Počet záznamů: 1  

The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market

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    0472380 - ÚTIA 2019 RIV NL eng J - Článek v odborném periodiku
    Staněk, F. - Kukačka, Jiří
    The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market.
    Computational Economics. Roč. 51, č. 4 (2018), s. 865-892. ISSN 0927-7099. E-ISSN 1572-9974
    Grant CEP: GA ČR(CZ) GBP402/12/G097
    Grant ostatní: GA UK(CZ) 588912; GA MŠk(CZ) SVV260233
    Institucionální podpora: RVO:67985556
    Klíčová slova: Tobin tax * Foreign exchange market * Agent-based modeling * Walrasian auctioneer
    Obor OECD: Applied Economics, Econometrics
    Impakt faktor: 1.185, rok: 2018
    http://library.utia.cas.cz/separaty/2017/E/kukacka-0472380.pdf

    We explore possible effects of a Tobin tax on exchange rate dynamics in a heterogeneous agent model. To assess the impact of the Tobin tax in this framework, we extend the model of De Grauwe and Grimaldi (Eur Econ Rev 50(1):1–33, 2006) by including transaction costs and perform numerical simulations. Motivated by the importance of the market microstructure, we choose to model the market as being cleared by a Walrasian auctioneer. This setting could more closely resemble the two-layered structure of foreign exchanges at daily frequency than a price impact function, which is often adopted in similar studies. We find that the Tobin tax can deliver a moderate reduction of return volatility and kurtosis. In addition, simulations indicate that the Tobin tax reduces the degree of mispricing in the time series, which is primarily achieved by eliminating long-lasting deviations from fundamental value.
    Trvalý link: http://hdl.handle.net/11104/0269705

     
     
Počet záznamů: 1  

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