Stochastic Optimal Control, International Finance, and Debt Crises

Jerome L. Stein

286 pages, parution le 06/04/2006

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Résumé

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.

L'auteur - Jerome L. Stein

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 Universite de la Mediterranee, Aix-Marseille II (1997). He has been 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.

Since 1998, his interdisciplinary research with Wendell Fleming of the Division of Applied Mathematics at Brown University applies stochastic optimal control and dynamic programming to international finance and debt crises. In this connection, he has been invited to give lectures to the American Mathematical Society, the World Congress of Nonlinear Analysts, and Stochastic Control conferences. Empirical implications of this research have been presented at seminars at the European Central Bank, the Bank for International Settlements, Banque de France and at universities in the United States and in Europe.

Sommaire

List of Figures
List of Tables
Overview
Theoretical Framework
Evaluating Exchange Rates
External Debt and Exchange Rate Crises
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Oxford University Press
Auteur(s)	Jerome L. Stein
Parution	06/04/2006
Nb. de pages	286
Format	16 x 24
Couverture	Relié
Poids	597g
Intérieur	Noir et Blanc
EAN13	9780199280575
ISBN13	978-0-19-928057-5