Stochastic Optimal Control, International Finance, and Debt Crises

Erscheinungsjahr 2006
ISBN: 978-0-19-928057-5
Verlag: OUP Oxford

Buch, Englisch, 304 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 625 g

This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both the return on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.

* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?
* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?
* What is the interaction between an excess debt and a misaligned exchange rate?

The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.

Autoren/Hrsg.

Stein, Jerome L.

Fachgebiete

• Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationaler Handel
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
• Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik

Über Autor(innen)

Jerome L. Stein is Emeritus Professor of Economics, Eastman Professor of Political Economy (Emeritus), and is Visiting Professor in the Division of Applied Mathematics at Brown University. He received his Ph. D. from Yale University (1955) and Docteur Honoris Causa from the Université de la Mediterranée, Aix-Marseille II (1997). He has been an Associate Editor of the American Economic Review, Journal of Banking and Finance and of the Journal of Finance. He is a member of the Editorial Board of the Australian Economic Papers and the Journal of Banking and Finance. He has been awarded Fellowships by the Guggenheim Foundation, Social Science Research Council and Ford Foundation.