Are tax effects important in the long-run fisher relationship? Evidence from the municipal bond market

• 成果类型: Article
• 署名作者: Crowder, WJ; Wohar, ME
• 署名单位: University of Texas System; University of Texas Arlington; University of Nebraska System
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00105
• 发表日期: 1999
• 页码: 307-317
• 关键词: interest-rates; inflation; inference; vectors; systems; real

摘要

Are nominal bonds appropriately discounted for taxes? Empirical estimates of the response of nominal interest rates to changes in inflation, the Fisher effect, have failed to produce a definitive answer. Four reasons have been put forward as possible explanations: (i) Tobin effects, (ii) fiscal illusion, (iii) peso problems, and (iv) different estimators. Utilizing data on taxable and tax-exempt bond interest rates and several different estimators, we find that the Fisher effect estimates are always larger for the taxable bond relative to the tax-exempt bond, suggesting that fiscal illusion and different estimators cannot account for the previous results.