Government Debt Control: Optimal Currency Portfolio and Payments

References

• Applebaum D (2009) Levy Processes and Stochastic Calculus, 2nd ed. (Cambridge University Press, London).Crossref, Google Scholar
• Blanchard O, Fischer S (1989) Lectures on Macroeconomics (MIT Press, Cambridge, MA).Google Scholar
• Bolder DJ (2002) Toward a more complete debt strategy simulation framework. Working Paper 2012–13, Bank of Canada, Ottawa, Ontario.Google Scholar
• Borensztein E, Cowan K, Eichengreens B, Panizza U, eds. (2008) Bond Markets in Latin America (MIT Press, Cambridge, MA), 1–28.Crossref, Google Scholar
• Cadenillas A (2002) A stochastic maximum principle for systems with jumps, with applications to finance. Systems Control Lett. 47(5): 433–444.Crossref, Google Scholar
• Cadenillas A, Zapatero F (1999) Optimal central bank intervention in the foreign exchange market. J. Econom. Theory 87(1):218–242.Crossref, Google Scholar
• Cadenillas A, Lakner P, Pinedo M (2013) Optimal production management when demand depends on the business cycle. Oper. Res. 61(4): 1046–1062.Link, Google Scholar
• Cont R, Tankov P (2004) Financing Modelling with Jump Processes (CRC Press, Boca Raton, FL).Google Scholar
• Fleming WH, Soner HM (2006) Control Markov Processes and Viscosity Solutions, 2nd ed. (Springer, New York).Google Scholar
• Giavazzi F, Missale A (2004) Public debt management in Brasil. CEPR Discussion Paper 4293, London.Google Scholar
• Greiner A, Fincke B (2009) Public Debt and Economic Growth. Dynamic Modeling and Econometrics in Economics and Finance Series, Vol. 11 (Springer, Berlin).Crossref, Google Scholar
• Guo W, Xu C (2004) Optimal portfolio selection when stock prices follow a jump-diffusion process. Math. Meth. Oper. Res. 60:485–496.Crossref, Google Scholar
• Ikeda N, Watanabe S (1981) Stochastic Differential Equations and Diffusion Processes (North-Holland Publishing Company, Amsterdam).Google Scholar
• Jeanblanc-Picqué M, Pontier M (1990) Optimal portfolio for a small investor in a market model with discontinuous prices. Appl. Math. Optim. 22:287–310.Crossref, Google Scholar
• Kydland FE, Prescott EC (1977) Rules rather than discretion: The inconsistency of optimal plans. J. Political Econom. 85(3):473–492.Crossref, Google Scholar
• Licandro FG, Masoller OA (2000) The optimal currency composition of Uruguayan public debt. Working paper, Central Bank of Uruguay.Google Scholar
• MasCollel A, Whinston MD, Green JR (1995) Microeconomic Theory (Oxford University Press, New York).Google Scholar
• Melecky M (2007) Choosing the currency structure for sovereign debt, a review of current approaches. World Bank Policy Research Working Paper 4246, World Bank, Washington, DC.Google Scholar
• Oksendal B, Sulem A (2008) Applied Stochastic Control for Jump Difussions, 2nd ed. (Springer, Berlin).Google Scholar
• Panizza U (2008) Domestic and external public debt in developing countries. Discussion Papers 188, United Nations Conference on Trade and Development (UNCTAD).Google Scholar
• Pratt JW (1964) Risk aversion in the small and in the large. Econometrica 32(1):122–136.Crossref, Google Scholar
• Protter P (2004) Stochastic Integration and Differential Equations, 2nd ed. (Springer, New York).Google Scholar
• Taylor JB (1979) Estimation and control of a macroeconomic model with rational expectations. Econometrica 47(5):1267–86.Crossref, Google Scholar
• Zapatero F (1995) Equilibrium asset prices and exchange rates. J. Econom. Dynam. Control 19(4):787–811.Crossref, Google Scholar