Publikation:

Shall We Tax the Risk Premium?

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dp02_17.pdf
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Datum

2002

Autor:innen

Hilgers, Bodo

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Zusammenfassung

Should the realized risk premium be taxed or not? In a simple two asset portfolio model we analyze the optimal taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in public consumption, too, a positive tax rate below 100 % is optimal. We show further, that an efficient risk allocation between public and private consumption can be achieved without any distortion costs.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Risk-Taking, Risk Premium, Optimal Taxation, Aggregate Risk

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ISO 690HILGERS, Bodo, Dirk SCHINDLER, 2002. Shall We Tax the Risk Premium?
BibTex
@techreport{Hilgers2002Shall-12280,
  year={2002},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Shall We Tax the Risk Premium?},
  number={2002/17},
  author={Hilgers, Bodo and Schindler, Dirk}
}
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