Navigation path

450 - Securities Transaction Taxes: Macroeconomic Implications in a General-Equilibrium Model - Julia Lendvai, Rafal Raciborskiz and Lukas Vogel

Rafal Raciborski, Julia Lendvai, Lukas Vogel, European Commission

Securities Transaction Taxes: Macroeconomic Implications in a General-Equilibrium Modelpdf(412 kB) Choose translations of the previous link 

The paper develops a dynamic general equilibrium model with secondary financial market and non-fundamental trade to assess the impact of a securities transaction tax on levels and volatilities of financial and real economic variables.

Summary for non-specialistspdf(34 kB) Choose translations of the previous link 


The paper studies the impact of a securities transaction tax (STT) on financial trading, stock prices and real economic variables in a closed-economy dynamic stochastic general-equilibrium model featuring financial frictions. The model incorporates channels by which 'noise trading' affects real economic volatility. Firms' investment expenditure is related to the value of their outstanding shares. The model is calibrated to stylised facts of financial trading and firms' financing. The simulations suggest distortive effects of the STT on real variables similar to those of corporate income taxation. At the same time, the STT reduces economic volatility, but this stabilisation gain is quantitatively modest.

(European Economy. Economic Papers. 450. March 2012. Brussels. PDF. 35pp. Tab. Graph. Bibliogr. Free.)

KC-AI-11-450-EN-N (online)
ISBN 978-92-79-22971-8 (online)
doi:10.2765/25785 (online)

JEL classification: E22, E44, E62

Economic Papers are written by the staff of the Directorate-General for Economic and Financial Affairs, or by experts working in association with them. The Papers are intended to increase awareness of the technical work being done by staff and to seek comments and suggestions for further analysis. The views expressed are the author’s alone and do not necessarily correspond to those of the European Commission.

Additional tools

  • Print version 
  • Decrease text 
  • Increase text