Stochastic optimal control, international finance, and debt crises:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
2006
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Beschreibung für Leser Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index Optimal debt and equilibrium exchange rates in a stochastic environment: an overview -- Stochastic optimal control model of short-term debt -- Stochastic intertemporal optimization : long-term debt continuous time -- The NATREX model and the equilibrium real exchange rate -- The equilibrium real value of the euro : an evaluation of research -- The transition economies : a NATREX evaluation of research -- Country default risk in emerging markets -- Asian crises : theory, evidence, warning signals -- United States current account deficits : a stochastic optimal control analysis |
| Beschreibung: | XVII, 286 S. graph. Darst. |
| ISBN: | 9780199280575 0199280576 |
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| 100 | 1 | |a Stein, Jerome L. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic optimal control, international finance, and debt crises |c Jerome L. Stein |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2006 | |
| 300 | |a XVII, 286 S. |b graph. Darst. | ||
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| 500 | |a Includes bibliographical references and index | ||
| 500 | |a Optimal debt and equilibrium exchange rates in a stochastic environment: an overview -- Stochastic optimal control model of short-term debt -- Stochastic intertemporal optimization : long-term debt continuous time -- The NATREX model and the equilibrium real exchange rate -- The equilibrium real value of the euro : an evaluation of research -- The transition economies : a NATREX evaluation of research -- Country default risk in emerging markets -- Asian crises : theory, evidence, warning signals -- United States current account deficits : a stochastic optimal control analysis | ||
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Debts, Public |x Mathematical models | |
| 650 | 4 | |a Endogenous growth (Economics) |x Mathematical models | |
| 650 | 4 | |a Equilibrium (Economics) |x Mathematical models | |
| 650 | 4 | |a Foreign exchange rates |x Mathematical models | |
| 650 | 4 | |a Stochastic processes |x Mathematical models | |
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Datensatz im Suchindex
| _version_ | 1804135095676698624 |
|---|---|
| adam_text | 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
Part II. Theoretical Framework
2. Stochastic optimal control model of short term debt 45
3. Stochastic intertemporal optimization: Long term debt
continuous time 62
4. The NATREX model and the equilibrium real exchange rate 89
Part III. Evaluating Exchange Rates
5. The equilibrium real value of the euro: An evaluation
of research 123
6. The transition economies: A NATREX evaluation of research 153
Part IV. External Debt and Exchange Rate Crises
7. Country default risk in emerging markets 191
8. Asian crises: Theory, evidence, warning Signals 215
9. United States current account deficits: A stochastic optimal
control analysis 245
Index 283
xiii
List of Figures
1.1 Relation between the equilibrium nominal exchange rate,
the NATREX, and relative prices. 17
1.2 Nominal value and NATREX of synthetic euro. 19
1.3 Optimal debt/capital. 26
1.4 Optimal ratio debt/net worth. 36
1.5 Argentina: Debt/GDP and return on investment. 39
2.1 Optimal values investment, saving and debt. 54
2.2 Constraint set. 55
2.3 Optimal debt/capital f is equation (19). 56
2.4 Optimal consumption and investment per unit of capital. 60
3.1 Optimal debt/net worth. 73
3.2 Mean Variance Analysis of the optimum debt/net worth ratio. 76
4.1 Relation between nominal exchange rate, relative prices, and
equilibrium real exchange rate. 91
4.2 Simultaneous determination of the medium run NATREX and
world real rate of interest. 95
4.3 Medium run equilibrium. 104
4.4 Dynamics of scenarios. 113
4.5 Effects of lagged adjustment. 117
5.1 The nominal value of the euro. 124
5.2 Nominal and real values of synthetic euro relative to . 126
5.3 The real value of the relative to the synthetic euro. 134
5.4 The smooth real exchange rate of the euro relative to . 142
5.5 The Ratio of EU/US social consumption. 143
5.6 Ratio of EU/US productivity. 143
5.7 Real value of euro and long run NATREX. 148
