Examination of Interest-Growth Differentials and the Risk of Sovereign Insolvency

Examination of Interest-Growth Differentials and the Risk of Sovereign Insolvency

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was developed t...

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Bibliographic Details
Main Author: Jussi Lindgren
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Risks
Subjects:
public debt
debt dynamics
stochastic optimal control
Hamilton–Jacobi–Bellman equation
fiscal policy
nonlinear dynamics
Online Access:https://www.mdpi.com/2227-9091/9/4/75

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