nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒09‒18
ten papers chosen by
Stan Miles
Thompson Rivers University

  1. Evolution of the explanatory variables of the price of real estate in Lisbon during the last economic crisis. By P. Castanheira
  2. Modelling residential prices in Spain under the light of cointegrating techniques and automatic selection algorithms By R. Rodriguez
  3. A financial CGE model for Luxembourg By Amela Hubic
  4. The Economic and Environmental Effects of Taxing Air Pollutants and CO2: Lessons from a Study of the Czech Republic By Kiula, Olga; Markandya, Anil; Ščasný, Milan; Menkyna Tsuchimoto, Fusako
  5. The distributional consequences of the stabilization and adjustment policies in Greece during the crisis, with the use of a multisectoral computable general equilibrium model By Stavros Zografakis; Alexandros Sarris
  6. A Computable General Equilibrium Model of International Sanctions By M. Reza Gharibnavaz; Robert Waschik
  7. Contribution, Social networking, and the Request for Adminship process in Wikipedia By Romain Picot Clemente; Cécile Bothorel; Nicolas Jullien
  8. Residental energy efficiency and European carbon policies A CGE-analysis with bottom-up information on energy efficiency technologies By Brita Bye; Taran Fæhn; Orvika Rosnes
  9. Monetary Economics Simulation: Stock-Flow Consistent Invariance, Monadic Style By Pierre Boudes; Antoine Kaszczyc; Luc Pellissier
  10. Agent based simulations visualize Adam Smith's invisible hand by solving Friedrich Hayek's Economic Calculus By Klaus Jaffe

  1. By: P. Castanheira
    Abstract: The main purpose of this study is to understand how the price of housing is formed in the new ( expo) and old town in Lisbon ( traditional neighborhoods). The study focuses on the prices of the apartments that were sold with the assistance of Estate Agents operating in Lisbon in last 3 years, and how the economic crisis can explain the market price. . For the development of the study, we used two different methodologies: Hedonic Pricing Methods (MPH) and Artificial Neural Networks (ANN). ANN are a less traditional econometric technique from the field of Artificial Intelligence, but they are strong competitors with the MPH. In the last two decades, the MPH has been applied to the real estate market in Portugal but, till the present, no single study is known with the ANN. To obtain the best hedonic model, numerous tests were developed, aiming the validation of MPH and also the adequate selection of variables that contribute most to the prices. The tests were performed with the statistical software SPSS, The explanatory variables included in the final model for the price of an apartment were: the floor area (m2), the garage and basement index, the comfort index, the location index and two other variables resulting of interactions, one between the year of sale and the condition of the apartment (whether it is new or used) and the other between the preservation index and the condition of the apartment. With these six explanatory variables, the MPH has achieved an accuracy quite significant when compared with some previous studies.
    Keywords: Artificial Neural Networks; Hedonic Prices
    JEL: R3
    Date: 2015–07–01
  2. By: R. Rodriguez
    Abstract: In this paper we have developed a VEC model to capture long term equilibrium trends as well as short term dynamics of the residential prices of the Spanish market. A parsimonious model has been selected, based on economic fundamental variables, explaining supply and demand interplay in the period 1995-2012 with quarterly observations. GDP per-capita, mortgage rate, Gross capital formation in dwellings and building starts have proxied demand, supply and opportunity costs. Insights on the impact of these variables on residential prices have been brought to light as well as the speed of adjustment once the price deviates from the long term equilibrium. Our model suggests that the Spanish residential prices adjust relatively fast, with around 22% of the deviation of the long term trend corrected each quarter. Furthermore, house prices are mainly driven by income (GDP per-capita) while impacts on prices are less important if come from variations in mortgage rates or stock changes.The time span used has conveniently allowed us to analyze the market in the recent residential price bubble context. As expected, during this period market rationale drifted from economic fundamentals and shock conditions sprang. Therefore, in our model we successfully identify structural break conditions since early 2008, instance when the residential prices busted in Spain. For this study a comprehensive database of real estate variables has been constructed for the Spanish market. 52 variables (six of them correspond to different definitions of housing prices) have been collected offering a pool of 46 candidate regressors to explain residential prices. In this context we have tried methods of automatic modelling selection using Genetic Algorithms (GA). Preliminary results point to similar results to the structural modelling. Different specifications obtained tend to render the same variables set, including purchasing capacity, opportunity costs measures and housing stock. With some definitions of prices, demographic and credit conditions are added to our structural specification.
