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The J-Curve Effect, Financial Transaction Taxes and The Exchange-Rate Variability
Li, Ruei Wei
Chu, Mei Lie
Li, Ruei Wei
Financial transaction taxes
|Issue Date:||2018-03-02 11:56:17 (UTC+8)|
|Abstract:||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。|
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.
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