1,721,033 research outputs found
Some effects of transaction taxes under different microstructures
Full text linkWe show that the effectiveness of transaction taxes depends on the market microstructure. Within our model, heterogeneous traders use a blend of technical and fundamental trading strategies to determine their orders. In addition, they may become inactive if the profitability of trading decreases. We find that in a continuous double auction market the imposition of a transaction tax is not likely to stabilize financial markets since a reduction in market liquidity amplifies the average price impact of a given order. In a dealership market, however, abundant liquidity is provided by specialists, and thus a transaction tax may reduce volatility by crowding out speculative orders
The dynamics of financial markets and one-dimensional discontinuous piecewise-linear maps.
No full textInflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations
No full textOne-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets
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A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities
No full textProduction delays, technology choice and cyclical cobweb dynamics
Full text linkWe develop a cobweb model in which firms, facing a two-period production delay, have access to a flexible (costly) and an inflexible (cheap) production technology. Moreover, firms select between production technologies depending on their evolutionary fitness, measured in terms of past realized profits. The dynamics of our cobweb model is driven by a four-dimensional nonlinear map. We analytically show that its unique steady state may become unstable due to a Neimark-Sacker bifurcation, a scenario that gives rise to cyclical price dynamics, as observed in actual commodity markets. Simulations furthermore reveal that our cobweb model may also produce chaotic motion
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders
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