Tax Clientele Effects in the Term Structure of UK Interest Rates
利用1995年英国政府债券税收政策变动作为自然实验，检验利率期限结构中的税收客户效应，发现存在显著效应但缺乏税收特定期限结构的证据。
This paper tests for tax clientele effects in the term structure of UK interest rates. Five empirical models of the term structure of interest rates, incorporating tax effects, are estimated with daily data covering the period 31 March, 1995 to 3 August, 1995. In May 1995, the British government announced its intention to eliminate the tax exemption on capital gains from government bonds, but subsequently in July 1995 backtracked on some of its initial proposals. This period therefore forms the basis of a crude natural experiment in the sense that it provides an opportunity to examine tax clientele effects ‘before’ and ‘after’ an event which should have levelled greatly the taxing of government bonds. The empirical analysis suggests large tax clientele effects. However, there is little evidence of tax‐specific term structures of interest rates.