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

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    SYSNO ASEP0472380
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleThe Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
    Author(s) Staněk, F. (CZ)
    Kukačka, Jiří (UTIA-B) RID, ORCID
    Number of authors2
    Source TitleComputational Economics. - : Springer - ISSN 0927-7099
    Roč. 51, č. 4 (2018), s. 865-892
    Number of pages28 s.
    Publication formPrint - P
    Languageeng - English
    CountryNL - Netherlands
    KeywordsTobin tax ; Foreign exchange market ; Agent-based modeling ; Walrasian auctioneer
    Subject RIVAH - Economics
    OECD categoryApplied Economics, Econometrics
    R&D ProjectsGBP402/12/G097 GA ČR - Czech Science Foundation (CSF)
    Institutional supportUTIA-B - RVO:67985556
    UT WOS000427078800006
    EID SCOPUS85010825404
    DOI https://doi.org/10.1007/s10614-017-9649-9
    AnnotationWe 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2019
Number of the records: 1  

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