Taxes and international risk sharing

• 成果类型: Article
• 署名作者: Epstein, Brendan; Mukherjee, Rahul; Ramnath, Shanthi
• 署名单位: Federal Reserve System - USA; United States Department of the Treasury
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2016.08.002
• 发表日期: 2016
• 页码: 310-326
• 关键词: International risk sharing; Business cycle accounting; Risk-sharing wedges; Tax convergence; Capital taxes

摘要

We extend a standard model of international risk sharing to include an empirically plausible distortion: Taxes. The tax-inclusive theory implies, even under full risk sharing, a predictable relationship between consumption growth and the consumption and capital income tax rates, both within and across countries. We find strong empirical evidence in favor of this relationship. While idiosyncratic output fluctuations account for substantially more of cross-country consumption growth variability than do taxes, trends in tax differentials are found to be informative about the dynamic evolution of international risk sharing. In particular, adjusting for capital taxes reveals a marked improvement in risk sharing over the last three decades that is absent in baseline measures. This improvement has been driven by the convergence of average tax rates on capital income across OECD countries toward the United States average capital tax rate. (C) 2016 Elsevier B.V. All rights reserved.