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    题名: 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
    贡献者: 朱美麗
    Chu,Mei-Lie
    柯懿玲
    Ko,Yi-Ling
    关键词: Tobin稅
    理性投機
    匯率波動
    Tobin tax
    Rational speculation
    Exchange rate volatility
    日期: 2003
    上传时间: 2009-09-18 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
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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