A novel approach to exchange rate control using controlled backward stochastic differential equations
AbstractWe present an approach to exchange rate control based on the reformulation of the exchange rate equation as a controlled backward stochastic differential equation. We obtain an explicit solution for the optimal managed flot monetary rule, which is shown to depend crucially on the expectations of future values of the fundamentals, discounted properly.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 8 (2005)
Issue (Month): 1 (Summer)
Find related papers by JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- F31 - International Economics - - International Finance - - - Foreign Exchange
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Managing Editor).
If references are entirely missing, you can add them using this form.