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The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

Persistent link: https://www.econbiz.de/10012494826

Modelling persistence and non-linearities in the US treasury 10-year bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

Persistent link: https://www.econbiz.de/10012813850

Dividend taxation and the cost of new share issues

Lindhe, Tobias; Södersten, Jan - 2014

This paper examines how the effects of dividend taxation on the cost of new equity funds depend on whether or not shareholders can recover their original equity injections without being subject to the dividend tax. We point out the alternative assumptions in the literature on this, and we...

Persistent link: https://www.econbiz.de/10010412740

The optimal taxation of risky capital income : the Rate of Return Allowance

Spiritus, Kevin; Boadway, Robin W. - 2017

We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

Persistent link: https://www.econbiz.de/10011588034

Redistribution of return inequality

Schulz, Karl - 2021

Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...

Persistent link: https://www.econbiz.de/10012499593

Optimal taxation of capital income with heterogeneous rates of return

Gerritsen, Aart; Jacobs, Bas; Rusu, Alexandra V.; … - 2020

There is increasing empirical evidence that people systematically differ in their rates of return on capital. We derive optimal non-linear taxes on labor and capital income in the presence of such return heterogeneity. We allow for two distinct reasons why returns are heterogeneous: because...

Persistent link: https://www.econbiz.de/10012238502

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Persistent link: https://www.econbiz.de/10011688099

"Whatever It Takes!" : how tonality of TV-news affected government bond yield spreads during the European debt crisis

Hirsch, Patrick; Feld, Lars P.; Köhler, Ekkehard A.; … - 2024

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …

Persistent link: https://www.econbiz.de/10014486807

Tax competition among U.S. states : racing to the bottom or riding on a seesaw?

Chirinko, Robert S.; Wilson, Daniel J. - 2011

Dramatic declines in capital tax rates among U.S. states and European countries have been linked by many commentators to tax competition and an inevitable "race to the bottom." This paper provides an empirical analysis of the reaction of capital tax policy in a given U.S. state to changes in...

Persistent link: https://www.econbiz.de/10009240807