A novel approach to exchange rate control using controlled backward stochastic differential equations

We 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.

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Year of publication:	2005
Authors:	Yannacopoulos, A. N.
Published in:	Ekonomia. - Cyprus Economic Society - CES. - Vol. 8.2005, 1, p. 74-91
Publisher:	Cyprus Economic Society - CES

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Type of publication:	Article
Classification:	C65 - Miscellaneous Mathematical Tools ; D84 - Expectations; Speculations ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005524083