Stochastic Optimal Control, International Finance, and Debt Crises by Jerome L.

Stochastic Optimal Control, International Finance, and Debt Crises by Jerome L. Stein

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Description Focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and account balances. This book 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.

Publisher Description

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 environmentwhere 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 thereal 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 exchangerate?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 deriveswarning signals of the Asian crises and debt crises in emerging markets.

Author Biography

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 ofFinance. 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 andFord Foundation.

Details ISBN 0199280576 ISBN-13 9780199280575 Title Stochastic Optimal Control, International Finance, and Debt Crises Author Jerome L. Stein Format Hardcover Year 2006 Pages 304 Publisher Oxford University Press GE_Item_ID:137010734; About Us

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