Can a financial transaction tax prevent stock price booms?

• 成果类型: Article
• 署名作者: Adam, Klaus; Beutel, Johannes; Marcet, Albert; Merkel, Sebastian
• 署名单位: University of Mannheim; Centre for Economic Policy Research - UK; Autonomous University of Barcelona; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Barcelona School of Economics; ICREA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.09.009
• 发表日期: 2015
• 页码: S90-S109
• 关键词: Financial transactions tax; Tobin tax; Asset price booms

摘要

We present a stock market model that quantitatively replicates the joint behavior of stock prices, trading volume and investor expectations. Stock prices in the model occasionally display belief-driven boom and bust cycles that delink asset prices from fundamentals and redistribute considerable amounts of wealth from less to more experienced investors. Although gains from trade arise only from subjective belief differences, introducing financial transactions taxes (FTTs) remains undesirable. While FTTs reduce the size and length of boom-bust cycles, they increase the likeihood of such cycles, thereby overall return volatility and wealth redistribution. Contingent FTTs, which are levied only above a certain price threshold, give rise to problems of equilibrium multiplicity and non-existence. (C) 2015 Elsevier B.V. All rights reserved.