A Tobin tax (TT) is studied by means of a portfolio model defined over the means and variances of two rates of return (domestic and foreign). When the correlation is negative, the TT is likely to decrease the speculative component of the share of portfolio invested abroad and to increase the hedging component. For a TT to decrease both the components of the share, one needs not only a small expected gain from speculation,but also either a high positive correlation between the two rates of return or a sufficiently large value of the coefficient of variation of the foreign rate.
Bosco, B., Santoro, A. (2004). The Tobin Tax: A Mean-Variance Approach. FINANZARCHIV, 60(3), 446-459.
The Tobin Tax: A Mean-Variance Approach
BOSCO, BRUNO PAOLO;SANTORO, ALESSANDRO
2004
Abstract
A Tobin tax (TT) is studied by means of a portfolio model defined over the means and variances of two rates of return (domestic and foreign). When the correlation is negative, the TT is likely to decrease the speculative component of the share of portfolio invested abroad and to increase the hedging component. For a TT to decrease both the components of the share, one needs not only a small expected gain from speculation,but also either a high positive correlation between the two rates of return or a sufficiently large value of the coefficient of variation of the foreign rate.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.