Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?
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Markus Demary
Summary
We propose a novel heterogeneous interacting agents model in which traders are allowed to select endogenously between two different forecasting models and are moreover allowed to be short-term speculators or long-term investors. Within this model framework we study the effects of currency transaction taxes on exchange rate volatility and traders’ behavior measured by their population fractions. The numerical analysis yields the result that these taxes reduce the variance of exchange rate returns, but increase that kurtosis.Moreover it does not lead to a reduction in the misalignment. The second result is, the tax harms short-term speculation in favor of long-term investments, while it also harms trading rules based on economic fundamentals in favor to trend-extrapolating trading rules. But these results are only valid if agents trade very aggressively. Otherwise taxation is not necessary.
© 2008 by Lucius & Lucius, Stuttgart
Articles in the same Issue
- Titelei
- Inhalt / Contents
- Abhandlungen / Original Papers
- Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice
- Agent-Based Simulations for Electricity Market Regulation Advice: Procedures and an Example
- Multi-Agent Transport Simulations and Economic Evaluation
- The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies
- Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?
- Skills, Innovation, and Growth: An Agent-Based Policy Analysis
- Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model
Articles in the same Issue
- Titelei
- Inhalt / Contents
- Abhandlungen / Original Papers
- Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice
- Agent-Based Simulations for Electricity Market Regulation Advice: Procedures and an Example
- Multi-Agent Transport Simulations and Economic Evaluation
- The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies
- Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?
- Skills, Innovation, and Growth: An Agent-Based Policy Analysis
- Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model
