Premium
Coût à l'entrée, taxe de Tobin et bruit transactionnel qui empêche le prix d'être parfaitement révélateur dans le marché des changes .
Author(s) -
Shi Kang,
Xu Juanyi
Publication year - 2009
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2009.01555.x
Subject(s) - monetary economics , volatility (finance) , economics , database transaction , transaction cost , exchange rate , business , financial economics , microeconomics , programming language , computer science
Two types of policy have been proposed to eliminate noise trading in the foreign exchange market: increasing the entry cost or imposing a ‘Tobin tax’ type of transaction tax. In this paper, we endogenize entry decisions of both informed traders and noise traders and show that these policies may be ineffective in reducing exchange rate volatility. This is because these policies will discourage the entry of all traders, so they may not change the relative ratio of traders, or they may affect informed traders disproportionately more, which increases the relative ratio of noise traders and exchange rate volatility.