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題名 J曲線效果、金融交易稅與匯率波動性
The J-Curve Effect, Financial Transaction Taxes and The Exchange-Rate Variability作者 李睿緯
Li, Ruei Wei貢獻者 朱美麗
Chu, Mei Lie
李睿緯
Li, Ruei Wei關鍵詞 J曲線效果
金融交易稅
匯率波動性
J-Curve effect
Financial transaction taxes
Exchange-rate variability日期 2018 上傳時間 2-Mar-2018 11:56:17 (UTC+8) 摘要 本文以朱美麗與馮立功 (2015)為基礎，在考慮Gupta-Kapoor and Ramakrishnan (1999)等實證文獻認為的部分國家經常帳，在某些時期存在J曲線效果的情形下，將J曲線效果引進朱美麗與馮立功 (2015)的模型，建構一個存在J曲線效果、含有套匯與套利理性投機交易的外匯市場模型，分析面對外匯市場不同來源的未預料衝擊，若政策當局實施金融交易稅，是否能減緩匯率的波動性。本文發現有J曲線效果存在時：(1)當衝擊來源為經常帳時，金融交易稅會加劇匯率波動性，不建議課稅；(2)當發生金融帳利差衝擊時，金融交易稅在某些情況下有助於減少匯率波動性，因此可以課稅；(3)當兩衝擊同時發生時，金融帳利差衝擊占比必須較大，課稅才有可能降低匯率波動性；(4)除衝擊來源外，J曲線效果的強弱與課稅幅度亦會影響金融交易稅的效果。在數值模擬分析中得出，當其他的經濟結構參數值不變，J曲線效果較強時，可能可以透過課稅降低匯率波動性。而可以課稅的情況時，在一定範圍內，稅率越高，課稅穩定市場的效果越好，但若稅率超出範圍，則可能導致外匯市場不具安定性，故不能課太高的稅。
The J-Curve effect is empirically plausible for some countries as studies in Gupta-Kapoor and Ramakrishnan (1999). Therefore, this thesis introduces J-Curve effect into the theoretical framework of Chu and Ferng (2015) to build a rational speculative model of foreign exchange market. It investigates whether financial transaction taxes (FTT) is effective in reducing the variability of exchange rates if current account or interest rate differential (IRD) shocks occur.There are several findings in this research. First, when the unexpected shock is from the current account, FTT shouldn’t be imposed by destabilizing the exchange rate. Second, when there is a shock from IRD, FTT may be a good instrument to stabilize the exchange rate under some conditions. Third, if both shocks occur simultaneously, FTT may stabilize the exchange rate only when the portion of the shock from IRD is high enough. Finally, in addition to unexpected shocks, the degree of the J-Curve effect and the magnitude of tax rate of FTT may also influence the effect of FTT.With other economic-structural parameters being constant, the results of numerical simulations show that FTT may stabilize the exchange rate with a significant J-Curve effect. Besides, if FTT can stabilize the exchange rate with the tax rate in the specific interval, FTT can decrease the exchange-rate variability more with a higher tax rate. However, if the tax rate is too high, FTT will cause the foreign exchange market to turn into the unstable status.參考文獻 參考文獻1.朱美麗與馮立功 (2015)，「Tobin Tax and Transaction Tax對金融市場的影響」，台北外匯市場發展基金會研究計畫。2.林曉伶(2008)，「日本貨幣政策操作方式與政策目標之達成」，中央銀行國際金融參考資料，第56輯，頁99-139。3.馬南媛(1999)，「亞太風險趨避係數的估計與比較」，元智大學管理學院碩士論文。4.賴景昌(2007)，「國際金融理論：基礎篇」，二版，台北市，華泰文化。5.Anthony, J., M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, (2012), “Financial transaction tax: review and assessment,” CPB Discussion Paper 202, The Hague: CPB Netherlands Bureau for Economic Policy Analysis.6.Baltagi, Badi-H., D. Li, and Q. Li (2006), “Transaction tax and stock market behavior: evidence from an emerging market,” Empirical Economics, 31, 393-408.7.Becchetti, L., M. Ferrari, and U. Trenta (2014), “The impact of the French Tobin tax,” Journal of Financial Stability, 15, pp. 127–148.8.Bianconi, G., T. Galla, M. Marsili, and P. Pin (2009), “Effects of Tobin Taxes