach, and the advantages of aligning the spatially and sectorally disaggregated models with more aggregated dynamic macro models.
    Keywords: R&D, innovation policy, macroeconomic modelling, dynamic spatial general equilibrium, RHOMOLO, QUEST.
    JEL: C68 D24 D58 H50 O31 O32
    Date: 2015–07
  2. By: Schönberger, Jörn
    Abstract: We analyse the benefits and limitations of the integration of sourcing decisions into the operational route compilation task of a road-haulage company. A trucking company has to supply several customer sides. The demanded quantities are given. The trucking company has to decide which truck serves which customer location(s) (routing decisions). In contrast to previously reported fleet deployment problems the trucking company can select from several loading positions for each individual transport request (sourcing decisions). We propose a mathematical model for the integrated sourcing and vehicle routing decision problem. For this purpose, we merge a network flow model and a vehicle routing model. The first mentioned model represents the sourcing decision problem and the second model represents the fleet deployment (routing) decisions. We propose a matheuristic approach to solve the proposed integrated model. This matheuristic combines an algorithm for solving the network flow problem part and a metaheuristic that searches for least distance vehicle routes. Both algorithms interchange information through an adaptable distance matrix that is accessed by both algorithms. We use the proposed model-based approach to evaluate the benefits from integrating sourcing decisions in fleet deployment tasks and execute comprehensive computational experiments.
    Keywords: fleet deployment,sourcing,decision support,mathematical programming,artificial intelligence,matheuristic
    Date: 2015
  3. By: Roland-Holst, David (University of California Berkeley); Park, Cyn-Young (Asian Development Bank)
    Abstract: We use a dynamic forecasting model to evaluate a wide array of opportunities for sustained economic growth in Myanmar. Our simulation results suggest that the government of Myanmar can advance potential growth drivers, by maintaining a stable macroeconomic environment that is conducive to private investment, promoting human capital development and public investment, facilitating domestic and international private agencies for market development, and strengthening regional economic integration. The government needs a balanced approach to sector interests to promote inclusive and equitable growth. Increasing agricultural productivity, for example, will not only benefit the country’s rural poor majority, but it will also release labor resources to facilitate industrial and service sector development. Conversely, industrial and urban development will facilitate agrifood supply chains, improving market access and real incomes in rural areas. Public commitments to improving infrastructure, education, and public health will also be essential to realizing Myanmar’s vast economic potential.
    Keywords: Calibrated General Equilibrium (CGE) model; economic forecasting; Myanmar; policy simulation; potential growth
    JEL: D58 F41 O11 O47
    Date: 2015–04–01
  4. By: Roman Šperka (Departament of Informatics and Mathematics, School of Business Administration, Silesian University); Irena Szarowská (Department of Finance and Accounting, School of Business Administration, Silesian University)
    Abstract: The aim of this paper is to investigate the impact of financial transaction tax (FTT) on the stability of financial market. The paper presents an agent-based financial market model and simulations, in which agents follow technical and fundamental trading rules to determine their speculative investment positions. The model developed by Westerhoff (2009) was chosen for the implementation and it was extended by FTT and arising transaction costs. As FTT may be defined variously, assets are understood as a tax object in this paper. The model includes direct interactions between speculators due to which they may decide to change their trading behaviour and deals with a technical and fundamental strategy of market participants. Results suggest that the modified model has a tendency to stabilize itself in a long-term if the fundamental trading rules overbear the technical trading method. This could be used, when the bubbles and the crashes occur in a financial market. Assets price would be stabilized, because its value targets near the fundamental value and the volatility would be also minimized. Substantial is setting the FTT at a low rate for market stabilization. If FTT and consequent transaction costs are too high, the financial system destabilizes and the price grows without limit.
    Keywords: financial transaction tax, agent-based model, financial market, technical and fundamental analysis, simulation
    JEL: G12 G14 G18 C63 C88
    Date: 2015–07–31
  5. By: Bill Gibson (University of Vermont); Mark Setterfield (Department of Economics, New School for Social Research)
    Abstract: Agent-based models are inherently microstructures - with their attention to agent behavior in a field context - and only aggregate up to systems with recognizable macroeconomic characteristics. One might ask why the traditional Keynes-Kalecki or structuralist (KKS) model would bear any relationship to the multi-agent modeling approach. This paper shows how KKS models might benefit from agent-based microfoundations, without sacricing traditional macroeconomic themes, such as aggregate demand, animal sprits and endogenous money. Above all, the integration of the two approaches gives rise to the possibility that a KKS system - stable over many consecutive time periods - might lurch into an uncontrollable downturn, from which a recovery would require outside intervention. As a by-product of the integration of these two popular approaches, there emerges a cogent analysis of the network structure necessary to bind real and financial agents into a integrated whole. It is seen, contrary to much of the existing literature, that a highly connected financial system does not necessarily lead to more crashes of the integrated system.
