Fiscal Policies and Asset Prices

• 成果类型: Article
• 署名作者: Croce, M. Max; Kung, Howard; Nguyen, Thien T.; Schmid, Lukas
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Duke University; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs060
• 发表日期: 2012
• 页码: 2635
• 关键词: long-run risk; taxes; debt; consumption; INVESTMENT; BEHAVIOR; taxation; cost

摘要

The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3) depressing productivity growth. In settings with recursive preferences, these three tax-based channels generate sizable risk premia, making tax uncertainty a first-order concern. We document further that corporate tax smoothing can substantially alter the effects of public expenditure shocks.