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Tax clientele effects in the German bond market

Author

Listed:
  • Stehle, Richard
  • Jaschke, Stefan R.
  • Wernicke, S.

Abstract

This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term structures, and the identification of representative investors. Regression and no-arbitrage approaches are unified. The empirical results presented have important implications for the estimation of the term structure from coupon bond prices and the valuation of interest rate derivatives.

Suggested Citation

  • Stehle, Richard & Jaschke, Stefan R. & Wernicke, S., 1998. "Tax clientele effects in the German bond market," SFB 373 Discussion Papers 1998,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199811
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    References listed on IDEAS

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    6. Schaefer, Stephen M., 1982. "Tax-induced clientele effects in the market for British government securities : Placing bounds on security values in an incomplete market," Journal of Financial Economics, Elsevier, vol. 10(2), pages 121-159, July.
    7. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
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    10. repec:bla:jfinan:v:43:y:1988:i:4:p:893-911 is not listed on IDEAS
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    Cited by:

    1. Stefan Jaschke & Richard Stehle & Stephan Wernicke, 2000. "Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 440-468, August.

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    More about this item

    Keywords

    linear programming; duality theory; term structure of interest rates; smoothing splines; tax clientele; arbitrage bounds;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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