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Stochastic Optimal Control, International Finance, and Debt Crises
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Stochastic Optimal Control, International Finance, and Debt Crises

Jerome L. Stein

Abstract

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 state of the art applied mathematics. From the economic theory and the mathematics of stochastic optimal control, benchmarks are derived 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 equilib ... More

Keywords: equilibrium real exchange rates, NATREX, optimal external debt, endogenous optimal growth, United States, current account balances, uncertainty, currency crisis, debt crisis, emerging market defaults

Bibliographic Information

Print publication date: 2006 Print ISBN-13: 9780199280575
Published to Oxford Scholarship Online: May 2006 DOI:10.1093/0199280576.001.0001

Authors

Affiliations are at time of print publication.

Jerome L. Stein, author
Emeritus Professor of Economics, Brown University
Author Webpage