Počet záznamů: 1
The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
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SYSNO ASEP 0472380 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market Tvůrce(i) Staněk, F. (CZ)
Kukačka, Jiří (UTIA-B) RID, ORCIDCelkový počet autorů 2 Zdroj.dok. Computational Economics. - : Springer - ISSN 0927-7099
Roč. 51, č. 4 (2018), s. 865-892Poč.str. 28 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Tobin tax ; Foreign exchange market ; Agent-based modeling ; Walrasian auctioneer Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000427078800006 EID SCOPUS 85010825404 DOI https://doi.org/10.1007/s10614-017-9649-9 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2019
Počet záznamů: 1