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Speculative asset price dynamics and wealth taxes
Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H. (2022): „Speculative asset price dynamics and wealth taxes“. Bamberg: Otto-Friedrich-Universität.
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Publisher Information:
Year of publication:
2022
Pages:
Source/Other editions:
Decisions in economics and finance : a journal of applied mathematics, 44 (2021), 2, S. 641-667 - ISSN: 1593-8883
Year of first publication:
2022
Language:
English
Abstract:
Based on the seminal asset-pricing model by Brock and Hommes (J Econ Dyn Control 22:1235–1274, 1998), we analytically show that higher wealth taxes increase the risky asset’s fundamental value, enlarge its local stability domain, may prevent the birth of nonfundamental steady states and, if they exist, reduce the risky asset’s mispricing. We furthermore find that higher wealth taxes may hinder the emergence of endogenous asset price oscillations and, if they exist, dampen their amplitudes. Since oscillatory price dynamics may be associated with lower mispricing than locally stable nonfundamental steady states, policymakers may not always want to suppress them by imposing (too low) wealth taxes. Overall, however, our study suggests that wealth taxes tend to stabilize the dynamics of financial markets.
GND Keywords: ; ; ; ;
Vermögensentwicklung
Preisentwicklung
Vermögensteuer
Erwartungswert
Nichtlineare Dynamik
Keywords: ; ; ; ;
Asset price dynamics
Wealth taxes
Heterogeneous expectations
Nonlinear dynamics
Stability and bifurcation analysis
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Type:
Article
published:
August 8, 2022
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https://fis.uni-bamberg.de/handle/uniba/54835