in Minority Game Markets,” Journal of Economic Behavior and Organization, 70, pp. 231–240.9.Bruce, A., E. Choi, and E. Feinerman (1993), “Risk and Probability Premiums for CARA Utility Functions,” Journal of Agricultural and Resource Economics, 18, 1, pp. 17-24.10.Carlson, J., and C. Olser (2000), “Rational Speculators and Exchange Rate Volatility”, European Economic Review, 44, pp. 231-253.11.Carlson, J., and C. Olser (2003), “Currency risk premiums: Theory and Evidence,” Seminar Paper, Centre for Economic Performance, LSE, London. Retrieved from https://pdfs.semanticscholar.org/248d/628ad66b68ff20ee8de3495c04218b447517.pdf 12.Damette, O., and B.-J. Park (2015), “Tobin Tax and Volatility: A Threshold Quantile,” Review of International Economics, 23, 5, pp. 996–1022.13.Driskill, R., and S. McCafferty (1980), “Speculation, Rational Expectations, And Stability of the Foreign Exchange Market,” Journal of International Economics 10, pp. 91-102.14.Driskill, R., and S. McCafferty (1980), “Exchange-Rate Variability, Real and Monetary Shocks, and the Degree of Capital Mobility Under Rational Expectations,” Quarterly Journal of Economics, 95, 3, pp. 577-586.15.Driskill, R., and S. McCafferty (1982), “Spot And Forward Rates In A Stochastic Model Of The Foreign Exchange Market,” Journal of International Economics 12, pp. 313-331.16.Ehrenstein, G., F. Westerhoff, and D. Stauffer (2005), “Tobin tax and market depth,” Quantitative Finance, 5, 2, pp. 213-218.17.Friedman, M. (1953), The Case of Flexible Exchange Rates, Chicago, IL: University of Chicago Press.18.Gupta-Kapoor, A., and U. Ramakrishnan (1999), “Is there a J-curve? A new estimation for Japan”, International Economic Journal, 13, pp. 71-79.19.Hanke, M., J. Huber, M. Kirchler, and M. Sutter (2010), “The Economic Consequences of a Tobin Tax: An Experimental Analysis,” Journal of Economic Behavior and Organization, 74, pp. 58–71.20.Hsing, H.-M. (2005), “Re-examination of J-curve effect for Japan, Korea and Taiwan” ,Japan and the World Economy, 17, pp. 43-58.21.Kalimullina, L., and R. Schoebel (2014), “ The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market,” Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=241835522.Kalimullina L., Schöbel R. (2015), “The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market,” In: Amblard F., Miguel F., Blanchet A., Gaudou B. (eds) Advances in Artificial Economics. Lecture Notes in Economics and Mathematical Systems, vol 676. Springer, Cham.23.Mannaro, K., M. Marchesi, and A. Setzu (2008), “Using an artificial financial market for assessing the impact of Tobin-like transaction taxes,” Journal of Economic Behavior & Organization, 67, 2, pp. 445–462.24.McCulloch, N., and G. Pacillo (2011), “The Tobin Tax: A Review of the Evidence,” IDS Research Report 68, Brighton: Institute of Development Studies.25.Pellizzari, P. and F. Westerhoff (2009), “Some Effects of Transaction Taxes under Different Microstructures,” Journal of Economic Behavior and Organization,72, pp. 850–863.26.Shi, K., and J. Xu (2009), “Entry cost, the Tobin tax, and noise trading in the foreign exchange market,” Canadian Journal of Economics, 