Publications-Theses

題名 稅,理性投機與匯率波動
The Tobin tax, rational speculation and exchange rate volatility
作者 柯懿玲
Ko,Yi-Ling
貢獻者 朱美麗
Chu,Mei-Lie
柯懿玲
Ko,Yi-Ling
關鍵詞 Tobin稅
理性投機
匯率波動
Tobin tax
Rational speculation
Exchange rate volatility
日期 2003
上傳時間 18-Sep-2009 15:54:56 (UTC+8)
摘要 This paper investigates whether Tobin tax would be effective to reduce exchange rate volatility. When the rational speculators observe different temporarily shocks and take Tobin tax into account, the exchange rate will have either stable or unstable path through speculators’ changing optimal holdings. If the effect of current account shock dominates the effect of interest differential shock, the imposition of tax will stabilize the currency. This result is consistent with Tobin’s view. On the contrary, if the effect of interest differential shock dominates the effect of current account shock, the imposition of tax will destabilize the currency. The best policy in this case is to let international capitals move freely.
參考文獻 Baillie, R. T. and T. Bollerslev, (1991), “Intra-day and Inter-market Volatility in Foreign Exchange Rates.” Review of Economic Studies, 58, pp. 565-585.
Baumol, W. (1957), “Speculation, profitability, and stability,” Review of Economics and Statistics, 39, pp. 263-271.
Bird, G. and R. S. Rajan, (1999), “Time for Tobin? It May Now be Time to Reconsider the Tobin Tax Proposal,” New Economy, 6(4), pp. 229-33.
Carlson, J. A. and C. L. Osler, (2000), “Rational Speculators and Exchange Rate Volatility,” European Economic Review, 44, pp. 231-253.
Cheung, Y. W. and C. Y.-P. Wong, (1996), “Foreign Exchange Microstructure: A Comparison of Hong Kong, Singapore, and Japan,” Mimeo. University of California at Santa Cruz.
Chu, M. L., (2004), “International Capital Mobility, Speculation and Exchange Rate Volatility,” 2004 Far Eastern Meeting of the Econometric Society, Yonsei University, Seoul, Korea.
Dacorogna, M. M., U. A. Mueller, R. J. Nagler, R. B. Olsen, and O. V. Pictet, (1993), “A Geographical Model for the Daily and weekly Seasonal Volatility in the Foreign Exchange Market,” Journal of International Money and finance, 12, pp. 413-438.
David, K. B., J. K. Patrick, and E. K. Finn, (1994), “Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?” The American Economic Review, 84(1), pp. 84-103.
Driskill, R. and S. McCafferty, (1980), “Problems of Existence and Uniqueness in Nonlinear Rational Expectations Models, “Econometrica, 48(5), pp. 1313-1318.
Farrell, M., (1996), “Profitable Speculation,” Economica, 33, pp. 183-193.
Friedman, M., (1953), Essays in positive Economics. University of Chicago Press, Chicago.
Garber, P. and M. P. Taylar, (1995), “Sand In The Wheels of Foreign Exchange Market: A Sceptical Note,” The Economic Journal, 105, pp. 173-180.
Hau, H., (1995), “Competitive entry and endogenous risk in the foreign exchange market,” Mimeo, Princeton University, Princeton, NJ.
Ito, T., R.K. Lyons, and M. T. Melvin, (1996), “Is There Private Information in the FX Market? The Tokyo Experiment,” Mimeo. University of California at Berkeley.
Kohn, M., (1978), “Competitive Speculation,” Econometrica, 46(5), pp. 1061-1076.
Muth, J. F., (1961), “Rational Expectations and the Theory of Price Movements,” Econometrica, 29(3), pp. 315-335.
Reinhart, V. R., (1991), “The ‘Tobin tax’, Asset Accumulation, and the Real Exchange Rate,” Journal of International Money and Finance, 10, pp. 420-431.
____________, (2000), “How the Machinery of International Finance Runs with Sand in its Wheels,” Review of International Economics, 8, pp. 74-85.
Sargent, T. J., (1987), Macroeconomic Theory, 2nd ed., Orlando, FL, Academic.
