Stochastic Optimal Control, International Finance, and Debt Crises
- Publisher's listprice GBP 105.00
-
47 407 Ft (45 150 Ft + 5% VAT)
The price is estimated because at the time of ordering we do not know what conversion rates will apply to HUF / product currency when the book arrives. In case HUF is weaker, the price increases slightly, in case HUF is stronger, the price goes lower slightly.
- Discount 10% (cc. 4 741 Ft off)
- Discounted price 42 667 Ft (40 635 Ft + 5% VAT)
Subcribe now and take benefit of a favourable price.
Subscribe
47 407 Ft
Availability
printed on demand
Why don't you give exact delivery time?
Delivery time is estimated on our previous experiences. We give estimations only, because we order from outside Hungary, and the delivery time mainly depends on how quickly the publisher supplies the book. Faster or slower deliveries both happen, but we do our best to supply as quickly as possible.
Product details:
- Publisher OUP Oxford
- Date of Publication 6 April 2006
- ISBN 9780199280575
- Binding Hardback
- No. of pages304 pages
- Size 241x163x23 mm
- Weight 602 g
- Language English
- Illustrations Numerous tables and figures 0
Categories
Short description:
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.
MoreLong 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 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.
This book makes an important contribution to the analysis of international financial problems.
Table of Contents:
Preface
Overview
Optimal debt and Equilibrium Exchange Rates: An Overview
Theoretical Framework
Stochastic Optimal Control: Short-term Debt in Discrete Time
Stochastic Inter-temporal Optimization: Long-term Debt in Continuous Time
The NATREX Model
Evaluating Exchange Rates
The Euro exchange rate: An Evaluation of Research
The Transition Economies: A NATREX Evaluation of Research
External Debt and Exchange Rate Crises
Default Risk in Emerging Markets
Asian Crises
United States Current Account Deficits: A Stochastic Optimal Control Analysis
