IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Retrospective Capital Gains taxation in the real world

  • Francesco Menoncin
  • Paolo Panteghini

In this article, we analyze Auerbach's (1991) proposal of a retrospective capital gains tax, which is equivalent to an accrual tax on an ex-ante basis. Using a continuous-time model with stochastic interest rates and serially correlated asset returns, we prove that such an equivalence still holds. This means that in a more realistic setting the realization-based systems requires no ad hoc adjustment for equivalence to hold.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.unibs.it/on-line/dse/Home/Inevidenza/PaperdelDipartimento/documento11650.html
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Matteo Galizzi)


Download Restriction: no

Paper provided by University of Brescia, Department of Economics in its series Working Papers with number 0910.

as
in new window

Length:
Date of creation: 2009
Date of revision:
Handle: RePEc:ubs:wpaper:0910
Contact details of provider: Postal: Via S. Faustino 74/B, 25122 Brescia
Phone: +39-(0)30-2988704
Web page: http://www.unibs.it/atp/page.1019.0.0.0.atp?node=224

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Rosella Levaggi, 2009. "From local to global public goods: how should externalities be represented?," Working Papers 0903, University of Brescia, Department of Economics.
  2. Kaplow, Louis, 1994. "Taxation and Risk Taking: A General Equilibrium Perspective," National Tax Journal, National Tax Association, vol. 47(4), pages 789-98, December.
  3. Alan J. Auerbach, 1988. "Retrospective Capital Gains Taxation," NBER Working Papers 2792, National Bureau of Economic Research, Inc.
  4. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2009. "The Phillips curve and the Italian lira, 1861-1998," Working Papers 0908, University of Brescia, Department of Economics.
  5. Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
  6. Mauro Ghinamo & Paolo Panteghini & Federico Revelli, 2010. "FDI determination and corporate tax competition in a volatile world," International Tax and Public Finance, Springer, vol. 17(5), pages 532-555, October.
  7. Jacques Drèze & Enrico Minelli & Mario Tirelli, 2008. "Production and financial policies under asymmetric information," Economic Theory, Springer, vol. 35(2), pages 217-231, May.
  8. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
  9. Laura Levaggi & Rosella Levaggi, 2009. "Welfare properties of restrictions to health care services based on cost effectiveness," Working Papers 0902, University of Brescia, Department of Economics.
  10. Rosella Levaggi, 2008. "Decentralisation vs fiscal federalism in the presence of impure public goods," Working Papers 0812, University of Brescia, Department of Economics.
  11. Amedeo Fossati & Rosella Levaggi, 2008. "Delay is not the answer: waiting time in health care & income redistribution," Working Papers 0801, University of Brescia, Department of Economics.
  12. Amisano, Giovanni & Tristani, Oreste, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," CEPR Discussion Papers 6373, C.E.P.R. Discussion Papers.
  13. Sergio Vergalli, 2006. "Dynamics in Immigration Community," Working Papers ubs0613, University of Brescia, Department of Economics.
  14. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.
  15. John Y. Campbell, 2007. "Estimating the Equity Premium," NBER Working Papers 13423, National Bureau of Economic Research, Inc.
  16. Amisano, Gianni & Savona, Roberto, 2008. "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series 0881, European Central Bank.
  17. Gert Peersman & Frank Smets, 2005. "The Industry Effects of Monetary Policy in the Euro Area," Economic Journal, Royal Economic Society, vol. 115(503), pages 319-342, 04.
  18. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
  19. Paolo M. Panteghini, 2009. "On the equivalence between labor and consumption taxation," Economics Bulletin, AccessEcon, vol. 29(2), pages 622-629.
  20. Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 0831, European Central Bank.
  21. Michele Moretto & Paolo M. Panteghini & Carlo Scarpa, 2006. "Profit Sharing and Investment by Regulated Utilities: A Welfare Analysis," Working Papers ubs0611, University of Brescia, Department of Economics.
  22. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  23. Carmine Trecroci & Matilde Vassalli, 2010. "Monetary Policy Regime Shifts: New Evidence From Time-Varying Interest Rate Rules," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 933-950, October.
  24. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
  25. Alan A. Auerbach & David F. Bradford, 2001. "Generalized Cash Flow Taxation," NBER Working Papers 8122, National Bureau of Economic Research, Inc.
  26. Zhu, Xiaodong, 1992. "Optimal fiscal policy in a stochastic growth model," Journal of Economic Theory, Elsevier, vol. 58(2), pages 250-289, December.
  27. Paolo Panteghini, 2009. "The capital structure of multinational companies under tax competition," International Tax and Public Finance, Springer, vol. 16(1), pages 59-81, February.
  28. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
  29. Rosella Levaggi, 2006. "Tax evasion and the cost of public sector activities," Working Papers ubs0616, University of Brescia, Department of Economics.
  30. Francesco Menoncin & Paolo M. Panteghini, 2013. "The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(1), pages 57-71, March.
  31. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2009. "Wage Bargaining Coordination and the Phillips Curve in Italy," Working Papers 0901, University of Brescia, Department of Economics.
