CodiceQDD 90
TitoloDoes an equity holding tax help to stabilize a VaR regulated financial market?
Autore/iBarucci, E.; Cosso, A.
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AbstractWe investigate the capability of an equity holding tax to stabilize a VaR regulated financial market. We show that a VaR constraint induces high volatility in a distressed financial market, the phenomenon is not observed in a market with risk averse unregulated traders. A tax on equity holding smoothes the peak of volatility and stabilizes the market at the cost of a generalized higher volatility.