    Keywords: Cointegration; Forecasting; Residential Prices; Spain; Vecm
    JEL: R3
    Date: 2014–01–01
  3. By: Amela Hubic
    Abstract: Luxembourg is one of the most successful financial centers in the world. Initially associated with international syndicated loans, euro-bonds and euro-currency markets, Luxembourg has developed as a center for private banking and is currently the second largest center for the domiciliation of investment funds in the world after the US - with a portfolio equivalent to about sixty times the country’s GDP -, and the first captive reinsurance market in the European Union. As in many other financial centers, the interbank market plays an important role. This partly reflects intra-group operations of foreign banks using their Luxembourg branches and subsidiaries to adjust their liquidity position. More generally, Luxembourg has attracted foreign banks seeking to benefit from its favorable regulatory framework, political stability, language skills of the local workforce and the agglomeration of specialized skills in accounting and legal services.<p><p>The importance of the financial sector in Luxembourg implies that a computable general equilibrium (CGE) model with explicit modeling of the financial sector is indispensable in order to properly take into account the interaction between the financial and the real sector in the economy and the interconnectedness between different financial institutional sectors (e.g. commercial banks and investment funds). Explicit modeling of the financial sector also allows for an analysis of how the economy might respond to financial shocks.<p><p>This dissertation contributes to the literature by developing two analytical tools:<p><p>1.\
    Keywords: Financial institutions -- Luxembourg; Finance -- Luxembourg; Institutions financières -- Luxembourg; Finances -- Luxembourg; Luxembourg -- Economic conditions; Luxembourg -- Conditions économiques; working capital; financial center; Luxembourg; financial accounts; financial computable general equilibrium model; CGE; financial institutional sectors; financial social accounting matrix; portfolio choice
    Date: 2015–02–13
  4. By: Kiula, Olga; Markandya, Anil; Ščasný, Milan; Menkyna Tsuchimoto, Fusako
    Abstract: This paper analyzes the impacts of local emissions charges as well as a tax on CO2 for a small open economy. We do this to see the separate and collective impacts of these taxes so as to understand the effects of a system of environmental taxes that reflects something close to the full internalization of external effects in the case of air emissions. The analysis was carried out using a static CGE model, with unemployment, bottom-up abatement technologies and with sector- and fuel-specific emission coefficients. The model imposes environmental charges on several pollutants, as a result of which emissions can fall through three channels: reduced output of the polluting good, substitution between production factors, and increased end-of-pipe abatement activity. Such CGE modeling of both local and global pollutants, with a wide range of abatement options is one of the first of its kind. The analysis shows that a full internalization of air pollution externalities can result in modest overall welfare gains and the combination of local pollution taxes and CO2 taxes should be feasible. There are, however, differences in terms of employment and output impacts, depending on what combination of taxes are applied, which sectors are covered and how fiscal revenues are redistributed.
    Keywords: CGE modelling; Internalisation of external costs; Ancillary benefits; Carbon taxation; Air pollution charging
    JEL: D58 D62 H22 H23 Q52
    Date: 2014–09–21
  5. By: Stavros Zografakis (Bank of Greece); Alexandros Sarris (Bank of Greece)
    Abstract: The paper investigates quantitatively the economic implications of the various stabilization and adjustment policies, adopted by the Greek government in the period 2008-2013, to deal with the unsustainable public finances. To this end a static computable general equilibrium model is presented, that is capable of simulating the main macroeconomic and especially distributional aspects of the Greek crisis that has afflicted the country since 2008. The model is designed to explore in a comparative static manner the outcomes of different policies, and has considerable sectoral and distributional detail. The model is fitted to a 2004 social accounting matrix that includes much detail about the relevant economic actors. Policy simulations are made under a closure rule that seems to fit the Greek economy during the crisis. Simulations of the large shocks that have affected Greece between 2008-2013 indicate that the model reproduces the main outcomes of the economy during the implementation of the policy package adopted during the crisis, and indicates that the package adopted has been very regressive. The policy simulations suggest that the mixture of policies adopted during the stabilization programme by the Greek government has resulted in a large GDP decrease, a large employment decline, and as a painful consequence, a substantial decrease in the public sector deficit, but at the cost of very large decreases in private real incomes and an even larger increase in income inequality. It remains to be seen whether there can be other policy packages that can achieve similar public sector deficit reductions without the adverse income and distributional implications
    Keywords: Greek economy; macrosectoral models; stabilization policies; distributional implications of macro policies; computable general equilibrium models
    JEL: C68 E61 E65
    Date: 2015–08
  6. By: M. Reza Gharibnavaz; Robert Waschik
    Abstract: We detail recent international sanctions against the Iranian economy and its government. The effects of these sanctions on the Iranian economy, the Iranian government and rural and urban Iranian households disaggregated by income decile are modelled using a Computable General Equilibrium (CGE) model which uses endogenous taxes to simulate the effects of sanctions. Results suggest that sanctions on Iranian oil exports had a serious negative effect on the Iranian economy, with very strong negative changes on real revenue earned by the Iranian government, but much more limited effects on the well-being of Iranian rural and urban households.