  32. Chiara Dalle Nogare & Matilde Vassalli, 2006. "A Pressure-Augmented Taylor Rule for Italy," Working Papers ubs0604, University of Brescia, Department of Economics.
  33. Alessandro Bucciol & Raffaele Miniaci, 2008. "Household Portfolios and Implicit Risk Aversion," Working Papers 0808, University of Brescia, Department of Economics.
  34. Ola Andersson & Matteo M. Galizzi & Tim Hoppe & Sebastian Kranz & Karen van der Wiel & Erik Wengstrom, 2008. "Persuasion in Experimental Ultimatum Games," Working Papers 0811, University of Brescia, Department of Economics.
  35. Franco Spinelli & Carmine Trecroci, 2006. "Maastricht: New and Old Rules," Open Economies Review, Springer, vol. 17(4), pages 477-492, December.
  36. Vesa Kanniainen & Paolo M. Panteghini, 2008. "Tax Neutrality: Illusion or Reality? The Case of Entrepreneurship," Working Papers 0803, University of Brescia, Department of Economics.
  37. Shiller, Robert J. & Beltratti, Andrea E., 1992. "Stock prices and bond yields : Can their comovements be explained in terms of present value models?," Journal of Monetary Economics, Elsevier, vol. 30(1), pages 25-46, October.
  38. Paolo M. Panteghini, 2008. "Corporate Debt, Hybrid Securities and the Effective Tax Rate," Working Papers 0804, University of Brescia, Department of Economics.
  39. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  40. Chiara Dalle Nogare & Matteo Galizzi, 2011. "The political economy of cultural spending: evidence from Italian cities," Journal of Cultural Economics, Springer, vol. 35(3), pages 203-231, August.
  41. Green, Jerry & Sheshinski, Eytan, 1978. "Optimal Capital-Gains Taxation Under Limited Information," Scholarly Articles 3210340, Harvard University Department of Economics.
  42. Rosella Levaggi & Francesco Menoncin, 2007. "A note on optimal tax evasion in the presence of merit goods," Working Papers 0702, University of Brescia, Department of Economics.
  43. Raffaele Miniaci & Sergio Pastorello, 2010. "Mean-variance econometric analysis of household portfolios," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(3), pages 481-504.
  44. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers ubs0603, University of Brescia, Department of Economics.
  45. Laura Poddi & Sergio Vergalli, 2008. "Does Corporate Social Responsibility Affect Firms' Performance?," Working Papers 0809, University of Brescia, Department of Economics.
  46. Alworth, Julian & Arachi, Giampaolo & Hamaui, Rony, 2003. ""What's Come to Perfection Perishes*": Adjusting Capital Gains Taxation in Italy," National Tax Journal, National Tax Association, vol. 56(1), pages 197-219, March.
  47. William Vickrey, 1939. "Averaging of Income for Income-Tax Purposes," Journal of Political Economy, University of Chicago Press, vol. 47, pages 379.
  48. David F. Bradford, 1996. "Fixing Capital Gains: Symmetry, Consistency and Correctness in the Taxation of Financial Instruments," NBER Working Papers 5754, National Bureau of Economic Research, Inc.
  49. Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics.
  50. Rosella Levaggi & Francesco Menoncin, 2009. "Decentralized provision of merit and impure public goods," Working Papers 0909, University of Brescia, Department of Economics.
  51. Chiara D'Alpaos & Michele Moretto & Paola Valbonesi & Sergio Vergalli, 2009. "It is never too late: Optimal penalty for investment delay in public procurement contracts," Working Papers 0907, University of Brescia, Department of Economics.
  52. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  53. Aviad Heifetz & Enrico Minelli, 2006. "Aspiration Traps," Working Papers ubs0610, University of Brescia, Department of Economics.
  54. Michele Moretto & Sergio Vergalli, 2008. "Managing Migration through Quotas: an Option-theory Perspective," Working Papers 2008.51, Fondazione Eni Enrico Mattei.
  55. Enrico Minelli & Salvatore Modica, 2006. "Credit Market Failures and Policy," Working Papers ubs0607, University of Brescia, Department of Economics.
  56. Federico Boffa & Carlo Scarpa, 2006. "Exporting Collusion Under Capacity Constraints: an Anti-Competitive Effect of Market Integration," Working Papers ubs0617, University of Brescia, Department of Economics.
  57. Matteo M. Galizzi, 2009. "Bargaining and Networks in a Gas Bilateral Oligopoly," Working Papers 0906, University of Brescia, Department of Economics.
  58. Sergio Vergalli, 2007. "Entry and Exit Strategies in Migration Dynamics," Working Papers 0701, University of Brescia, Department of Economics.
  59. Stefano Capri & Rosella Levaggi, 2008. "Drug pricing and risk sharing agreements," Working Papers 0810, University of Brescia, Department of Economics.
  60. Federico Biagi & Maria Laura Parisi & Lucia Vergano, 2008. "Organizational Innovations and Labor Productivity in a Panel of Italian Manufacturing Firms," Working Papers 0813, University of Brescia, Department of Economics.
  61. Louis Kaplow, 1991. "Taxation and Risk Taking: A General Equilibrium Perspective," NBER Working Papers 3709, National Bureau of Economic Research, Inc.
  62. Roberto Casarin & Jean-Michel Marin, 2007. "Online data processing: comparison of Bayesian regularized particle filters," Working Papers 0703, University of Brescia, Department of Economics.
  63. Vasicek, Oldrich Alfons, 2005. "The economics of interest rates," Journal of Financial Economics, Elsevier, vol. 76(2), pages 293-307, May.
  64. Laura Levaggi & Rosella Levaggi, 2007. "Regulation Strategies for Public Service Provision," Working Papers 0707, University of Brescia, Department of Economics.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ubs:wpaper:0910. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matteo Galizzi)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.