Singh, Kavaljit (1998), “A Citizen’s Guide to the Globalization of Finance,” Delhi: Madhyam Books.
Stein, J.C., (1987), “Informational externalities and welfare-reducing speculation,” Journal of Political Economy, 95, pp. 1123-1145.
Shome, P. and Stotsky, J. G., (1995), “Financial Transactions Taxes,” IMF Working Paper 95/77.
Spahn, P. B., (1995), “International Financial Flows and Transactions Tax: Survey and Options,” IMF Working Paper 95/60.
__________, (1996), “The Tobin Tax and Exchange Rate Stability,” Finance and Development, 33, pp. 24-27.
Tobin, J., (1978), “A Proposal for International Monetary Reform,” Eastern Economic Journal, 4, pp. 153-159.
描述 碩士
國立政治大學
經濟研究所
91258009
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091258009
資料類型 thesis
dc.contributor.advisor 朱美麗zh_TW
dc.contributor.advisor Chu,Mei-Lieen_US
dc.contributor.author (Authors) 柯懿玲zh_TW
dc.contributor.author (Authors) Ko,Yi-Lingen_US
dc.creator (作者) 柯懿玲zh_TW
dc.creator (作者) Ko,Yi-Lingen_US
dc.date (日期) 2003en_US
dc.date.accessioned 18-Sep-2009 15:54:56 (UTC+8)-
dc.date.available 18-Sep-2009 15:54:56 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 15:54:56 (UTC+8)-
dc.identifier (Other Identifiers) G0091258009en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=37011-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 91258009zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) This paper investigates whether Tobin tax would be effective to reduce exchange rate volatility. When the rational speculators observe different temporarily shocks and take Tobin tax into account, the exchange rate will have either stable or unstable path through speculators’ changing optimal holdings. If the effect of current account shock dominates the effect of interest differential shock, the imposition of tax will stabilize the currency. This result is consistent with Tobin’s view. On the contrary, if the effect of interest differential shock dominates the effect of current account shock, the imposition of tax will destabilize the currency. The best policy in this case is to let international capitals move freely.en_US
dc.description.tableofcontents 1.Introduction………………………………………………………1\n2.The model………………………………………………………… 7\n2.1 Types of traders………………………………………………7\n2.1.1 Current account traders………………………………… 7\n2.1.2 Rational speculators………………………………………8\n2.2 Market solution………………………………………………10\n3.Taxation and exchange rate volatility……………………14\n4.Holding positions and market dynamics……………………26\n4.1Transitory trade shocks…………………………………… 26\n4.2Interest-rate differential shocks……………………… 28\n4.3Both types of shocks……………………………………… 31\n5.Conclusions………………………………………………………33\nReferences………………………………………………………… 35\nAppendix…………………………………………………………… 38zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091258009en_US
dc.subject (關鍵詞) Tobin稅zh_TW
dc.subject (關鍵詞) 理性投機zh_TW
dc.subject (關鍵詞) 匯率波動zh_TW
dc.subject (關鍵詞) Tobin taxen_US
dc.subject (關鍵詞) Rational speculationen_US
dc.subject (關鍵詞) Exchange rate volatilityen_US
dc.title (題名) 稅,理性投機與匯率波動zh_TW
dc.title (題名) The Tobin tax, rational speculation and exchange rate volatilityen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Baillie, R. T. and T. Bollerslev, (1991), “Intra-day and Inter-market Volatility in Foreign Exchange Rates.” Review of Economic Studies, 58, pp. 565-585.zh_TW
dc.relation.reference (參考文獻) Baumol, W. (1957), “Speculation, profitability, and stability,” Review of Economics and Statistics, 39, pp. 263-271.zh_TW
dc.relation.reference (參考文獻) Bird, G. and R. S. Rajan, (1999), “Time for Tobin? It May Now be Time to Reconsider the Tobin Tax Proposal,” New Economy, 6(4), pp. 229-33.zh_TW
