Optimal Financial Transaction Taxes

• 成果类型: Article
• 署名作者: Davila, Eduardo
• 署名单位: Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13188
• 发表日期: 2023
• 页码: 5-61
• 关键词: Optimal taxation; Price volatility; MARKET; BENEFIT; POLICY; overconfidence; CHALLENGES; BEHAVIOR

摘要

This paper characterizes the optimal transaction tax in an equilibrium model of financial markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading motives and the planner calculates welfare using any single belief, a positive tax is optimal, regardless of the magnitude of fundamental trading. Under some conditions, the optimal tax is independent of the planner's belief. The optimal tax can be implemented by adjusting its value until total volume equals fundamental volume. Knowledge of (i) the share of nonfundamental trading volume and (ii) the semielasticity of trading volume to tax changes is sufficient to quantify the optimal tax.