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9780199280575

Stochastic Optimal Control, International Finance, and Debt Crises

by
  • ISBN13:

    9780199280575

  • ISBN10:

    0199280576

  • Format: Hardcover
  • Copyright: 2006-06-01
  • Publisher: Oxford University Press

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Summary

This book is concerned with a world where the return on capital, interest rates and exchange rates are not known with certainty. On the basis of state of the art research in applied mathematics and economics, the author derives benchmarks that are used to answer many important questions. This research develops analytical tools that can explain and evaluate trends in real exchange rates, and provide theoretically based warning signals of currency and debt crises.

Table of Contents

List of Figures xiv
List of Tables xvi
Part I. Overview
1. Optimal debt and equilibrium exchange rates in a stochastic environment: An overview
3(42)
Part II. Theoretical Framework
2. Stochastic optimal control model of short-term debt
45(17)
3. Stochastic intertemporal optimization: Long-term debt continuous time
62(27)
4. The NATREX model and the equilibrium real exchange rate
89(34)
Part III. Evaluating Exchange Rates
5. The equilibrium real value of the euro: An evaluation of research
123(30)
6. The transition economies: A NATREX evaluation of research
153(38)
Part IV. External Debt and Exchange Rate Crises
7. Country default risk in emerging markets
191(24)
8. Asian crises: Theory, evidence, warning Signals
215(30)
9. United States current account deficits: A stochastic optimal control analysis
245(38)
Index 283

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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