    Keywords: Systemic risk; crash; herding; Bayesian learning; endogenous money; preferential attachment; agent-based models.
    JEL: D58 E37 G01 G12 B16 C00
    Date: 2015–08
  6. By: James Risk; Michael Ludkovski
    Abstract: We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of multi-dimensional stochastic processes. Except in the simplest cases, no closed-form expressions are available, necessitating numerical approximation. Rather than building ad hoc analytic approximations, we advocate the use of modern statistical tools from machine learning to generate a flexible, non-parametric surrogate for the true mappings. This method allows performance guarantees regarding approximation accuracy and removes the need for nested simulation. We illustrate our approach with case studies involving (i) a Lee-Carter model with mortality shocks, (ii) index-based static hedging with longevity basis risk; (iii) a Cairns-Blake-Dowd stochastic survival probability model.
    Date: 2015–08
  7. By: Flavia Coda Moscarola (University of Turin and CeRP-Collegio Carlo Alberto); Ugo Colombino (University of Turin); Francesco Figari (University of Insubria, and ISER University of Essex); Marilena Locatelli (University of Turin)
    Abstract: A tax shifting from labour income to housing taxation is generally advocated on efficiency grounds. However, most of the empirical literature focuses on the distributional implications of property tax reforms without paying much attention to potential consequences on the labour market. The aim of this paper is to fill this gap by investigating the effects of a tax shifting from labour income to property, guaranteeing revenue neutrality, and to assess the consequences of labour market equilibrium, both on occupation rates and income distribution. We propose to consider a hypothetical tax reform in Italy which uses the revenue of the tax on house property (actually implemented in 2012) for increasing tax credits on low incomes and making them refundable. In order to evaluate the reform we have developed a structural model of household labour supply which takes into account the labour market equilibrium conditions. Overall, the simulated policy provides a more effective income support and better incentives to work for low wage households and determines an improvement in inequality indexes.
    Date: 2015–07
  8. By: Kenneth James McKenzie (University of Calgary); Jared C. Carbone
    Abstract: We examine the steady-state impact of a 10 percent reduction in the price of oil using a CGE model of the Canadian economy. The model includes a high degree of disaggregation at both the sectoral and provincial level, international and interprovincial flows of goods and services, labour which is mobile between sectors, capital which is partly mobile both inter-provincially and inter-sectorally, and equilibrium exchange rate adjustments arising from the oil price shock. The key result of our simulations is that - on balance - a negative oil price shock leaves Canadians worse off. We also find that the welfare losses associated with a negative oil price shock are shared broadly across the provinces. The corollary, of course, is that a positive price shock leaves Canadians better off. Our results have implications for the presence (or significance) of Dutch Disease in Canada; we argue that the "disease" is just one of a number of effects generated by oil-price changes.
    Date: 2015–07–23
  9. By: Thomas, Alastair
    Abstract: This paper investigates the distributional effects of the GST in New Zealand, and the case for the introduction of reduced rates to address distributional concerns. The analysis is based on a consumption tax micro-simulation model constructed using expenditure micro-data from the Household Economic Survey for 2012/13. The distributional effects of excise taxes on tobacco, alcohol and petrol are also considered. The paper finds that the lifetime distributional impact of the GST is either proportional or at worst slightly regressive. Excise taxes are also found to be roughly proportional or slightly regressive, though they are of far smaller magnitude than GST burdens. Simulation results show that the introduction of a European-style multi-rate GST system would have a progressive impact on overall GST burdens, but that such a reform would benefit richer households significantly more than poorer households in dollar terms. Given it is the overall progressivity of the tax system that matters, New Zealand’s current approach of providing targeted support to poorer households via the Working for Families tax credit package can be seen as a far more cost effective way of supporting poorer households than the introduction of reduced GST rates for specific expenditure items.
    Keywords: GST, VAT, Excise taxes, Consumption taxes, Distributional effects,
    Date: 2015
  10. By: Penny Mok; Joseph Mercante (The Treasury)
    Abstract: This paper examines the labour supply responses to the Working for Families (WfF) package of welfare reforms, which was fully implemented in 2008. The policy changes were implemented with the aim to encourage benefit recipients to participate in the labour market and to address income adequacy issues for families with children. The results presented in this paper are obtained using the behavioural microsimulation model for New Zealand, TAXMOD-B. We used the Household Economic Survey (HES) in 2008/09 to capture the full effect of the policy. It is estimated that the introduction of the new policy increases labour supply of sole parents by an average of 0.62 hours per week, but decreases labour supply of married men and women by 0.10 and 0.50 hours per week, respectively. The negative effects for married couples with dependents are about 16 and 41 times larger than for married couples without dependents, with the largest difference observed for married women. A good way of validating the results is by comparing our exante simulated effects of a policy change with the ex-post estimated effects of the policy change after it has been introduced. While it is often difficult to find policy changes which could be used to test TAXMOD-B in a similar way, the Ministry of Social Development (MSD) and Inland Revenue department (IR) have estimated labour supply effects after the WfF changes were introduced. The overall labour supply results from the simulation are in the same direction and of similar magnitudes as the ex-post results from the WfF evaluation reports. Our analysis shows that after allowing for labour supply changes, the cost of the policy change increases for couples but decreases for sole parents. These changes in labour supply are reflected in the tax revenue, family payment and benefit income changes for both subgroups. Overall, our results show that the WfF reform reduced the incidence and intensity of poverty as well as income inequality.