dc.relation.reference (參考文獻) Carlson, J. A. and C. L. Osler, (2000), “Rational Speculators and Exchange Rate Volatility,” European Economic Review, 44, pp. 231-253.zh_TW
dc.relation.reference (參考文獻) Cheung, Y. W. and C. Y.-P. Wong, (1996), “Foreign Exchange Microstructure: A Comparison of Hong Kong, Singapore, and Japan,” Mimeo. University of California at Santa Cruz.zh_TW
dc.relation.reference (參考文獻) Chu, M. L., (2004), “International Capital Mobility, Speculation and Exchange Rate Volatility,” 2004 Far Eastern Meeting of the Econometric Society, Yonsei University, Seoul, Korea.zh_TW
dc.relation.reference (參考文獻) Dacorogna, M. M., U. A. Mueller, R. J. Nagler, R. B. Olsen, and O. V. Pictet, (1993), “A Geographical Model for the Daily and weekly Seasonal Volatility in the Foreign Exchange Market,” Journal of International Money and finance, 12, pp. 413-438.zh_TW
dc.relation.reference (參考文獻) David, K. B., J. K. Patrick, and E. K. Finn, (1994), “Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?” The American Economic Review, 84(1), pp. 84-103.zh_TW
dc.relation.reference (參考文獻) Driskill, R. and S. McCafferty, (1980), “Problems of Existence and Uniqueness in Nonlinear Rational Expectations Models, “Econometrica, 48(5), pp. 1313-1318.zh_TW
dc.relation.reference (參考文獻) Farrell, M., (1996), “Profitable Speculation,” Economica, 33, pp. 183-193.zh_TW
dc.relation.reference (參考文獻) Friedman, M., (1953), Essays in positive Economics. University of Chicago Press, Chicago.zh_TW
dc.relation.reference (參考文獻) Garber, P. and M. P. Taylar, (1995), “Sand In The Wheels of Foreign Exchange Market: A Sceptical Note,” The Economic Journal, 105, pp. 173-180.zh_TW
dc.relation.reference (參考文獻) Hau, H., (1995), “Competitive entry and endogenous risk in the foreign exchange market,” Mimeo, Princeton University, Princeton, NJ.zh_TW
dc.relation.reference (參考文獻) Ito, T., R.K. Lyons, and M. T. Melvin, (1996), “Is There Private Information in the FX Market? The Tokyo Experiment,” Mimeo. University of California at Berkeley.zh_TW
dc.relation.reference (參考文獻) Kohn, M., (1978), “Competitive Speculation,” Econometrica, 46(5), pp. 1061-1076.zh_TW
dc.relation.reference (參考文獻) Muth, J. F., (1961), “Rational Expectations and the Theory of Price Movements,” Econometrica, 29(3), pp. 315-335.zh_TW
dc.relation.reference (參考文獻) Reinhart, V. R., (1991), “The ‘Tobin tax’, Asset Accumulation, and the Real Exchange Rate,” Journal of International Money and Finance, 10, pp. 420-431.zh_TW
dc.relation.reference (參考文獻) ____________, (2000), “How the Machinery of International Finance Runs with Sand in its Wheels,” Review of International Economics, 8, pp. 74-85.zh_TW
dc.relation.reference (參考文獻) Sargent, T. J., (1987), Macroeconomic Theory, 2nd ed., Orlando, FL, Academic.zh_TW
dc.relation.reference (參考文獻) Singh, Kavaljit (1998), “A Citizen’s Guide to the Globalization of Finance,” Delhi: Madhyam Books.zh_TW
dc.relation.reference (參考文獻) Stein, J.C., (1987), “Informational externalities and welfare-reducing speculation,” Journal of Political Economy, 95, pp. 1123-1145.zh_TW
dc.relation.reference (參考文獻) Shome, P. and Stotsky, J. G., (1995), “Financial Transactions Taxes,” IMF Working Paper 95/77.zh_TW
dc.relation.reference (參考文獻) Spahn, P. B., (1995), “International Financial Flows and Transactions Tax: Survey and Options,” IMF Working Paper 95/60.zh_TW
dc.relation.reference (參考文獻) __________, (1996), “The Tobin Tax and Exchange Rate Stability,” Finance and Development, 33, pp. 24-27.zh_TW
dc.relation.reference (參考文獻) Tobin, J., (1978), “A Proposal for International Monetary Reform,” Eastern Economic Journal, 4, pp. 153-159.zh_TW