nep-cmp New Economics Papers
on Computational Economics
Issue of 2016‒04‒16
seven papers chosen by
Stan Miles
Thompson Rivers University

  1. Incorporating gender and age in genetic algorithms to solve the indexing problem By Ghosh, Diptesh
  2. The Carbon Footprint of European Households and Income Distribution By Mark Sommer; Kurt Kratena
  3. Computation of solutions to dynamic models with occasionally binding constraints. By Holden, Tom
  4. Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model By Giri, Federico; Riccetti, Luca; Russo, Alberto; Gallegati, Mauro
  5. Herding behavior and volatility clustering in financial markets By Schmitt, Noemi; Westerhoff, Frank
  6. Comparing the economic impacts of Asian integration by computational simulation analysis By Isono, Ikumo; Kumagai, Satoru; Hayakawa, Kazunobu; Keola, Souknilanh; Tsubota, Kenmei; Gokan, Toshitaka
  7. Simulation analysis of the EU ELV/RoHS directives based on an applied general equilibrium model with Melitz-type trade specification By Oyamada, Kazuhiko

  1. By: Ghosh, Diptesh
    Abstract: In this paper we propose new genetic algorithms for the tool indexing problem. Genetic algorithms are said to be nature-inspired, in that they are modeled after the natural process of genetic evolution. The evolution process that they model is asexual in which individuals can potentially live forever. In this paper, we propose a genetic algorithm in which solutions are of two genders, reproduction happens by a combination of solutions with di erent genders, and each solution has a nite life. We compare our genetic algorithms with the best known genetic algorithm for the tool indexing problem and report our computational experience.
    Keywords: Genetic algorithm, permutation problem, crossover, mutation
  2. By: Mark Sommer; Kurt Kratena
    Abstract: This paper calculates the CO2e (CO2 equivalents) footprint of private consumption in the EU27 by five groups of household income, using a fully fledged macroeconomic input-output model covering 59 industries and five groups of household income for the EU27. Due to macroeconomic feedback mechanisms, this methodology not only takes into account intermediate demand induced by the demand of a household group, but also: (i) private consumption induced in the other household groups, (ii) impacts on other endogenous final demand components, and (iii) negative feedback effects due to output price effects of household demand. Direct household emissions from household energy consumption are taken into account in a non-linear specification. Emissions embodied in imports are calculated using the results of a static MRIO (Multi-Regional Input-Output) model. The footprint is calculated separately for the consumption vector of each of the five income groups. The simulation results yield an income elasticity of direct and indirect emissions at each income level that takes all macroeconomic feedbacks of consumption into account and differs from the ceteris paribus emission elasticity in the literature. The results further reveal that a small structural ‘Kuznet effect’ exists.
    Keywords: Carbon footprint, CGE modeling, income distribution
    JEL: C67 Q52 Q54
    Date: 2016–03
  3. By: Holden, Tom
    Abstract: We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the “curse of dimensionality” for this problem when nothing is known a priori about the model. We go on to extend our algorithm to deal with stochastic simulation, other non-linearities, and future uncertainty. We show that the resulting algorithm produces fast and accurate simulations of a range of models with occasionally binding constraints.
    Keywords: occasionally binding constraints,zero lower bound,computation,DSGE,linear complementarity problem
    JEL: C61 C63 E3 E4 E5
    Date: 2016–04–04
  4. By: Giri, Federico; Riccetti, Luca; Russo, Alberto; Gallegati, Mauro
    Abstract: An accommodating monetary policy followed by a sudden increase of the short term interest rate often leads to a bubble burst and to an economic slowdown. Two examples are the Great Depression of 1929 and the Great Recession of 2008. Through the implementation of an Agent Based Model with a financial accelerator mechanism we are able to study the relationship between monetary policy and large scale crisis events. The main results can be summarized as follow: a) sudden and sharp increases of the policy rate can generate recessions; b) after a crisis, returning too soon and too quickly to a normal monetary policy regime can generate a "double dip" recession, while c) keeping the short term interest rate anchored to the zero lower bound in the short run can successfully avoid a further slowdown.
    Keywords: Monetary Policy; Large Crises; Agent Based Model; Financial Accelerator; Zero Lower Bound.
    JEL: C63 E32 E44 E58
    Date: 2016–03–30
  5. By: Schmitt, Noemi; Westerhoff, Frank
    Abstract: We propose a simple agent-based financial market model in which speculators follow a linear mix of technical and fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding behavior. In case of heightened uncertainty, speculators observe other speculators' actions more closely. Since speculators' trading behavior then becomes less heterogeneous, the market maker faces a less balanced excess demand and consequently adjusts prices more strongly. Estimating our model using the method of simulated moments reveals that it is able to explain a number of stylized facts of financial markets quite well. Keywords: Agent-based financial market models, stylized facts of financial markets, technical and fundamental analysis, heterogeneity, herding behavior, method of simulated moments.
    JEL: C63 D84 G15
    Date: 2016
  6. By: Isono, Ikumo; Kumagai, Satoru; Hayakawa, Kazunobu; Keola, Souknilanh; Tsubota, Kenmei; Gokan, Toshitaka
    Abstract: The Geographical Simulation Model developed by IDE-JETRO (IDE-GSM) is a computer simulation model based on spatial economics. IDE-GSM enables us to predict the economic impacts of various trade and transport facilitation measures. Here, we mainly compare the prioritized projects of the Master Plan on ASEAN Connectivity (MPAC) and the Comprehensive Asia Development Plan (CADP). MPAC focus on specific hard or soft infrastructure projects that connect one ASEAN member state to another while the CADP emphasizes the importance of economic corridors or linkages between a large cluster and another cluster. As compared with MPAC projects, the simulation analysis shows that CADP projects have much larger positive impacts on ASEAN countries.
    Keywords: Asia, International economic integration, Regional economic cooperation, Economic geography, Spatial economics, Economic integration, ASEAN, Simulation analysis
    JEL: F15 O53 R12
    Date: 2016–03
  7. By: Oyamada, Kazuhiko
    Abstract: This paper explores the potential usefulness of an AGE model with the Melitz-type trade specification to assess economic effects of technical regulations, taking the case of the EU ELV/RoHS directives as an example. Simulation experiments reveal that: (1) raising the fixed exporting cost to make sales in the EU market brings results that exports of the targeted commodities (motor vehicles and parts for ELV and electronic equipment for RoHS) to the EU from outside regions/countries expand while the domestic trade in the EU shrinks when the importer's preference for variety (PfV) is not strong; (2) if the PfV is not strong, policy changes that may bring reduction in the number of firms enable survived producers with high productivity to expand production to be large-scale mass producers fully enjoying the fruit of economies of scale; and (3) When the strength of the importer's PfV is changed from zero to unity, there is the value that totally changes simulation results and their interpretations.
    Keywords: Macroeconomics, International trade, Econometric model, Econometrics
    JEL: C68 D58 F12 L11
    Date: 2016–03

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