Projected Dynamical Systems for International Financial Policy Modeling and Computation
In this paper, we present a projected dynamical systems approach for international financial policy modeling and computation. The dynamic model incorporates taxes that depend both on the origin and on the type of investing sector, and price policy interventions that allow the monetary authorities to set upper and lower prices for all instruments and currencies. The stationary point yields the optimal composition of assets and liabilities for each sector of each country, as well as the equilibrium prices of the instruments, and the exchange rates, in terms of a basic currency. We present qualitative properties of the continuous time model, in terms of stability analysis, and propose a discrete time algorithm, along with convergence results, and a numerical example. This paper may be viewed as a contribution to the internationalization of tools for financial analysis.
KeywordsEurope Covariance Boulder
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