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on Computational Economics |
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Issue of 2015‒12‒12
six papers chosen by |
| By: | Jozef Barunik (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic; Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 182 00, Prague, Czech Republic); Barbora Malinska (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic) |
| Abstract: | The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions and crisis periods. We find 1-month, 3-month, 6-month and 12-month-ahead forecasts obtained from focused time-delay neural network to be significantly more accurate than forecasts from other benchmark models. The proposed forecasting strategy produces the lowest errors across all times to maturity. |
| Keywords: | term structure, Nelson-Siegel model, dynamic neural networks, crude oil futures |
| JEL: | C14 C32 C45 G02 G17 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2015_25&r=cmp |
| By: | Arango , Carlos (Bank of Canada); Bouhdaoui, Yassine (Vrije Universiteit Brussel); Bounie , David (Telecom ParisTech, Economics and Social Sciences); Eschelbach, Martina (Deutsche Bundesbank); Hernandez , Lola (De Nederlandsche Bank) |
| Abstract: | Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper proposes a simulation model based on two optimal cash management and payment policies in the payments economics literature to explain cash usage. First, cash is preferred to other payment instruments whenever consumers have enough balances at hand. Second, it is optimal for consumers to hold a stock of cash for precautionary reasons. Exploiting survey payment diaries from Canada, France, Germany and the Netherlands, the results of the simulations show that both optimal policies are well suited to understand the high shares of low-value cash payments in Canada, France and Germany. Yet, they do not perform as well in the case of the Netherlands, overestimating the share of low-value cash payments. We discuss how the differences in payment markets across countries may explain the limitations of the two optimal policies. |
| Keywords: | cash management; payment choices; international comparison |
| JEL: | C61 E41 E47 |
| Date: | 2015–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofrdp:2015_022&r=cmp |
| By: | Pistol, Luminita; Tonis (Bucea-Manea), Rocsana |
| Abstract: | SMEs in Romania are facing a lack of funds for financing, poor information, inadequate legislative restrictions for developing the economic environment, low level of accessing European funds etc. Funding problem could be partially solved if the marketing department did different marketing simulations before making the marketing budget and the business plan. In this article we review some of the marketing simulation models that can be achieved without the need for investment and as a case study we have chosen to simulate a marketing mix strategy using strategic games. |
| Keywords: | SME marketing simulation game strategy; marketing mix; budget; linear programming |
| JEL: | M1 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:67062&r=cmp |
| By: | Fabio Grazi (Agence Française de Développement, Research Directorate); Henri Waisman (Centre International de Recherche sur l’Environnement et le Développement) |
| Abstract: | This paper presents an integrated model of urban agglomeration economies within a computable general equilibrium (CGE) model of global economic activity, energy use and carbon emissions to explore the theoretical and empirical nature of the interdependence of cities and the world economy in a climate policy context. Based on calibration data for 74 major OECD agglomerations, the integrated model is used to gauge the long-term impact of: i) global carbon pricing on urban systems and the economic activity; ii) urban infrastructure development on the economic costs of curbing carbon emissions. Importantly, it is found that combining urban infrastructure and carbon pricing allows for stringent emissions reduction targets, while still avoiding the economic and welfare costs of the carbon price only. |
| Keywords: | Calibration, Cities, Hybrid Energy-Economy Modeling, New Economic Geography, Trade and Transport, Urban Infrastructure, Welfare |
| JEL: | C68 R12 Q54 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2015.61&r=cmp |
| By: | Elorri Igos (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies and Luxembourg Institute of Science and Technology, Environmental Research and Innovation Department, Luxembourg); Benedetto Rugani (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies and Luxembourg Institute of Science and Technology, Environmental Research and Innovation Department, Luxembourg); Sameer Rege (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies and Luxembourg Institute of Science and Technology, Environmental Research and Innovation Department, Luxembourg); Enrico Benetto (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies and Luxembourg Institute of Science and Technology, Environmental Research and Innovation Department, Luxembourg); Laurent Drouet (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies, Luxembourg Fondazione Eni Enrico Mattei and Euro-Mediterranean Center on Climate Change, Italy); Dan Zachary (Public Research Centre Henri Tudor, Resource Centre for Environmental Technologies and Whiting School of Engineering, The Johns Hopkins University, USA) |
| Abstract: | Nowadays, many countries adopt an active agenda to mitigate the impact of greenhouse gas emissions by moving towards less polluting energy generation technologies. The environmental costs, directly or indirectly generated to achieve such a challenging objective, remain however largely underexplored. Until now, research has focused either on pure economic approaches such as computable general equilibrium (CGE) and partial equilibrium (PE) models, or on (physical) energy supply scenarios. These latter could be used to evaluate the environmental impacts of various energy saving or cleaner technologies via life cycle assessment (LCA) methodology. These modelling efforts have, however, been pursued in isolation, without exploring the possible complementarities and synergies. In this study, we have undertaken a practical combination of these approaches into a common framework: on the one hand, by coupling a CGE with a PE model, and, on the other hand, by linking the outcomes from the coupling with a hybrid input-output-process based life cycle inventory. The methodological framework aimed at assessing the environmental consequences of two energy policy scenarios in Luxembourg between 2010 and 2025. The study highlights the potential of coupling CGE and PE models but also the related methodological difficulties (e.g. small number of available technologies in Luxembourg, intrinsic limitations of the two approaches, etc.). The assessment shows both environmental synergies and trade-offs due to the implementation of energy policies. For example, despite the changes in technologies towards the reduction of greenhouse gas emissions, only marginal improvements are observed in the climate change mitigation scenario as compared to the business-as-usual. The energy related production and imports are indeed expected to increase over time and represent a large contribution to the country’s impacts. Interestingly, side effects on other impacts than climate change or fossil resource depletion (e.g. ionising radiation and water depletion) may also occur mainly due to the use of nuclear energy in neighbouring countries. |
| Keywords: | Computable General Equilibrium Model, Partial Equilibrium Model, Energy Policy Life Cycle Assessment, Consequential, Input-Output |
| JEL: | Q40 C67 C68 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2015.62&r=cmp |
| By: | Glyn Wittwer |
| Abstract: | California has suffered a four year drought that has imposed severe stress on the state's water resources. Irrigators and urban users have both been affected by unprecedented water restrictions. How should California allocate water? The state has long-standing water allocation issues, as economic mechanisms historically have played little or no role in allocation. USAGE-TERM is a multi-regional CGE model that represents 12 key irrigation counties in California as separate economies. Water trading between irrigators would help California cope with drought. In particular, sales of water from annual crops grower to perennial producers may lower the costs of maintaining plantations, given the high fixed costs arising from the alternative action of drilling new wells. Diverting substantial volumes of irrigation water from plantations to urban users may not be consistent with welfare maximisation. |
| Keywords: | Drought impacts, regional CGE modelling, water trading |
| JEL: | C54 Q11 Q15 |
| Date: | 2015–12 |
| URL: | http://d.repec.org/n?u=RePEc:cop:wpaper:g-258&r=cmp |