A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes

Arbeitspapier

We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free fundamental value. Within this model framework we can show analytically that the steady-state of the original model is unaffected by the transaction tax rate. We inferred from numerical simulations that the transaction tax is able to reduce the number of speculative equilibria to zero. Moreover, we show that the tax will lead to a faster convergence of the system back to its fundamental steady state.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economics Working Paper ; No. 2007-27

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets ; Current Account Adjustment; Short-term Capital Movements ; Foreign Exchange ; General Financial Markets: Government Policy and Regulation ; Statistical Simulation Methods: General
• Subject: Currency Transaction Taxes ; Exchange Rates ; Financial Market Volatility ; Heterogenous Agents Model ; Numerical Simulation ; Wechselkurs ; Devisenhandel ; Agent-based Model ; Rationale Erwartung ; Effizienzmarktthese ; Transaktionskosten ; Tobinsteuer ; Devisenspekulation ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Demary, Markus
• Event: Veröffentlichung
• (who): Kiel University, Department of Economics
• (where): Kiel
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/22043
• Last update: 10.03.2025, 11:42 AM CET