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Overview"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." Full Product DetailsAuthor: Jerome L. Stein (Emeritus Professor of Economics, Brown University)Publisher: Oxford University Press Imprint: Oxford University Press Dimensions: Width: 16.30cm , Height: 2.40cm , Length: 24.10cm Weight: 0.602kg ISBN: 9780199280575ISBN 10: 0199280576 Pages: 304 Publication Date: 06 April 2006 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: To order  Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us. Table of ContentsPreface Overview 1: Optimal debt and Equilibrium Exchange Rates: An Overview Theoretical Framework 2: Stochastic Optimal Control: Short-term Debt in Discrete Time 3: Stochastic Inter-temporal Optimization: Long-term Debt in Continuous Time 4: The NATREX Model Evaluating Exchange Rates 5: The Euro exchange rate: An Evaluation of Research 6: The Transition Economies: A NATREX Evaluation of Research External Debt and Exchange Rate Crises 7: Default Risk in Emerging Markets 8: Asian Crises 9: United States Current Account Deficits: A Stochastic Optimal Control AnalysisReviewsThis book makes an important contribution to the analysis of international financial problems. Serge Rey, University of PAU and Pays de l'Adour, CATT - ECONOMIA, 2006 Author InformationJerome 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. Tab Content 6Author Website:Countries AvailableAll regions |
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