    Keywords: sanctions, oil, Iran, CGE model
    JEL: F51 Q34 C68
    Date: 2015–09
  7. By: Romain Picot Clemente (Lab-STICC_TB_CID_DECIDE - Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance - Ecole nationale d'ingénieurs de Brest - UEB - Université européenne de Bretagne - Institut Mines-Télécom - ENSTA Bretagne - Institut Supérieur des Sciences et Technologies de Brest (ISSTB) - Télécom Bretagne - UBS - Université de Bretagne Sud - UBO - Université de Bretagne Occidentale - CNRS, LUSSI - Département Logique des Usages, Sciences sociales et Sciences de l'Information - UEB - Université européenne de Bretagne - Télécom Bretagne - Institut Mines-Télécom); Cécile Bothorel (Lab-STICC_TB_CID_DECIDE - Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance - Ecole nationale d'ingénieurs de Brest - UEB - Université européenne de Bretagne - Institut Mines-Télécom - ENSTA Bretagne - Institut Supérieur des Sciences et Technologies de Brest (ISSTB) - Télécom Bretagne - UBS - Université de Bretagne Sud - UBO - Université de Bretagne Occidentale - CNRS, LUSSI - Département Logique des Usages, Sciences sociales et Sciences de l'Information - UEB - Université européenne de Bretagne - Télécom Bretagne - Institut Mines-Télécom); Nicolas Jullien (LUSSI - Département Logique des Usages, Sciences sociales et Sciences de l'Information - UEB - Université européenne de Bretagne - Télécom Bretagne - Institut Mines-Télécom, MARSOUIN - Môle Armoricain de Recherche sur la SOciété de l'information et des usages d'INternet - UR1 - Université de Rennes 1 - UEB - Université européenne de Bretagne - UBS - Université de Bretagne Sud - UBO - Université de Bretagne Occidentale - Télécom Bretagne - Ecole Nationale de la Statistique et de Analyse de l'Information - Rennes - Institut Mines-Télécom - Université de Rennes II - Haute Bretagne, ICI - Laboratoire Information, Coordination, Incitations - UEB - Université européenne de Bretagne - UBO - Université de Bretagne Occidentale - Télécom Bretagne - Institut des Sciences de l'Homme et de la Société - ISHS - Institut Mines-Télécom)
    Abstract: In epistemic communities, people are said to be selected on their contribution in knowledge to the project (articles, codes, etc.). However, the socialization process is an important factor for inclusion, sustainability as a contributor, and promotion. Finally, what matters for being promoted? Being a good contributor? Being a good animator? Knowing the boss? We explore this question by looking at the election process for administrators in the English Wikipedia. We used the candidates' revisions and/or social attributes to construct a predictive model of promotion success, based on the candidates' past behavior and a random forest algorithm. Our model explains 78% of the results, which is better than the former models. It also helps to refine the explanation of the election process.
    Keywords: Promotion,Epistemic Community, Random forest, Wikipedia, Request for adminship
    Date: 2015–08–19
  8. By: Brita Bye; Taran Fæhn; Orvika Rosnes (Statistics Norway)
    Abstract: While the introduction and reformation of climate policy instruments take place rapidly in Europe, the knowledge on how the instruments interact lags behind. In this paper we analyse different interpretations of the 2030 climate policy goals for residential energy efficiency and how they interact with targets for restricting CO2 emissions. We focus on Norway, whose climate and energy policies are integrated with those of the EU. As we account for investment costs of improving energy efficiency we find substantial welfare costs of energy efficiency policies, particularly when interacting with carbon pricing. Rebound effects within households are small, but economy-wide indirect rebound is significant because energy-intensive, trade-exposed (EITE) industries expand. As residential energy use consists mainly of carbon-free electricity, this expansion of EITE-industries leads to increased total CO2 emissions.
    Keywords: Carbon policies; Energy efficiency policies; General Equilibrium analysis; Rebound effects
    JEL: D58 Q43 Q48
    Date: 2015–08
  9. By: Pierre Boudes (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée); Antoine Kaszczyc (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée); Luc Pellissier (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée)
    Abstract: An agent-based simulation of a monetary economy as a whole should be stock-flow consistent [7]. We aim at providing a compile-time verification of the preservation of this invariant by the computation. We guarantee this invariant by wrapping the accounting operations in a monad. Our objective is to increase the confidence in the SFCness of an existing complex simulation with a minimal refactoring of code.
    Keywords: Stock-Flow Consistency,Agent-based simulation,Functional Programming,Monads,Static Typing,Strong Type Discipline
    Date: 2015–09–03
  10. By: Klaus Jaffe
    Abstract: Inspired by Adam Smith and Friedrich Hayek, many economists have postulated the existence of invisible forces that drive economic markets. These market forces interact in complex ways making it difficult to visualize or understand the interactions in every detail. Here I show how these forces can transcend a zero-sum game and become a win-win business interaction, thanks to emergent social synergies triggered by division of labor. Computer simulations with the model Sociodynamica show here the detailed dynamics underlying this phenomenon in a simple virtual economy. In these simulations, independent agents act in an economy exploiting and trading two different goods in a heterogeneous environment. All and each of the various forces and individuals were tracked continuously, allowing to unveil a synergistic effect on economic output produced by the division of labor between agents. Running simulations in a homogeneous environment, for example, eliminated all benefits of division of labor. The simulations showed that the synergies unleashed by division of labor arise if: Economies work in a heterogeneous environment; agents engage in complementary activities whose optimization processes diverge; agents have means to synchronize their activities. This insight, although trivial if viewed a posteriori, improve our understanding of the source and nature of synergies in real economic markets and might render economic and natural sciences more consilient.
    Date: 2015–09

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