Regensburg 2004 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Mikro-ökonomische Modelle und Multi-Agenten-Systeme

AKSOE 10.3: Vortrag

Donnerstag, 11. März 2004, 15:30–16:00, H8

Tobin tax and market depth — •Gudrun Ehrenstein¹, Dietrich Stauffer¹, and Frank Westerhoff² — ¹Institute for Theoretical Physics, Cologne University, Zülpicherstr. 77, 50937 Köln — ²Department of Economics, University of Osnabrück, Rolandstrasse 8, 49069 Osnabrück

This paper investigates - on the basis of the Cont-Bouchaud model - whether a Tobin tax may stabilize foreign exchange markets. Compared to earlier studies, this paper explicitly recognizes that a transaction-tax-induced reduction in market depth may increase the price responsiveness of a given order. We find that the imposition of a transaction tax may still achieve a triple dividend: (1) exchange rate fluctuations decrease, (2) currencies are less mispriced, and (3) central authorities raise substantial tax revenues. However, if the price impact function is too sensitive with respect to the market depth, stabilization may turn into destabilization.