Jerome L. Stein

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

Brown University - Division of Applied Mathematics

Professor

Providence, RI 02912

United States

SCHOLARLY PAPERS

28

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5,906

CITATIONS
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SSRN RANKINGS

Top 3,024

in Total Papers Citations

183

Scholarly Papers (28)

1.

Country Default Risk: An Empirical Assessment

CESifo Working Paper Series No. 469
Number of pages: 36 Posted: 18 Jun 2001
Jerome L. Stein and Giovanna Paladino
Brown University - Division of Applied Mathematics and IntesaSanpaolo
Downloads 584 (35,900)
Citation 5

Abstract:

Default Risk, Foreign Debt, Stochastic Optimal Control, Debt Rescheduling, Uncertainty

A Critique of the Literature on the US Financial Debt Crisis

CESifo Working Paper Series No. 2924
Number of pages: 41 Posted: 01 Feb 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 319 (78,291)
Citation 1

Abstract:

stochastic optimal control, mortgage and financial crises, Ito equation, optimal dynamic risk management, warning signals of crisis, optimal leverage and debt ratios, Congressional Oversight Panel, Case-Shiller index

A Critique of the Literature on the US Financial Debt Crisis

Number of pages: 37 Posted: 16 Jan 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 197 (129,948)
Citation 1

Abstract:

Stochastic optimal control, Mortgage and Financial Crises, Ito equation, Optimal Dynamic Risk management, Warning Signals of crisis, Optimal Leverage and Debt ratios, Congressional Oversight Panel, Case-Shiller index

A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis

CESifo Working Paper Series No. 2220
Number of pages: 28 Posted: 12 Feb 2008
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 459 (50,595)
Citation 8

Abstract:

optimization, banking, stochastic optimal control, agriculture debt crisis, subprime mortgage crisis

A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 4, 2010-3
Number of pages: 26 Posted: 18 Dec 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 31 (408,897)
Citation 8

Abstract:

Optimization, banking, stochastic optimal control, agriculture debt crisis, subprime mortgage crisis

A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis

Economics Discussion Paper No. 2009-44
Number of pages: 25 Posted: 18 Dec 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 24 (444,524)
Citation 8

Abstract:

Optimization, banking, stochastic optimal control, agriculture debt crisis, subprime mortgage crisis

4.

A Stochastic Optimal Control Approach to International Finance and Foreign Debt

CESifo Working Paper No. 204
Number of pages: 48 Posted: 23 Oct 2000
Wendell H. Fleming and Jerome L. Stein
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics
Downloads 497 (44,586)
Citation 34

Abstract:

Stochastic optimal control, foreign debt, international finance, current account, vulnerability to external shocks

5.

The Equilibrium Value of the Euro/$ US Exchange Rate: An Evaluation of Research

CESifo Working Paper Series No. 525
Number of pages: 43 Posted: 14 Aug 2001
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 456 (49,512)
Citation 13

Abstract:

Euro, NATREX, BEER, Equilibrium Exchange Rates, International Capital Flows, Misalignment

6.

The Fundamental Determinants of the Real Exchange Rate of the U.S. Dollar Relative to Other G-7 Currencies

IMF Working Paper No. 95/81
Number of pages: 46 Posted: 15 Feb 2006
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 432 (47,294)
Citation 28

Abstract:

7.

Stochastic Optimal Control Modeling of Debt Crises

CESifo Working Paper Series No. 1043
Number of pages: 23 Posted: 10 Nov 2003
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 401 (57,225)
Citation 10

Abstract:

stochastic optimal control, debt, international finance, US agricultural crisis, Mean-Variance analysis, Hamilton-Jacobi-Bellaman equation

The Diversity of Debt Crises in Europe

CESifo Working Paper Series No. 3348
Number of pages: 21 Posted: 20 Feb 2011
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 318 (78,540)

Abstract:

European debt crisis, excess debt, early warning signals, domestic housing sector, government deficit debt

The Diversity of Debt Crises in Europe

Cato Journal, Vol. 31, No. 2, 2011
Number of pages: 18 Posted: 17 Apr 2013
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 48 (345,248)

Abstract:

European economic crisis, financial crisis, Euro instability, government policy, Spain financial crisis, Ireland financial crisis, Portugal bailout, Greece bailout

9.

Stochastic Optimal Control, International Finance and Debt

CESifo Working Paper Series No. 744
Number of pages: 38 Posted: 10 Oct 2002
Wendell H. Fleming and Jerome L. Stein
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics
Downloads 311 (78,816)
Citation 56

Abstract:

Stochastic Optimal Control, Foreign Debt, International Finance, Vulnerability to External Shocks, Sustainable Current Account Deficits

10.

Asian Crises: Theory, Evidence, Warning-signals

CESifo Working Paper Series No. 1159
Number of pages: 41 Posted: 13 Apr 2004
Jerome L. Stein and Guay C. Lim
Brown University - Division of Applied Mathematics and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 262 (96,047)
Citation 2

Abstract:

asian crises, optimal debt, equilibrium exchange rates, NATREX, stochastic optimal control, warning signals of crises, exchange rate misalignment

11.

Stochastic Intertemporal Optimization In Discrete Time

CESifo Working Paper Series No. 338
Number of pages: 23 Posted: 28 Mar 2001
Wendell H. Fleming and Jerome L. Stein
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics
Downloads 205 (122,043)
Citation 4

Abstract:

12.

