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on Computational Economics |
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Issue of 2006‒08‒05
five papers chosen by |
| By: | Sun, Junjie; Tesfatsion, Leigh S. |
| Abstract: | In April 2003 the U.S. Federal Energy Regulatory Commission proposed a complicated mar- ket design - the Wholesale Power Market Platform (WPMP) – for common adoption by all U.S. wholesale power markets. Versions of the WPMP have been implemented in New Eng- land, New York, the mid-Atlantic states, the Midwest, and the Southwest, and adopted for implementation in California. Strong opposition to the WPMP persists among some indus- try stakeholders, however, due largely to a perceived lack of adequate performance testing. This study reports on the development and open-source implementation (in Java) of a com- putational wholesale power market organized in accordance with core WPMP features and operating over a realistically rendered transmission grid. The traders within this market model are strategic profit-seeking agents whose learning behaviors are based on data from human-subject experiments. Our key experimental focus is the complex interplay among structural conditions, market protocols, and learning behaviors in relation to short-term and longer-term market performance. Findings for a dynamic 5-node transmission grid test case are presented for concrete illustration. |
| Keywords: | Wholesale power market restructuring; Empirical input validation; Market design; Behavioral economics; Learning; Market power; Agent-based modeling; AMES wholesale power market framework; Java; RepastJ. |
| JEL: | C6 D8 L1 L9 |
| Date: | 2006–07–27 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:12649&r=cmp |
| By: | Xavier Debrun; Oya Celasun; Jonathan David Ostry |
| Abstract: | This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using "fan charts." These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result of uncertain economic conditions and policies. We propose a simulation algorithm for the path of public debt under realistic shock configurations, combining pure economic disturbances (to growth, interest rates, and exchange rates), the endogenous policy response to these, and the possible shocks arising from fiscal policy itself. The paper emphasizes the role of fiscal behavior, as well as the structure of disturbances facing the economy and due to fiscal policy, in shaping the risk profile of public debt. Fan charts for debt are derived from the "marriage" between the pattern of shocks on the one hand and the endogenous response of fiscal policy on the other. Applications to Argentina, Brazil, Mexico, South Africa, and Turkey are used to illustrate the approach and its limitations. |
| Keywords: | Public debt , Emerging markets , Debt sustainability analysis , |
| Date: | 2006–03–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/67&r=cmp |
| By: | Ulrich Bartsch |
| Abstract: | In oil-dependent countries, a major issue is how to stabilize fiscal spending when government revenue fluctuates along with the international price of oil. A stabilization fund would allow the government to pull through an oil price trough and absorb windfall revenue when prices are high. This paper focuses on two key issues. First, the paper proposes to base government spending on moving averages of past oil prices that are shown to behave nearly as a random walk. Second, it uses Monte Carlo simulations of a fiscal policy model to look at the probability that a given level of assets in the stabilization fund is exhausted over a certain number of years. The simulations show that with a fiscal policy based on moving averages over three to five years, a stabilization fund of about 75 percent of 2004 oil revenue would be adequate, which, in Nigeria, would equate to US$16-18 billion. |
| Keywords: | Revenues , Nigeria , Oil prices , Government expenditures , |
| Date: | 2006–06–14 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/142&r=cmp |
| By: | Alfarano, Simone; Lux, Thomas |
| Abstract: | In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even a very simple model of a financial market with heterogeneous interacting agents is capable of reproducing these ubiquitous statistical properties. The simplicity of our approach permits to derive some analytical insights using concepts from statistical mechanics. In our model, traders are divided into two groups: fundamentalists and chartists, and their interactions are based on a variant of the herding mechanism introduced by Kirman [1993]. The statistical analysis of simulated data points toward long-term dependence in the auto-correlations of squared and absolute returns and hyperbolic decay in the tail of the distribution of raw returns, both with estimated decay parameters in the same range like those of empirical data. Theoretical analysis, however, excludes the possibility of ‘true’ scaling behavior because of the Markovian nature of the underlying process and the boundedness of returns. The model, therefore, only mimics power law behavior. Similarly as with the phenomenological volatility models analyzed in LeBaron [2001], the usual statistical tests are not able to distinguish between true or pseudo-scaling laws in the dynamics of our artificial market. |
| Keywords: | Herd Behavior ; Speculative Dynamics ; Fat Tails ; Volatility Clustering |
| JEL: | C61 G12 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:3559&r=cmp |
| By: | Jacqueline L. Buros (Perfuse Core Laboratories and Data Coordinating Center) |
| Abstract: | We have developed a set of ado-files for use in data management, specifically designed to manage user-written edit checks and to complement the process of data cleaning. Collectively, these tools enable us to identify, distribute, and track edit-checks in several large multi-center clinical trials using Stata software. Our approach is successful because the coding is simple and the entire process is visible and familiar to most users. It does not depend on any particular database structure. The framework approximates an object-oriented environment, with the objects being (a) the database, open at the time a command is called, (b) an edit-check, consisting of a Stata do-file, a query message and a list of variables to be identified for review, and (c) the edit-check history, implemented as a Stata dataset. These objects can be manipulated directly or by using a command in Stata. Actions managed by command include creating or modifying an edit-check, generating a query-clean dataset, preparing and tracking a set of edit-check documents, and summarizing the edit-check history. Here, we present a brief overview of our process and describe the use of the commands in the context of clinical research. |
| Date: | 2006–07–23 |
| URL: | http://d.repec.org/n?u=RePEc:boc:asug06:11&r=cmp |