Arbeitspapier

Speculative asset price dynamics and wealth taxes

Based on the seminal asset-pricing model by Brock and Hommes (1998), we analytically show that higher wealth taxes increase the risky asset's fundamental value, enlarge its local stability domain, may prevent the birth of nonfundamental steady states and, if they exist, reduce the risky asset's mispricing. We furthermore find that higher wealth taxes may hinder the emergence of endogenous asset price oscillations and, if they exist, dampen their amplitudes. Since oscillatory price dynamics may be associated with lower mispricing than locally stable nonfundamental steady states, policymakers may not always want to suppress them by imposing (too low) wealth taxes. Overall, however, our study suggests that wealth taxes tend to stabilize the dynamics of financial markets.

ISBN
978-3-943153-90-3
Sprache
Englisch

Erschienen in
Series: BERG Working Paper Series ; No. 169

Klassifikation
Wirtschaft
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
General Financial Markets: Government Policy and Regulation
Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
Thema
Asset price dynamics
wealth taxes
heterogeneous expectations
nonlinear dynamics
stability and bifurcation analysis

Ereignis
Geistige Schöpfung
(wer)
Mignot, Sarah
Tramontana, Fabio
Westerhoff, Frank H.
Ereignis
Veröffentlichung
(wer)
Bamberg University, Bamberg Economic Research Group (BERG)
(wo)
Bamberg
(wann)
2021

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Mignot, Sarah
  • Tramontana, Fabio
  • Westerhoff, Frank H.
  • Bamberg University, Bamberg Economic Research Group (BERG)

Entstanden

  • 2021

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