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Optimal Debt And Endogenous Growth In Models Of International Finance

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  • JEROME L. STEIN

Abstract

The International Monetary Fund, the World Bank and the bond rating agencies did not anticipate the crises in Asia 1997-98 and in Argentina 2001. With this statement in mind, we consider some multi-stage inter-temporal stochastic optimisation models in international finance that imply theoretically founded and empirically measurable Early Warning Signals. The mathematical technique is dynamic programming/stochastic optimal control (DP/SOC). Copyright Blackwell Publishing Ltd/University of Adelaide and Flinders University 2005..

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Australian Economic Papers.

Volume (Year): 44 (2005)
Issue (Month): 4 (December)
Pages: 389-413

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Handle: RePEc:bla:ausecp:v:44:y:2005:i:4:p:389-413

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Cited by:
  1. Jerome L. Stein, 2008. "A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis," CESifo Working Paper Series 2220, CESifo Group Munich.
  2. Stein, Jerome L., 2007. "United States current account deficits: A stochastic optimal control analysis," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1321-1350, May.
  3. Stein, Jerome L., 2011. "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, vol. 28(1-2), pages 272-280, January.
  4. Jerome L. Stein, 2009. "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series 2539, CESifo Group Munich.

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