42, 4, pp. 1501-1526.27.Stiglitz, J. (2014), “Tapping the Brakes: Are Less Active Markets Safer and Better for the Economy?,” Presented at the Federal Reserve Bank of Atlanta,2014 Financial Markets Conference Tuning Financial Regulation for Stability and Efficiency, Atlanta, USA.28.Summers, H., and V. Summers (1989), “When Financial Markets Work Too Well: A Cautious Case for a Securities Transactions Tax,” Journal of Financial Services Research, 3, pp. 261-286.29.Tobin, J. (1978), “A Proposal for International Monetary Reform,” The Eastern Economic Review, 4, Issue 3-4, pp. 153-159.30.Umlauf, S. (1993), “Transaction Taxes and the Behavior of the Swedish Stock Market,” Journal of Financial Economics, 33, pp. 227–240.31.Westeroff, F., and R. Dieci (2006), “The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,” Journal of Economic Dynamics and Control, 30, 2, pp. 293-322. 描述 碩士
國立政治大學
經濟學系
105258009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105258009 資料類型 thesis dc.contributor.advisor 朱美麗 zh_TW dc.contributor.advisor Chu, Mei Lie en_US dc.contributor.author (Authors) 李睿緯 zh_TW dc.contributor.author (Authors) Li, Ruei Wei en_US dc.creator (作者) 李睿緯 zh_TW dc.creator (作者) Li, Ruei Wei en_US dc.date (日期) 2018 en_US dc.date.accessioned 2-Mar-2018 11:56:17 (UTC+8) - dc.date.available 2-Mar-2018 11:56:17 (UTC+8) - dc.date.issued (上傳時間) 2-Mar-2018 11:56:17 (UTC+8) - dc.identifier (Other Identifiers) G0105258009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/116116 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 105258009 zh_TW dc.description.abstract (摘要) 本文以朱美麗與馮立功 (2015)為基礎，在考慮Gupta-Kapoor and Ramakrishnan (1999)等實證文獻認為的部分國家經常帳，在某些時期存在J曲線效果的情形下，將J曲線效果引進朱美麗與馮立功 (2015)的模型，建構一個存在J曲線效果、含有套匯與套利理性投機交易的外匯市場模型，分析面對外匯市場不同來源的未預料衝擊，若政策當局實施金融交易稅，是否能減緩匯率的波動性。本文發現有J曲線效果存在時：(1)當衝擊來源為經常帳時，金融交易稅會加劇匯率波動性，不建議課稅；(2)當發生金融帳利差衝擊時，金融交易稅在某些情況下有助於減少匯率波動性，因此可以課稅；(3)當兩衝擊同時發生時，金融帳利差衝擊占比必須較大，課稅才有可能降低匯率波動性；(4)除衝擊來源外，J曲線效果的強弱與課稅幅度亦會影響金融交易稅的效果。在數值模擬分析中得出，當其他的經濟結構參數值不變，J曲線效果較強時，可能可以透過課稅降低匯率波動性。而可以課稅的情況時，在一定範圍內，稅率越高，課稅穩定市場的效果越好，但若稅率超出範圍，則可能導致外匯市場不具安定性，故不能課太高的稅。 zh_TW dc.description.abstract (摘要) The J-Curve effect is empirically plausible for some countries as studies in Gupta-Kapoor and Ramakrishnan (1999). Therefore, this thesis introduces J-Curve effect into the theoretical framework of Chu and Ferng (2015) to build a rational speculative model of foreign exchange market. It investigates whether financial transaction taxes (FTT) is effective in reducing the variability of exchange rates if current account or interest rate differential (IRD) shocks occur.There are several findings in this research. First, when the unexpected shock is from the current account, FTT shouldn’t be imposed by destabilizing the exchange rate. Second, when there is a shock from IRD, FTT may be a good instrument to stabilize the exchange rate under some conditions. Third, if both shocks occur simultaneously, FTT may stabilize the exchange rate only when the portion of the shock from IRD is high enough. Finally, in addition to unexpected shocks, the degree of the J-Curve effect and the magnitude of tax rate of FTT may also influence the