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Essais sur la taxation des transactions de change

Abstract : The purpose of this dissertation is to expose a theoretical analysis of the effects that a currency transaction tax, usually called Tobin Tax, could entail. Five essays are outlined. The first one highlights the bases and limitations of this debated proposition. In the second one, a stochastic simulation model is built in order to study the effects of such a measure on real investments and the link between tax weight and expectations. Our result is the following one : the welfare of all agents decreases whereas long term investors are the least penalized. In the third one, by using macro-monetary models and microstructure theory, we analyse the interest of such a tax in terms of exchange market efficiency. The fourth essay proposes an econometrical analysis. With a real data set, we suggest to measure for the first time the sensibility of the transactions volume to the tax. Through a cointegration analysis using panel data, an estimation of the so-called foreign transactions elasticity to taxation is presented. The obtained value is - 0.45 for any currency parity. Following this idea, we set out an estimation of the revenues that such a tax would yield in the last fifth part of the dissertation.
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  • HAL Id : tel-01752687, version 1


Olivier Damette. Essais sur la taxation des transactions de change. Economies et finances. Université Nancy 2, 2007. Français. ⟨NNT : 2007NAN20005⟩. ⟨tel-01752687⟩



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