6.1 Real effective exchange rates of Czech Republic, Hungary, and Poland. 154
xiv
List of Figures
6.2 Medium run NATREX resulting from a rise in time preference/
decline in social saving rate. 163
6.3 Dynamic effects of a decline in social saving/rise in social
consumption. 164
6.4 Optimal output is affected by FDI that lowers short run
marginal cost. 164
6.5 Foreign direct investment induced by the productivity of
investment raises productivity according to equation (6.3). 168
6.6 Balance goods and services/GDP, Czech Republic, Hungary,
and Poland. 171
6.7 Hungary: real effective exchange rate, labor productivity. 176
6.8 Czech Republic: real exchange rate, labor productivity,
time preference. 181
6.9 Nominal exchange rate. 183
6.10 Bulgaria: real exchange rate, labor productivity. 184
6.11 Poland: real exchange rate, labor productivity. 185
7.1 Optimal debt/GDP. 197
7.2 Mexico. Histogram of gross return. 201
7.3 Tunisia. Histogram of gross return. 202
7.4 Excess debt in Mexico and Tunisia. 203
7.5 Argentina and Brazil: Excess debt. 204
7.6 Default/reschedule countries panel. 207
7.7 Control group panel. 207
8.1 The medium run and long run real exchange rate NATREX. 224
8.2 Optimal ratio debt/net worth. 230
8.3 Probability distribution of the growth rate of consumption. 231
9.1 U.S. current account/GDP and real exchange rate. 246
9.2 Productivity of capital plus rate of technical progress. 261
9.3 Optimal debt/net worth. 264
9.4 Distribution of U.S. net return. 268
9.5 U.S. Current account deficit/GDP and net return. 270
9.6 U.S. social consumption/GDP. 27°
9.7 U.S. basic variables. 271
xv
List of Tables
1.1 NATREX dynamics of exchange rate and external debt. 14
1.2 Mexico and Tunisia 1979 2001. 28
2.1 Capital flows, developing countries 1994 2001. 46
2.2 Definitions of crucial terms. 60
4.1 Medium run and long run effects: alternative scenarios. 108
4.2 Medium run and long run effects: stability. 114
5.1 Survey of BEER studies of equilibrium real value of euro. 128
5.2 BEER: Longer run determinants of real value euro and DM. 130
5.3 NATREX studies of the synthetic euro and component currencies. 135
5.4 Estimates of cointegration equation for Euro. 147
6.1 Percentage changes in real exchange rates of Czech Republic,
Hungary, Poland, relative to Germany. 156
6.2 Panel data. 158
6.3 Summary NATREX model. 163
6.4 Hungary: the effects of the fundamental determinants of the real
exchange rate in the medium run and in the long run. 171
6.5 Czech Republic: Empirical results. 179
7.1 Net private capital flows to emerging markets. 192
7.2 Average spreads. 193
7.3 Comparison of Mexico and Tunisia. 200
7.4 Panel data: default and no default countries. 206
7.5 Contingency table by country/subperiod. 209
7.6 Contingency table by country/subperiod. 209
Al List of multilateral relief agreements. 211
A2 Summary table default group. 212
A3 Summary table control group. 213
8.1 The Asian crisis 1997 8. 216
xvi
List of Tables
8.2 Macroeconomic variables 1975 85 and 1986 96. 218
8.3 Net private capital flows to Asia. 219
8.4 Measure of sustainability . 220
8.5 Debt service/export ratios. 221
8.6 Summary of warning signals for 1997 8 crises. 241
9.1 Ratio of external assets/external liabilities. 246
9.2 Descriptive statistics of return. 261
9.3 Empirical estimates of optimal debt/net worth and
current account deficit/GDP. 269
9.4 Growth of productivity. 274
xvii
|
| adam_txt |
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
Part II. Theoretical Framework
2. Stochastic optimal control model of short term debt 45
3. Stochastic intertemporal optimization: Long term debt
continuous time 62
4. The NATREX model and the equilibrium real exchange rate 89
Part III. Evaluating Exchange Rates
5. The equilibrium real value of the euro: An evaluation
of research 123
6. The transition economies: A NATREX evaluation of research 153
Part IV. External Debt and Exchange Rate Crises
7. Country default risk in emerging markets 191
8. Asian crises: Theory, evidence, warning Signals 215
9. United States current account deficits: A stochastic optimal
control analysis 245
Index 283
xiii
List of Figures
1.1 Relation between the equilibrium nominal exchange rate,
the NATREX, and relative prices. 17
1.2 Nominal value and NATREX of synthetic euro. 19
1.3 Optimal debt/capital. 26
1.4 Optimal ratio debt/net worth. 36
