Tobin tax and market depth

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dc.creatorEhrenstein, G.
dc.creatorWesterhoff, F.
dc.creatorStauffer, D.
dc.date2003-11-25
dc.date.accessioned2026-07-07T12:06:51Z
dc.date.available2026-07-07T12:06:51Z
dc.descriptionThis paper investigates - on the basis of the Cont-Bouchaud model - whether a Tobin tax can 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 market depth, stabilization may turn into destabilization.
dc.description16 pages econophysics, including figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0311581
dc.identifierhttp://arxiv.org/abs/cond-mat/0311581
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208776
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleTobin tax and market depth
dc.typetext

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