The Effects of Inflation and Income Taxes on Interest Rates: Some New Evidence
重新检验通胀与利率的关系，聚焦Darby和Feldstein提出的税收效应，发现1953-1982年间国债名义收益率随预期通胀超比例上升，而免税市政债券收益率近似一对一上升，支持了税后费雪假说。
This paper reexamines the empirical relation between inflation and interest rates concentrating on the tax effect proposed by Darby and Feldstein. Using the random walk intercept model, relative responses of taxable yields and tax-exempt yields to expected infla? tion are estimated. The results show that for the sample period 1953-1982, the nominal yields on Treasury bills rise at a rate greater than one-for-one with expected inflation, while the nominal yields on default-free municipal bonds rise approximately one-for-one with expected inflation. Thus, the tax-adjusted Fisher hypothesis by Darby and Feldstein is empirically supported. The components of Treasury bills are also extracted and their variances are compared. It is shown that variation of expected inflation is not overwhelmingly larger than that of the after-tax real rate. Therefore, on an after-tax basis, changes in the real rate explain a substantial portion of changes in the nominal rate of interest.