International Tax Arbitrage Tax Evasion amd Interest Parity Conditions
Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax arbitrage opportunities may arise for internatioanl portfolio investors in an economy with heterogeneous capital income taxation when there is some scope to evade taxes on foreign capital income. We derive tax-modified uncovered interest parity conditions and forward raets similar to the no-tax ones, but augmented by tax-induced "risk-premium" terms.
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|Date of creation:||1998|
|Contact details of provider:|| Postal: Edgbaston, Birmingham, B15 2TT|
Web page: http://www.economics.bham.ac.uk
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- Chris Jones & Frank Milne, 1992. "Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 189-196.
- Schjelderup, Guttorm, 1993.
" Optimal Taxation, Capital Mobility and Tax Evasion,"
Scandinavian Journal of Economics,
Wiley Blackwell, vol. 95(3), pages 377-386.
- Schjelderup, G., 1991. "Optimal Taxation, Capital Mobility and Tax Evasion," Papers 02-91, Norwegian School of Economics and Business Administration-.
- Dammon, Robert M & Green, Richard C, 1987. " Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-1166, December.
- Dybvig, Philip H & Ross, Stephen A, 1986. " Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-762, July.
- Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
- McCallum, Bennett T., 1985. "Bank deregulation, accounting systems of exchange, and the unit of account: A critical review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 23(1), pages 13-45, January.
- Bennett T. McCallum, 1985. "Bank Deregulation, Accounting Systems of Exchange, and the Unit of Account: A Critical Review," NBER Working Papers 1572, National Bureau of Economic Research, Inc.
- Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
- De Vries, C.G. & Leuven, K.U., 1994. "Stylized Facts of Nominal Exchange Rate Returns," Papers 94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
- Talmor, Eli, 1989. "Tax arbitrage restrictions and financial leverage clienteles," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 831-838, December.
- Aivazian, Varouj A & Callen, Jeffrey L, 1987. " Miller's Irrelevance Mechanism: A Note," Journal of Finance, American Finance Association, vol. 42(1), pages 169-180, March.
- Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May. Full references (including those not matched with items on IDEAS)
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