Exchange Rate Misalignments And Crises

CESifo Working Paper Series No. 205
Number of pages: 65 Posted: 17 Jun 2001
Jerome L. Stein and Giovanna Paladino
Brown University - Division of Applied Mathematics and IntesaSanpaolo
Downloads 201 (121,510)
Citation 4

Abstract:

13.

The Transition Economies: A NATREX Evaluation of Research

CESifo Working Paper Series No. 1449
Number of pages: 50 Posted: 25 Apr 2005
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 176 (134,629)

Abstract:

transition economies, NATREX model, equilibrium real exchange rates, current account deficits, euro area

Alan Greenspan, the Quants and Stochastic Optimal Control

Economics Discussion Paper No. 2010-17
Number of pages: 41 Posted: 18 Dec 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 94 (237,481)

Abstract:

Stochastic optimal control, warning signals of crisis, optimal leverage and debt ratios

Alan Greenspan, the Quants and Stochastic Optimal Control

Number of pages: 41 Posted: 21 May 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 80 (263,446)

Abstract:

Greenspan, Quants, Stochastic Optimal Control, Warning Signals of crisis, Optimal Leverage, Debt ratios

15.

Applicaton of Stochastic Optimal Control to Financial Market Debt Crises

CESifo Working Paper Series No. 2539
Number of pages: 34 Posted: 11 Feb 2009
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 148 (157,909)

Abstract:

stochastic optimal control, dynamic optimization, mortgage crisis, Ito equation, risk aversion, debt management, warning signals

16.

Optimal Debt and Equilibrium Exchange Rates in a Stochastic Environment: An Overview

CESifo Working Paper Series No. 1363
Number of pages: 59 Posted: 29 Dec 2004
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 146 (160,434)
Citation 1

Abstract:

stochastic optimal control, foreign debt, NATREX, vulnerability to external shocks, sustainable current account, warning signals of debt crisis, exchange rate misalignments

17.

Application of Stochastic Optimal Control to Financial Market Debt Crises

Number of pages: 29 Posted: 28 Jan 2009 Last Revised: 29 Jan 2009
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 111 (202,219)

Abstract:

Stochastic optimal control, Dynamic Optimization, Ito equation, Risk aversion, Debt Management, Mortgage Crisis, Warning signals

18.

United States Current Account Deficits: A Stochastic Optimal Control Analysis

CESifo Working Paper Series No. 1805
Number of pages: 54 Posted: 18 Oct 2006
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 94 (226,246)
Citation 4

Abstract:

U.S. current account deficits, external debt, stochastic optimal control, dynamic

19.

Optimal Capital Requirements for a Large Insurer/AIG: A Stochastic Optimal Control Approach

Number of pages: 21 Posted: 16 Dec 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 63 (288,725)

Abstract:

AIG, Insurance, Stochastic Optimal Control, Optimal Capital Requirements, Risk, Financial Crises

20.

Enlargement and the Value of the Euro

Australian Economic Papers, Vol. 41, pp. 462-479, 2002
Number of pages: 18 Posted: 13 Jan 2003
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 14 (483,495)
Citation 1
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Abstract:

21.

Introduction to 'Exchange Rates in Europe and Australasia: Fundamental Determinants, Adjustments and Policy Implications'

Australian Economic Papers, Vol. 41, pp. 329-341, 2002
Number of pages: 13 Posted: 13 Jan 2003
Jerome L. Stein and Guay C. Lim
Brown University - Division of Applied Mathematics and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 14 (483,495)
Citation 5
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Abstract:

22.

Optimal Debt and Endogenous Growth in Models of International Finance

Australian Economic Papers, Vol. 44, No. 4, pp. 389-413, December 2005
Number of pages: 25 Posted: 07 Jan 2006
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 13 (488,602)
Citation 6
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Abstract:

23.

Greenspan's Retrospective of Financial Crisis and Stochastic Optimal Control

European Financial Management, Vol. 16, No. 5, pp. 858-871, November 2010
Number of pages: 14 Posted: 26 Oct 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics
Downloads 1 (554,881)
Citation 1
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Abstract:

24.

A Critique of Alan Greenspan’s Retrospective on the Crisis

Posted: 29 Jul 2010
Jerome L. Stein
Brown University - Division of Applied Mathematics

Abstract:

Greenspan, Capital Requirements, Stochastic Optimal Control, Warning Signals of Crisis, Optimal Leverage and Debt Ratios, Bubbles

25.

Stochastic Inter-temporal Optimization in Discrete Time

ECONOMIC THEORY, DYNAMICS AND MARKETS: ESSAYS IN HONOR OF RYUZO SATO, Takashi Negishi, Rama Ramachandran and Kazuo Mino, Eds., Kluwer, 2001
Posted: 01 Nov 2001
Jerome L. Stein and Wendell H. Fleming
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics

Abstract:

Stochastic inter-temporal optimization, international debt, uncertainty, risk

26.

Country Debt Risk: A Stochastic Inter-temporal Optimization Approach

AFA 2001 New Orleans
Posted: 12 Jan 2001
Jerome L. Stein and Wendell H. Fleming
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics

Abstract:

27.

Country Debt Risk: A Stochastic Optimal Control Perspective

Posted: 07 Nov 2000
Wendell H. Fleming and Jerome L. Stein
Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics

Abstract:

28.

The Real Exchange Rates of Germany

Center for Economic Studies Working Paper at University of Munich, Number 68
Posted: 16 Sep 1999
Jerome L. Stein and Karlhans Sauernheimer
Brown University - Division of Applied Mathematics and University of Mainz - Department of Economic Theory

Abstract: