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Stochastic Optimal Control, International Finance, and Debt Crises$
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Jerome L. Stein

Print publication date: 2006

Print ISBN-13: 9780199280575

Published to Oxford Scholarship Online: May 2006

DOI: 10.1093/0199280576.001.0001

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Asian crises: Theory, evidence, warning Signals 1

Asian crises: Theory, evidence, warning Signals 1

(p.215) 8 Asian crises: Theory, evidence, warning Signals1
Stochastic Optimal Control, International Finance, and Debt Crises

Jerome L. Stein (Contributor Webpage)

Oxford University Press

The Asian financial crises were unexpected by the market and many countries in the region experienced it at about the same time. Drawing upon the theoretical analyses in chapters 2-4, an operational theory is provided to answer the following questions for the Asian countries: Was a currency crisis produced by an overvalued real exchange rate? Was a debt crisis produced by an “excessive/unsustainable” external debt? What was the interaction between the two? The models imply a set of objective, theoretically-based warning signals and empirical analysis allows the assessment of which countries were or were not highly vulnerable to shocks.

Keywords:   Asian crises, overvalued exchange rate, excessive debt, currency crises, debt crises, NATREX, stochastic optimal control, warning signals

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