IDEAS home Printed from https://ideas.repec.org/p/boe/boeewp/11.html
   My bibliography  Save this paper

Tax Specific Term Structures of Interest Rates in the UK Government Bond Market

Author

Listed:
  • Andrew Derry
  • Mahmood Pradhan

Abstract

Coupon income and capital gain on UK Government bonds are taxed differently, so some investors do not regard all bonds as perfect substitutes. This paper examines the extent to which term structures of interest rates derived from the UK bond market are tax specific, using a linear programming technique to select the optimal portfolios for investors facing different tax treatment. Despite the tax reforms of the mid-nineteen eighties - designed to reduce arbitrage opportunities in the gilts market - divergences between yield curves of the main categories of tax payers are found to remain.

Suggested Citation

  • Andrew Derry & Mahmood Pradhan, 1993. "Tax Specific Term Structures of Interest Rates in the UK Government Bond Market," Bank of England working papers 11, Bank of England.
    • Handle: RePEc:boe:boeewp:11
    as

    Download full text from publisher

    File URL: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1993/wp11.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bayoumi, Tamim, 1993. "Financial Deregulation and Household Saving," Economic Journal, Royal Economic Society, vol. 103(421), pages 1432-1443, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mark S Astley & Andrew G Haldane, 1995. "Money as an Indicator," Bank of England working papers 35, Bank of England.
    2. Marco Bianchi & Gylfi Zoega, 1998. "Unemployment persistence: does the size of the shock matter?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 283-304.
    3. Roger Beaton & Paul Fisher, 1995. "The Construction of RPIY," Bank of England working papers 28, Bank of England.
    4. Prasanna Gai, 1996. "International Bank Lending to LDCs - an Information-Based Approach," Bank of England working papers 43, Bank of England.
    5. David Barr & Bahram Pesaran, 1995. "An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds," Bank of England working papers 32, Bank of England.
    6. Schich, Sebastian T., 1996. "Alternative Spezifikationen der deutschen Zinsstrukturkurve und ihr Informationsgehalt hinsichtlich der Inflation," Discussion Paper Series 1: Economic Studies 1996,08, Deutsche Bundesbank.
    7. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
    8. Andy Haldane & Bennett McCallum & Chris Salmon, 1996. "Base Money Rules in the UK," Bank of England working papers 45, Bank of England.
    9. Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank.
    10. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
    11. Sterne, Gabriel & Bayoumi, Tamim, 1995. "Temporary Cycles or Volatile Trends? Economic Fluctuations in 21 OECD Economies," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(1), pages 23-51, March.
    12. Clive Briault & Andrew Haldane & Mervyn A. King, 1997. "Independence and Accountability," Palgrave Macmillan Books, in: Iwao Kuroda (ed.), Towards More Effective Monetary Policy, chapter 10, pages 299-340, Palgrave Macmillan.
    13. Marco Bianchi, 1996. "A Comparison of Methods for Seasonal Adjustment of the Monetary Aggregates," Bank of England working papers 44, Bank of England.
    14. Charles Nolan & Eric Schaling, 1996. "Monetary Policy Uncertainty and Central Bank Accountability," Bank of England working papers 54, Bank of England.
    15. Marco Bianchi, 1995. "Testing for convergence: evidence from non-parametric multimodality tests," Bank of England working papers 36, Bank of England.
    16. Spencer Dale & Marco Rossi, 1996. "A Market for Intra-day Funds: Does it Have Implications for Monetary Policy?," Bank of England working papers 46, Bank of England.
    17. Francis Breedon & Ian Twinn, 1995. "Valuation of underwriting agreements for UK rights issues: evidence from the traded option market," Bank of England working papers 39, Bank of England.
    18. Matthew B Canzoneri & Charles Nolan & Anthony Yates, 1996. "Feasible Mechanisms for Achieving Monetary Stability: a Comparison of Inflation Targeting and the ERM," Bank of England working papers 52, Bank of England.
