Publikation: Shall We Tax the Risk Premium?
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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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HILGERS, 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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