Capital income taxation and risk-taking in a small open economy

• 成果类型: Article
• 署名作者: Asea, PK; Turnovsky, SJ
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/S0047-2727(97)00086-8
• 发表日期: 1998
• 页码: 55-90
• 关键词: capital income taxes; endogenous growth; risk-taking; portfolio choice; multinomial probit; method of simulated moments

摘要

How do capital income taxes affect household portfolio choice and growth? We approach this question within the context of a stochastic model of a small open economy in which taxes on income from domestic capital (equity) and foreign bonds affect household portfolio choice, welfare and the growth rate of the economy. The theoretical and numerical analysis demonstrates the important role that risk plays in determining the mean and variability of growth as well as the conditions under which a higher tax rate can be welfare improving. To shed more light on the complex theoretical interaction between taxes and risk-taking we estimate a reduced-form multinomial probit model of household portfolio choice using the method of simulated moments. The empirical evidence is in stark contrast to the conventional wisdom-we find that higher taxes make it less likely that the household will hold risky assets. (C) 1998 Elsevier Science S.A.