    19. James Proudman, 1995. "The Microstructure of the UK gilt market," Bank of England working papers 38, Bank of England.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June.
    2. Janine Aron & John Muellbauer, 2006. "Housing Wealth, Credit Conditions and Consumption," CSAE Working Paper Series 2006-08, Centre for the Study of African Economies, University of Oxford.
    3. Moral-Benito, Enrique & Roehn, Oliver, 2016. "The impact of financial regulation on current account balances," European Economic Review, Elsevier, vol. 81(C), pages 148-166.
    4. María José Roa García & Diana Mejía (ed.), 2018. "Decisiones financieras de los hogares e inclusión financiera: evidencia para América Latina y el Caribe," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 7sp, December.
    5. Valérie Chauvin & Gaël Dupont & Éric Heyer & Mathieu Plane & Xavier Timbeau, 2002. "Le modèle France de l'OFCE. La nouvelle version : e-mod.fr," Revue de l'OFCE, Presses de Sciences-Po, vol. 81(2), pages 245-300.
    6. Lennart Berg, 2002. "Prices on the second-hand market for Swedish family houses: correlation, causation and determinants," European Journal of Housing Policy, Taylor and Francis Journals, vol. 2(1), pages 1-24.
    7. Ellis Connolly & Marion Kohler, 2004. "The Impact of Superannuation on Household Saving," RBA Research Discussion Papers rdp2004-01, Reserve Bank of Australia.
    8. Pengfei Wang & Yi Wen & Zhiwei Xu, 2018. "Financial Development and Long-Run Volatility Trends," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 221-251, April.
    9. Emilio Fernandez-Corugedo & John Muellbauer, 2006. "Consumer credit conditions in the United Kingdom," Bank of England working papers 314, Bank of England.
    10. repec:spo:wpecon:info:hdl:2441/1631 is not listed on IDEAS
    11. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
    12. Ligia Melo B. & Juana Téllez C. & Héctor Zárate S., 2006. "El ahorro de los hogares en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 24(52), pages 110-161, December.
    13. Anthony Yates & Bryan Chapple, 1996. "What Determines the Short-run Output-Inflation Trade-off?," Bank of England working papers 53, Bank of England.
    14. Joanna Paisley & Chris Salmon, 1995. "How Cyclical is the PSBR?," Bank of England working papers 34, Bank of England.
    15. Englund, Peter & Ioannides, Yannis M., 1997. "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics, Elsevier, vol. 6(2), pages 119-136, June.
    16. Ana María Iregui-Bohórquez & Ligia Alba Melo-Becerra & María Teresa Ramírez-Giraldo & Ana María Tribín-Uribe, 2016. "Ahorro de los hogares de ingresos medios y bajos de las zonas urbana y rural en Colombia," Borradores de Economia 960, Banco de la Republica de Colombia.
    17. Kelvin Onwuka & Anayochukwu Basil Chukwu & Tobechi Faith Agbanike, 2021. "Current account and financial reforms: Evidence from sub‐Saharan Africa," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4303-4314, July.
    18. Hjortsoe, Ida & Weale, Martin & Wieladek, Tomasz, 2018. "How does financial liberalisation affect the influence of monetary policy on the current account?," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 93-123.
    19. Pengfei Wang & Yi Wen & Zhiwei Xu, 2018. "Financial Development and Long-Run Volatility Trends," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 221-251, April.
    20. Latsos Sophia, 2018. "Real Wage Effects of Japan’s Monetary Policy," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 69(1), pages 177-215, July.
    21. Matthew B Canzoneri & Charles Nolan & Anthony Yates, 1996. "Feasible Mechanisms for Achieving Monetary Stability: a Comparison of Inflation Targeting and the ERM," Bank of England working papers 52, Bank of England.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:boeewp:11. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Media Team (email available below). General contact details of provider: https://edirc.repec.org/data/boegvuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.