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on Computational Economics |
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Issue of 2016‒05‒28
twelve papers chosen by |
| By: | Francis Bismans; Igor N. Litvine |
| Abstract: | This paper deals with so-called feedforward neural network model which we consider from a statistical and econometric viewpoint. It was shown how this model can be estimated by maximum likelihood. Finally, we apply the ANN methodology to model demand for electricity in South Africa. The comparison of forecasts based on a linear and ANN model respectively shows the usefulness of the latter. |
| Keywords: | Artificial neural networks (ANN), electricity consumption, forecasting, linear and non-linear models, recessions. |
| JEL: | C45 C53 E17 E27 Q43 Q47 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2016-28&r=cmp |
| By: | Michael T. Belongia (University of Mississippi); Peter N. Ireland (Boston College) |
| Abstract: | Unconventional policy actions, including quantitative easing and forward guidance, taken by the Federal Reserve during and since the financial crisis and Great Recession of 2007-2009, have been widely interpreted as attempts to influence long-term interest rates after the federal funds rate hit its zero lower bound. Alternatively, similar actions could have been directed at stabilizing the growth rate of a monetary aggregate, so as to maintain a more consistent level of policy accommodation in the face of severe disruptions to the financial sector and the economy at large. This paper bridges the gap between these two views, by developing a structural vector autoregression that uses information contained in both interest rates and a Divisia monetary aggregate to infer the stance of Federal Reserve policy and to gauge its effects on aggregate output and prices. Counterfactual simulations from the SVAR suggest that targeting money growth at the zero lower bound would not only have been feasible, but would also have supported a stronger and more rapid economic recovery since 2010. |
| Keywords: | Constant money growth rate rules, Divisia monetary aggregates, Quantitative easing, Structural vector autoregressions, Zero lower bound |
| JEL: | E31 E32 E37 E41 E43 E47 E51 E52 E65 |
| Date: | 2016–05–25 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:913&r=cmp |
| By: | Jean Chateau (OECD - OECD); Lionel Fontagné (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics, CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique); Jean Fouré (CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique); Åsa Johansson (OECD - OECD); Eduardo Olaberría (OECD - OECD) |
| Abstract: | This paper presents long-term trade scenarios for the world economy up to 2060 based on a modelling approach that combines aggregate growth projections for the world with a detailed computable general equilibrium sectoral trade model. The analysis suggests that over the next 50 years, the geographical centre of trade will continue to shift from OECD to non-OECD regions reflecting faster growth in non-OECD countries. The relative importance of different regions in specific export markets is set to change markedly over the next half century with emerging economies gaining export shares in manufacturing and services. Trade liberalisation, including gradual removal of tariffs, regulatory barriers in services and agricultural support, as well as a reduction in transaction costs on goods, could increase global trade and GDP over the next 50 years. Specific scenarios of regional liberalisation among a core group of OECD countries or partial multilateral liberalisation could, respectively, raise trade by 4% and 15% and GDP by 0.6% and 2.8% by 2060 relative to the status quo. Finally, the model highlights that investment in education has an influence on trade and high-skill specialisation patterns over the coming decades. Slower educational upgrading in key emerging economies than expected in the baseline scenario could reduce world exports by 2% by 2060. Lower up-skilling in emerging economies would also slow down the restructuring towards higher value-added activities in these emerging economies. |
| Keywords: | General equilibrium trade model,long-term trade and specialisation patterns,trade liberalisation |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:hal-01299777&r=cmp |
| By: | Rasch, Sebastian; Heckelei, Thomas; Oomen, Roelof |
| Abstract: | Livestock production on South Africa’s commons strongly contributes to livelihoods of communal households offering status, food and income. Management innovations are generally top-down and informed by commercial practices such as rotational grazing in combination with conservative stocking. Implementations often ignore how the specific socio-ecological context affects outcomes and the impact on equity. Science now acknowledges that rangeland management must be context specific and a universally agreed-upon recommendation for managing semi-arid rangelands does not exist. We present a socio-ecological simulation model derived from a case study in South Africa. It is used to assess the socio-ecological effects of rotational vs. continuous grazing under conservative and opportunistic stocking rates. We find that continuous grazing under conservative stocking rates is best suited for the system under investigation. However, past legacy under apartheid and participants’ expectations render its successful application unlikely. |
| Keywords: | Land Economics/Use, Livestock Production/Industries, Q15, Q58, Q13, |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae15:212490&r=cmp |
