A disutility-based drift control for exchange rates

Journal article

Castellano, R, Cerqueti, R and D'Ecclesia, R. L (2014). A disutility-based drift control for exchange rates. Optimization. 63 (2), pp. 255-269.
AuthorsCastellano, R, Cerqueti, R and D'Ecclesia, R. L
Abstract

In this paper we propose an exchange rate model as solution of a disutility based drift control problem. Given the exchange rate is a function of the fundamental, we assume Government Authorities control the fundamental dynamics aimed at minimizing the discounted expected disutility caused by the distance between the fundamental and some specific target. The theoretical model is solved using the
dynamic programming approach and introducing the concept of viscosity solution. We contribute to research on exchange rate control policies by deriving the optimal interventions aimed at stabilizing the exchange rate and preserving macroeconomic stability. We also show that, under particular conditions, it is possible to derive the optimal
width of the currency band.

This is an Accepted Manuscript of an article published by Taylor & Francis in Optimization on 06 January 2012, available online: http://www.tandfonline.com/10.1080/02331934.2011.641016

KeywordsDrift control; Dynamic programming; Viscosity solutions; Stabilization policies; Exchange rates
Year2014
JournalOptimization
Journal citation63 (2), pp. 255-269
PublisherInforma UK Limited
ISSN0233-1934
Digital Object Identifier (DOI)doi:10.1080/02331934.2011.641016
Publication dates
PrintFeb 2014
Online06 Jan 2012
Publication process dates
Accepted08 Nov 2011
Deposited01 Apr 2020
Accepted author manuscript
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CC BY 4.0
File Access Level
Open
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