1.5 Argentina: Debt/GDP and return on investment. 39
2.1 Optimal values investment, saving and debt. 54
2.2 Constraint set. 55
2.3 Optimal debt/capital f is equation (19). 56
2.4 Optimal consumption and investment per unit of capital. 60
3.1 Optimal debt/net worth. 73
3.2 Mean Variance Analysis of the optimum debt/net worth ratio. 76
4.1 Relation between nominal exchange rate, relative prices, and
equilibrium real exchange rate. 91
4.2 Simultaneous determination of the medium run NATREX and
world real rate of interest. 95
4.3 Medium run equilibrium. 104
4.4 Dynamics of scenarios. 113
4.5 Effects of lagged adjustment. 117
5.1 The nominal value of the euro. 124
5.2 Nominal and real values of synthetic euro relative to \. 126
5.3 The real value of the \ relative to the synthetic euro. 134
5.4 The smooth real exchange rate of the euro relative to \. 142
5.5 The Ratio of EU/US social consumption. 143
5.6 Ratio of EU/US productivity. 143
5.7 Real value of euro and long run NATREX. 148
6.1 Real effective exchange rates of Czech Republic, Hungary, and Poland. 154
xiv
List of Figures
6.2 Medium run NATREX resulting from a rise in time preference/
decline in social saving rate. 163
6.3 Dynamic effects of a decline in social saving/rise in social
consumption. 164
6.4 Optimal output is affected by FDI that lowers short run
marginal cost. 164
6.5 Foreign direct investment induced by the productivity of
investment raises productivity according to equation (6.3). 168
6.6 Balance goods and services/GDP, Czech Republic, Hungary,
and Poland. 171
6.7 Hungary: real effective exchange rate, labor productivity. 176
6.8 Czech Republic: real exchange rate, labor productivity,
time preference. 181
6.9 Nominal exchange rate. 183
6.10 Bulgaria: real exchange rate, labor productivity. 184
6.11 Poland: real exchange rate, labor productivity. 185
7.1 Optimal debt/GDP. 197
7.2 Mexico. Histogram of gross return. 201
7.3 Tunisia. Histogram of gross return. 202
7.4 Excess debt in Mexico and Tunisia. 203
7.5 Argentina and Brazil: Excess debt. 204
7.6 Default/reschedule countries panel. 207
7.7 Control group panel. 207
8.1 The medium run and long run real exchange rate NATREX. 224
8.2 Optimal ratio debt/net worth. 230
8.3 Probability distribution of the growth rate of consumption. 231
9.1 U.S. current account/GDP and real exchange rate. 246
9.2 Productivity of capital plus rate of technical progress. 261
9.3 Optimal debt/net worth. 264
9.4 Distribution of U.S. net return. 268
9.5 U.S. Current account deficit/GDP and net return. 270
9.6 U.S. social consumption/GDP. 27°
9.7 U.S. basic variables. 271
xv
List of Tables
1.1 NATREX dynamics of exchange rate and external debt. 14
1.2 Mexico and Tunisia 1979 2001. 28
2.1 Capital flows, developing countries 1994 2001. 46
2.2 Definitions of crucial terms. 60
4.1 Medium run and long run effects: alternative scenarios. 108
4.2 Medium run and long run effects: stability. 114
5.1 Survey of BEER studies of equilibrium real value of euro. 128
5.2 BEER: Longer run determinants of real value euro and DM. 130
5.3 NATREX studies of the synthetic euro and component currencies. 135
5.4 Estimates of cointegration equation for Euro. 147
6.1 Percentage changes in real exchange rates of Czech Republic,
Hungary, Poland, relative to Germany. 156
6.2 Panel data. 158
6.3 Summary NATREX model. 163
6.4 Hungary: the effects of the fundamental determinants of the real
exchange rate in the medium run and in the long run. 171
6.5 Czech Republic: Empirical results. 179
7.1 Net private capital flows to emerging markets. 192
7.2 Average spreads. 193
7.3 Comparison of Mexico and Tunisia. 200
7.4 Panel data: default and no default countries. 206
7.5 Contingency table by country/subperiod. 209
7.6 Contingency table by country/subperiod. 209
Al List of multilateral relief agreements. 211
A2 Summary table default group. 212
A3 Summary table control group. 213
8.1 The Asian crisis 1997 8. 216
xvi
List of Tables
8.2 Macroeconomic variables 1975 85 and 1986 96. 218
8.3 Net private capital flows to Asia. 219
8.4 Measure of "sustainability". 220
8.5 Debt service/export ratios. 221
8.6 Summary of warning signals for 1997 8 crises. 241
9.1 Ratio of external assets/external liabilities. 246
9.2 Descriptive statistics of return. 261
9.3 Empirical estimates of optimal debt/net worth and
current account deficit/GDP. 269
9.4 Growth of productivity. 274
