Heterogeneous traders and the Tobin tax
Abstract
To study the effectiveness of the Tobin tax, we develop a model of heterogeneous interacting agents. Traders either speculate on the basis of technical or fundamental analysis, or abstain from the market, a decision which depends on profit considerations, as well as communication between agents. Simulations generate stylized facts such as unit roots in exchange rates, fat tails for returns, or volatility clustering. The imposition of a Tobin tax leads to a crowding out of speculators and stabilizes the dynamics. However, the decreasing impact of fundamentalists triggers misalignments if tax rates are too high. Copyright Springer-Verlag Berlin Heidelberg 2003Download Info
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Bibliographic Info
Article provided by Springer in its journal Journal of Evolutionary Economics.
Volume (Year): 13 (2003)
Issue (Month): 1 (02)
Pages: 53-70
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Web page: http://link.springer.de/link/service/journals/00191/index.htm
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Related research
Keywords: Key words: Foreign exchange markets – Tobin tax – Technical and fundamental analysis; JEL Classification: F31; G14;Other versions of this item:
- Frank Westerhoff, 2002. "Heterogeneous Traders and the Tobin Tax," Computing in Economics and Finance 2002 51, Society for Computational Economics.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz.
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- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
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- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
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