    Keywords: Working for Families; labour supply; discrete choice model; microsimulation; New Zealand
    JEL: C25 J22
    Date: 2014–11
  11. By: Schönberger, Jörn
    Abstract: We investigate the simultaneous schedule determination of several leagues in a championship. Beside limited availability of venues, the substitution of players among teams of a club requires the consideration of mutual match slot exclusions associated with teams playing in different leagues during schedule construction. We propose a mathematical optimization model for this complicated decision task and report results from initial computational experiments.
    Date: 2015
  12. By: Xinying Fu (VU University Amsterdam, the Netherlands); Vincent van den Berg (VU University Amsterdam, the Netherlands); Erik T. Verhoef (VU University Amsterdam, the Netherlands)
    Abstract: There has been wide interest in private supply of roads as a solution to traffic congestion. We study its efficiency under demand uncertainty: we solve for equilibrium and optimum as benchmarks, and evaluate the efficiency of possible regulatory policies for private road operators. We obtain analytic solutions for simple networks and numerical simulation results for more complex ones. For two serial links and two parallel links, self-financing still holds in expected terms for the first-best case, even though the capacity is higher than the capacity for the deterministic demand equal to the expected value. When forced to apply the second-best optimal pricing, the private supplier makes an expected loss (profit) if there is an untolled substitute (complement) in the network. In contrast to the deterministic counterpart of the problem we study, regulation by competitiv e auction cannot replicate the second-best zero-profit result. For more complex networks, when private firms adds capacity one link at a time, entry by competitive auctions performs better than free entry. For the parameter range considered in the numerical simulation, entry by generalized auction performs better than entry by patronage auction.
    Keywords: Traffic Congestion; Road Pricing; Uncertain Demand; Road Network; Private Supply; Auction
    JEL: D63 H23 R41 R42
    Date: 2015–08–03
  13. By: Ãureo de Paula (Institute for Fiscal Studies and University College London); Seth Richards-Shubik (Institute for Fiscal Studies); Elie Tamer (Institute for Fiscal Studies and Northwestern University)
    Abstract: This paper provides a framework for identifying preferences in a large network under the assumption of pairwise stability of network links. Network data present difficulties for identification, especially when links between nodes in a network can be interdependent: e.g., where indirect connections matter. Given a preference specification, we use the observed proportions of various possible payoff-relevant local network structures to learn about the underlying parameters. We show how one can map the observed proportions of these local structures to sets of parameters that are consistent with the model and the data. Our main result provides necessary conditions for parameters to belong to the identified set, and this result holds for a wide class of models. We also provide sufficient conditions - and hence a characterization of the identified set - for two empirically relevant classes of specifications. An interesting feature of our approach is the use of the economic model under pairwise stability as a vehicle for effective dimension reduction. The paper then provides a quadratic programming algorithm that can be used to construct the identified sets. This algorithm is illustrated with a pair of simulation exercises.
    Date: 2015–06
  14. By: Dion, Francois; Skabardonis, Alexander
    Abstract: This report describes activities surrounding the design, building, deployment, operation, and evaluation of an innovative corridor management (ICM) system aiming to improve mobility within the Interstate 15 (I-15) corridor in San Diego, California, by integrating the operations of the I-15 freeway with the surrounding arterials and transit systems. Systems engineering principles were applied to support the development of the demonstration ICM system and the systems engineering process was credited by the project team with having contributed significantly to the success of the project. While full system evaluations were not yet available when this report was written, the deployed I-15 ICM system had already demonstrated its ability to identify incidents and unusual congestion events, to develop traffic management strategies integrating freeway, arterial, and transit operational elements, and to implement recommended strategies either automatically or following approval by relevant system operators. The system has also demonstrated the feasibility of using a microscopic traffic simulation model in a real-time operational environment to forecast corridor operations under alternative scenarios. Simulation evaluations have further consistently shown operational benefits exceeding deployment costs.
    Keywords: Engineering, Integrated corridor management, ICM, Traffic simulation, Microsimulation, Traffic incidents, Traffic congestion, Traffic management, Arterial highways
    Date: 2015–06–30

This nep-cmp issue is ©2015 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.
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