xvii |
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| illustrated | Illustrated |
| index_date | 2024-07-02T13:52:04Z |
| indexdate | 2024-07-09T20:35:04Z |
| institution | BVB |
| isbn | 9780199280575 0199280576 |
| language | English |
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| publisher | Oxford Univ. Press |
| record_format | marc |
| spelling | Stein, Jerome L. Verfasser aut Stochastic optimal control, international finance, and debt crises Jerome L. Stein 1. publ. Oxford [u.a.] Oxford Univ. Press 2006 XVII, 286 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Optimal debt and equilibrium exchange rates in a stochastic environment: an overview -- Stochastic optimal control model of short-term debt -- Stochastic intertemporal optimization : long-term debt continuous time -- The NATREX model and the equilibrium real exchange rate -- The equilibrium real value of the euro : an evaluation of research -- The transition economies : a NATREX evaluation of research -- Country default risk in emerging markets -- Asian crises : theory, evidence, warning signals -- United States current account deficits : a stochastic optimal control analysis Buitenlandse schulden gtt Wisselkoersen gtt Mathematisches Modell Debts, Public Mathematical models Endogenous growth (Economics) Mathematical models Equilibrium (Economics) Mathematical models Foreign exchange rates Mathematical models Stochastic processes Mathematical models Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Auslandsschulden (DE-588)4003783-6 gnd rswk-swf Auslandsschulden (DE-588)4003783-6 s Stochastische Kontrolltheorie (DE-588)4263657-7 s DE-604 http://catdir.loc.gov/catdir/toc/ecip064/2005034735.html Inhaltsverzeichnis http://catdir.loc.gov/catdir/enhancements/fy0636/2005034735-d.html Beschreibung für Leser HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014619588&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stein, Jerome L. Stochastic optimal control, international finance, and debt crises Buitenlandse schulden gtt Wisselkoersen gtt Mathematisches Modell Debts, Public Mathematical models Endogenous growth (Economics) Mathematical models Equilibrium (Economics) Mathematical models Foreign exchange rates Mathematical models Stochastic processes Mathematical models Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Auslandsschulden (DE-588)4003783-6 gnd |
| subject_GND | (DE-588)4263657-7 (DE-588)4003783-6 |
| title | Stochastic optimal control, international finance, and debt crises |
| title_auth | Stochastic optimal control, international finance, and debt crises |
| title_exact_search | Stochastic optimal control, international finance, and debt crises |
| title_exact_search_txtP | Stochastic optimal control, international finance, and debt crises |
| title_full | Stochastic optimal control, international finance, and debt crises Jerome L. Stein |
| title_fullStr | Stochastic optimal control, international finance, and debt crises Jerome L. Stein |
| title_full_unstemmed | Stochastic optimal control, international finance, and debt crises Jerome L. Stein |
| title_short | Stochastic optimal control, international finance, and debt crises |
| title_sort | stochastic optimal control international finance and debt crises |
| topic | Buitenlandse schulden gtt Wisselkoersen gtt Mathematisches Modell Debts, Public Mathematical models Endogenous growth (Economics) Mathematical models Equilibrium (Economics) Mathematical models Foreign exchange rates Mathematical models Stochastic processes Mathematical models Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Auslandsschulden (DE-588)4003783-6 gnd |
| topic_facet | Buitenlandse schulden Wisselkoersen Mathematisches Modell Debts, Public Mathematical models Endogenous growth (Economics) Mathematical models Equilibrium (Economics) Mathematical models Foreign exchange rates Mathematical models Stochastic processes Mathematical models Stochastische Kontrolltheorie Auslandsschulden |
| url | http://catdir.loc.gov/catdir/toc/ecip064/2005034735.html http://catdir.loc.gov/catdir/enhancements/fy0636/2005034735-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014619588&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT steinjeromel stochasticoptimalcontrolinternationalfinanceanddebtcrises |
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Inhaltsverzeichnis