Tobin Tax and Exchange Rate Volatility: A Reassessment

2012 ◽  
Author(s):  
Olivier Damette
2015 ◽  
Vol 20 (6) ◽  
pp. 1600-1622 ◽  
Author(s):  
Olivier Damette

This paper applies smooth transition regressions to incorporate nonlinearity into the impact of trading volume on exchange rate volatility, the so-called mixture distribution hypothesis (MDH). Linking this analysis to the Tobin tax debate, we provide the first empirical corroboration that such a tax may be effective in limiting speculation and reducing exchange rate volatility, especially in turbulent times. Our study points to two main results. First, we show that nonlinearities should be taken into account to explain the MDH. When volatility, spreads, and volume are simultaneously high, the relationship between trading volume and volatility tends to grow stronger and thus the MDH holds in turbulent periods. Second, on the assumption of constant trading volume elasticity, a Tobin tax would have been stabilizing and effective in the 2008 crisis.


1991 ◽  
Vol 55 (1) ◽  
pp. 25-38 ◽  
Author(s):  
Giorgia Giovannetti

Author(s):  
Juan R. Castro

The document conducts an empirical investigation on the volatility of the Chilean exchange rate regime, using a model of Objective Zones. Through the use of the ARCH model, the document tests the volatility of the exchange rate in the presence of different levels of international reserves and other macroeconomic shocks. The results show that domestic credit, domestic debt and external debt have the greatest impact on the volatility of the variables studied, especially when compared with other fundamental variables. The variance of the exchange rate is heterosedastic but it is not persistent, which implies that the exchange rate is stable, probably when it oscillates between two bands. The volatility of the exchange rate fluctuates to a greater extent in the face of changes in internal and external debt, than with the other variables used.


2009 ◽  
Author(s):  
Ramona Dumitriu ◽  
Razvan Stefanescu ◽  
Costel Nistor

2003 ◽  
Author(s):  
Ahdi Noomen Ajmi ◽  
Ahmed Ghorbel ◽  
Abdelwahed Trabelsi

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