bibtype	J - Journal Article
ARLID	0472380
utime	20240103213756.0
mtime	20170310235959.9
SCOPUS	85010825404
WOS	000427078800006
DOI	10.1007/s10614-017-9649-9
title (primary) (eng)	The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
specification	page_count 28 s. media_type P
serial	ARLID cav_un_epca*0361880 ISSN 0927-7099 title Computational Economics volume_id 51 volume 4 (2018) page_num 865-892 publisher name Springer
keyword	Tobin tax
keyword	Foreign exchange market
keyword	Agent-based modeling
keyword	Walrasian auctioneer
author (primary)	ARLID cav_un_auth*0021777 name1 Staněk name2 F. country CZ
author	ARLID cav_un_auth*0293468 full_dept (cz) Ekonometrie full_dept Department of Econometrics department (cz) E department E full_dept Department of Econometrics name1 Kukačka name2 Jiří institution UTIA-B country CZ garant A fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source	url http://library.utia.cas.cz/separaty/2017/E/kukacka-0472380.pdf
cas_special	project ARLID cav_un_auth*0281000 project_id GBP402/12/G097 agency GA ČR country CZ project ARLID cav_un_auth*0344086 project_id 588912 agency GA UK country CZ project ARLID cav_un_auth*0344087 project_id SVV260233 agency GA MŠk country CZ abstract (eng) 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. RIV AH FORD0 50000 FORD1 50200 FORD2 50202 reportyear 2019 num_of_auth 2 inst_support RVO:67985556 permalink http://hdl.handle.net/11104/0269705 cooperation ARLID cav_un_auth*0344083 name Center for Economic Research and Graduate Education – Economics Institute institution CERGE-EI country CZ cooperation ARLID cav_un_auth*0344084 name Institut ekonomických studií, Fakulta sociálních věd, Univerzita Karlova institution IES FSV UK country CZ confidential S mrcbC86 2 Article Economics|Management|Mathematics Interdisciplinary Applications mrcbT16-e ECONOMICS|MANAGEMENT|MATHEMATICSINTERDISCIPLINARYAPPLICATIONS mrcbT16-j 0.305 mrcbT16-s 0.365 mrcbT16-B 19.764 mrcbT16-D Q4 mrcbT16-E Q2 arlyear 2018 mrcbU14 85010825404 SCOPUS mrcbU24 PUBMED mrcbU34 000427078800006 WOS mrcbU63 cav_un_epca*0361880 Computational Economics 0927-7099 1572-9974 Roč. 51 č. 4 2018 865 892 Springer