effect of FTT.With other economic-structural parameters being constant, the results of numerical simulations show that FTT may stabilize the exchange rate with a significant J-Curve effect. Besides, if FTT can stabilize the exchange rate with the tax rate in the specific interval, FTT can decrease the exchange-rate variability more with a higher tax rate. However, if the tax rate is too high, FTT will cause the foreign exchange market to turn into the unstable status. en_US dc.description.tableofcontents 第一章 緒論 1第一節 前言 1第二節 文獻回顧 2第三節 本文架構 5第二章 理論與模型 7第一節 模型設定與建構 7第二節 模型求解 10第三節 動態安定性與華勒斯安定性條件 14第三章 僅經常帳衝擊下之情況 18第一節 無金融交易稅時的情況 18第二節 有金融交易稅時的情況 23第三節 金融交易稅的效果 28第四章 僅金融帳衝擊下之情況 30第一節 無金融交易稅時的情況 30第二節 有金融交易稅時的情況 36第三節 數值模擬分析 48第五章 兩衝擊並存下之情況 53第一節 兩衝擊並存下可能之情況 53第二節 數值模擬分析 53第六章 結論 56參考文獻 58本文附錄 62附錄一 外幣資產的需求函數 62附錄二 匯率的條件變異數與無條件變異數 65附錄三 金融交易稅的影響 66附錄四 僅經常帳衝擊下動態調整之詳細計算過程 72附錄五 僅金融帳衝擊下動態調整之詳細計算過程 73附錄六 與朱美麗與馮立功(2015)在SS線與RR線的差異 74 zh_TW dc.format.extent 1427498 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105258009 en_US dc.subject (關鍵詞) J曲線效果 zh_TW dc.subject (關鍵詞) 金融交易稅 zh_TW dc.subject (關鍵詞) 匯率波動性 zh_TW dc.subject (關鍵詞) J-Curve effect en_US dc.subject (關鍵詞) Financial transaction taxes en_US dc.subject (關鍵詞) Exchange-rate variability en_US dc.title (題名) J曲線效果、金融交易稅與匯率波動性 zh_TW dc.title (題名) The J-Curve Effect, Financial Transaction Taxes and The Exchange-Rate Variability en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻1.朱美麗與馮立功 (2015)，「Tobin Tax and Transaction Tax對金融市場的影響」，台北外匯市場發展基金會研究計畫。2.林曉伶(2008)，「日本貨幣政策操作方式與政策目標之達成」，中央銀行國際金融參考資料，第56輯，頁99-139。3.馬南媛(1999)，「亞太風險趨避係數的估計與比較」，元智大學管理學院碩士論文。4.賴景昌(2007)，「國際金融理論：基礎篇」，二版，台北市，華泰文化。5.Anthony, J., M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, (2012), “Financial transaction tax: review and assessment,” CPB Discussion Paper 202, The Hague: CPB Netherlands Bureau for Economic Policy Analysis.6.Baltagi, Badi-H., D. Li, and Q. Li (2006), “Transaction tax and stock market behavior: evidence from an emerging market,” Empirical Economics, 31, 393-408.7.Becchetti, L., M. Ferrari, and U. Trenta (2014), “The impact of the French Tobin tax,” Journal of Financial Stability, 15, pp. 127–148.8.Bianconi, G., T. Galla, M. Marsili, and P. Pin (2009), “Effects of Tobin Taxes in Minority Game Markets,” Journal of Economic Behavior and Organization, 70, pp. 231–240.9.Bruce, A., E. Choi, and E. Feinerman (1993), “Risk and Probability Premiums for CARA Utility Functions,” Journal of Agricultural and Resource Economics, 18, 1, pp. 17-24.10.Carlson, J., and C. Olser (2000), “Rational Speculators and Exchange Rate Volatility”, European Economic Review, 44, pp. 231-253.11.Carlson, J., and C. Olser (2003), “Currency risk premiums: Theory and Evidence,” Seminar Paper, Centre for Economic Performance, LSE, London. Retrieved from https://pdfs.semanticscholar.org/248d/628ad66b68ff20ee8de3495c04218b447517.pdf 12.Damette, O., and B.