| By: | Caroline J. Charpentier; Jan-Emmanuel De Neve; Jonathan P. Roiser; Tali Sharot |
| Abstract: | Intuitively, how we feel about potential outcomes will determine our decisions. Indeed, one of the most influential theories in psychology, Prospect Theory, implicitly assumes that feelings govern choice. Surprisingly, however, we know very little about the rules by which feelings are transformed into decisions. Here, we characterize a computational model that uses feelings to predict choice. We reveal that this model predicts choice better than existing value-based models, showing a unique contribution of feelings to decisions, over and above value. Similar to Prospect Theory value function, feelings showed diminished sensitivity to outcomes as value increased. However, loss aversion in choice was explained by an asymmetry in how feelings about losses and gains were weighed when making a decision, not by an asymmetry in the feelings themselves. The results provide new insights into how feelings are utilized to reach a decision. |
| Keywords: | decision-making; feelings; subjective well-being; value; utility; Prospect theory |
| JEL: | G32 |
| Date: | 2016–02 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:66420&r=cmp |
| By: | Daniel Rais |
| Abstract: | Abstract We propose a way to incorporate NTBs for the four workhorse models of the modern trade literature in computable general equilibrium models (CGEs). CGE models feature intermediate linkages and thus allow us to study global value chains (GVCs). We show that the Ethier-Krugman monopolistic competition model, the Melitz ï¬ rm heterogeneity model and the Eaton and Kortum model can be deï¬ ned as an Armington model with generalized marginal costs, generalized trade costs and a demand externality. As already known in the literature in both the Ethier-Krugman model and the Melitz model generalized marginal costs are a function of the amount of factor input bundles. In the Melitz model generalized marginal costs are also a function of the price of the factor input bundles. Lower factor prices raise the number of ï¬ rms that can enter the market proï¬ tably (extensive margin), reducing generalized marginal costs of a representative ï¬ rm. For the same reason the Melitz model features a demand externality: in a larger market more ï¬ rms can enter. We implement the different models in a CGE setting with multiple sectors, intermediate linkages, non-homothetic preferences and detailed data on trade costs. We ï¬ nd the largest welfare effects from trade cost reductions in the Melitz model. We also employ the Melitz model to mimic changes in Non tariff Barriers (NTBs) with a ï¬ xed cost-character by analysing the effect of changes in ï¬ xed trade costs. While we work here with a model calibrated to the GTAP database, the methods developed can also be applied to CGE models based on the WIOD database. |
| Date: | 2015–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:wti:papers:874&r=cmp |
| By: | Luckmann, Jonas; Grethe, Harald; McDonald, Scott |
| Abstract: | Due to water scarcity problems, the reclamation of wastewater becomes a more and more important water source in many parts of the world. The use of reclaimed wastewater is often fostered, as a cheap and reliable form of water supply, which preserves water resources and at the same time allows to economically making use of sewage. This study presents a novel approach to integrate wastewater recycling in a Computable General Equilibrium model and to link the quantity of reclaimed wastewater produced to the water consumption of economic entities connected to a sewer system, such that a cascading water use can be modeled in a meaningful way. An application to the case of Israel shows that not considering this linkage can lead to an overestimation of compensation effects from wastewater recycling in case economic entities engage in water saving. |
| Keywords: | wastewater recycling, general computable equilibrium model (CGE), STAGE_W, Israel, Agricultural and Food Policy, Environmental Economics and Policy, D58, O13, Q58, |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae15:212161&r=cmp |
| By: | Dominik Vymetal (Institute of Interdisciplinary Research, Silesian University); Sohei Ito (Department of Fisheries Distribution and Management, National Fisheries University) |
| Abstract: | Business environment simulation often requires unique knowledge based on the modeler’s experience. However, even experience based simulation models need some extent of abstraction and formalization in order to achieve results that are expected. Business process simulation models usually incorporate several essential components such as the model of trading functions that reflect customer behavior, procurement functions for modeling company inputs and the optimization of production & logistics functions. When modeling management decisions, a management function model with a loopback to company economic outputs is also needed. As a solid foundation of such complex business simulations, an abstract multi-agent architecture of a trading company model is proposed. The abstract model is inhabited with active entities – software agents and a method of registering their actions in a simulation run log is proposed. This approach combines the basic notions of abstract agent archi tectures with process mining methodology. Finally, the correctness of our software-agent system is verified and a validation is provided showing that the proposed system fits the real data company outputs. |
| Keywords: | formal models, business process simulation, software agents, process mining, behavioral patterns |
| JEL: | C63 C88 D29 M15 |
