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.
Articolo in rivista - Articolo scientifico
Tobin tax; portfolio analysis; currency speculation
English
set-2004
60
3
446
459
none
Bosco, B., Santoro, A. (2004). The Tobin Tax: A Mean-Variance Approach. FINANZARCHIV, 60(3), 446-459.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/2289
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