-J. Park (2015), “Tobin Tax and Volatility: A Threshold Quantile,” Review of International Economics, 23, 5, pp. 996–1022.13.Driskill, R., and S. McCafferty (1980), “Speculation, Rational Expectations, And Stability of the Foreign Exchange Market,” Journal of International Economics 10, pp. 91-102.14.Driskill, R., and S. McCafferty (1980), “Exchange-Rate Variability, Real and Monetary Shocks, and the Degree of Capital Mobility Under Rational Expectations,” Quarterly Journal of Economics, 95, 3, pp. 577-586.15.Driskill, R., and S. McCafferty (1982), “Spot And Forward Rates In A Stochastic Model Of The Foreign Exchange Market,” Journal of International Economics 12, pp. 313-331.16.Ehrenstein, G., F. Westerhoff, and D. Stauffer (2005), “Tobin tax and market depth,” Quantitative Finance, 5, 2, pp. 213-218.17.Friedman, M. (1953), The Case of Flexible Exchange Rates, Chicago, IL: University of Chicago Press.18.Gupta-Kapoor, A., and U. Ramakrishnan (1999), “Is there a J-curve? A new estimation for Japan”, International Economic Journal, 13, pp. 71-79.19.Hanke, M., J. Huber, M. Kirchler, and M. Sutter (2010), “The Economic Consequences of a Tobin Tax: An Experimental Analysis,” Journal of Economic Behavior and Organization, 74, pp. 58–71.20.Hsing, H.-M. (2005), “Re-examination of J-curve effect for Japan, Korea and Taiwan” ,Japan and the World Economy, 17, pp. 43-58.21.Kalimullina, L., and R. Schoebel (2014), “ The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market,” Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=241835522.Kalimullina L., Schöbel R. (2015), “The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market,” In: Amblard F., Miguel F., Blanchet A., Gaudou B. (eds) Advances in Artificial Economics. Lecture Notes in Economics and Mathematical Systems, vol 676. Springer, Cham.23.Mannaro, K., M. Marchesi, and A. Setzu (2008), “Using an artificial financial market for assessing the impact of Tobin-like transaction taxes,” Journal of Economic Behavior & Organization, 67, 2, pp. 445–462.24.McCulloch, N., and G. Pacillo (2011), “The Tobin Tax: A Review of the Evidence,” IDS Research Report 68, Brighton: Institute of Development Studies.25.Pellizzari, P. and F. Westerhoff (2009), “Some Effects of Transaction Taxes under Different Microstructures,” Journal of Economic Behavior and Organization,72, pp. 850–863.26.Shi, K., and J. Xu (2009), “Entry cost, the Tobin tax, and noise trading in the foreign exchange market,” Canadian Journal of Economics, 42, 4, pp. 1501-1526.27.Stiglitz, J. (2014), “Tapping the Brakes: Are Less Active Markets Safer and Better for the Economy?,” Presented at the Federal Reserve Bank of Atlanta,2014 Financial Markets Conference Tuning Financial Regulation for Stability and Efficiency, Atlanta, USA.28.Summers, H., and V. Summers (1989), “When Financial Markets Work Too Well: A Cautious Case for a Securities Transactions Tax,” Journal of Financial Services Research, 3, pp. 261-286.29.Tobin, J. (1978), “A Proposal for International Monetary Reform,” The Eastern Economic Review, 4, Issue 3-4, pp. 153-159.30.Umlauf, S. (1993), “Transaction Taxes and the Behavior of the Swedish Stock Market,” Journal of Financial Economics, 33, pp. 227–240.31.Westeroff, F., and R. Dieci (2006), “The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,” Journal of Economic Dynamics and Control, 30, 2, pp. 293-322. zh_TW
