Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?
利用市政互换市场数据，研究短期市政利率中隐含的边际税率，发现平均为38.0%，且税收风险溢价为负，表明税收风险是系统性资产定价因子，有助于解释市政债券之谜。
ABSTRACT We study the marginal tax rate incorporated into short‐term municipal rates using municipal swap market data. Using an affine model, we identify the marginal tax rate and the credit/liquidity spread in 1‐week tax‐exempt rates, as well as their associated risk premia. The marginal tax rate averages 38.0% and is related to stock, bond, and commodity returns. The tax risk premium is negative, consistent with the strong countercyclical nature of after‐tax fixed‐income cash flows. These results demonstrate that tax risk is a systematic asset pricing factor and help resolve the muni‐bond puzzle.