| Date: | 2016–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:opa:wpaper:0029&r=cmp |
| By: | Bulent Ozel (Department of Economics, Universidad Jaume I, Castellón, Spain); Reynold Christian Nathanael (DIME-CINEF, Università di Genova, Italy); Marco Raberto (DIME-CINEF, Università di Genova, Italy); Andrea Teglio (Department of Economics, Universidad Jaume I, Castellón, Spain); Silvano Cincotti (DIME-CINEF, Università di Genova, Italy) |
| Abstract: | This paper presents an enhancement of the Eurace agent-based model by designing a housing market with a related mortgage lending device. The presence of the housing market has some important macroeconomic implications, mainly given by the additional amount of endogenous money injected into the economy through the new mortgage device. This additional money generally helps to increase and stabilize aggregated demand, thus improving the main economic indicators. However, if the mortgage lending regulation is relaxed too much, by raising the debt-service-to-income ratio (DSTI), then the additional supply of mortgages doesn’t increase the macroeconomic performance any more, and undermines the stability of the economic system. Following some recent discussion, a stock control regulation that targets households net wealth (a stock), instead of income (a flow), is designed and analyzed. Results show that stock control regulation can be effectively combined with DSTI in order to increase the stability of the housing market and of the whole economy. Moreover, stock control regulation exhibits the interesting property to directly affect mortgage distribution among households. |
| Keywords: | Computational Techniques, Simulation Modeling, Business Fluctuations, Cycles, Money Supply, Credit, Money Multipliers |
| JEL: | C63 E32 E51 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2016/05&r=cmp |
| By: | G. Fagiolo (Scuola Superiore Sant'Anna); A. Roventini (Scuola Superiore Sant'Anna & OFCE Sciences Po) |
| Abstract: | The Great Recession seems to be a natural experiment for economic analysis, in that it has shown the inadequacy of the predominant theoretical framework | the New Neoclassical Synthesis (NNS) | grounded on the DSGE model. In this paper, we present a critical discussion of the theoretical, empirical and political-economy pitfalls of the DSGE-based approach to policy analysis. We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as a complex evolving system, i.e. as an ecology populated by heterogeneous agents, whose far-from-equilibrium interactions continuously change the structure of the system. This is indeed the methodological core of agent-based computational economics (ACE), which is presented in this paper. We also discuss how ACE has been applied to policy analysis issues, and we provide a survey of macroeconomic policy applications (fiscal and monetary policy, bank regulation, labor market structural reforms and climate change interventions). Finally, we conclude by discussing the methodological status of ACE, as well as the problems it raises. |
| Keywords: | Economic policy, New neoclassical synthesis, new keynesian models, DSGE models, Agent-based computational economics, agent based models, complexity theory, Great recession, Crisis. |
| JEL: | B41 B50 E32 E52 |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:fce:doctra:16011&r=cmp |
| By: | Ross Richardson; Matteo G. Richiardi |
| Abstract: | We introduce JAS-mine, a new Java-based computational platform that features tools to support the development of large-scale, data-driven, discrete-event simulations. JAS-mine is speci cally designed for both agent-based and microsimulation modelling, anticipating a convergence between the two approaches. An embedded relational database management system provides tools for sophisticated input-output communications and data storage, allowing the power of relational databases to be used within an object-oriented framework. The JAS-mine philosophy encourages the separation of distinct concepts, objects and functionalities of the simulation model, and advocates and supports transparency, exibility and modularity in model design. For instance, JAS-mine allows to store the list of regressors and the estimated coecients externally to code, making it easy to change the speci cation of the regression models used in the simulation and achieving a complete parallelisation between the tasks of the econometric ians and those of the programmers. Moreover, tools for uncertainty analysis and search over the parameter space are also built in. |
| Keywords: | Simulation platform, Microsimulation, Agent-based, Software, Open-source. |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:cca:wplabo:147&r=cmp |
| By: | Maria Blanco (Technical University of Madrid (Madrid, Spain)); Peter Witzke (EuroCARE (Bonn, Germany)); Ignacio Perez Dominguez (European Commission – JRC - IPTS); Guna Salputra (European Commission – JRC - IPTS); Pilar Martinez (Technical University of Madrid (Madrid, Spain)) |
| Abstract: | The study enables the CAPRI model to make simulations of the potential impact of climate change and water availability on agricultural production, as well as is looking at the sustainable use of water and the implementation of water-related policies including water pricing. To investigate the role of irrigation as adaptation strategy to climate change, we define a set of simulation scenarios that account for the likely effects on water price, crop yields, water availability and irrigation efficiency. |
| Keywords: | agriculture, irrigation, water economics, modelling, CAPRI |
| Date: | 2015–12 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc99828&r=cmp |