Are Tax Effects Important in the Long‐Run Fisher Relationship? Evidence from the Municipal Bond Market
利用应税和免税债券利率数据，发现应税债券的费雪效应估计值始终大于免税债券，说明财政幻觉和不同估计方法无法解释以往研究结果。
Are nominal bonds appropriately discounted for taxes? Empirical estimates of the response of nominal interest rates to changes in inflation, the Fisher effect, have failed to produce a definitive answer. Four reasons have been put forward as possible explanations: (i) Tobin effects, (ii) fiscal illusion, (iii) peso problems, and (iv) different estimators. Utilizing data on taxable and tax‐exempt bond interest rates and several different estimators, we find that the Fisher effect estimates are always larger for the taxable bond relative to the tax‐exempt bond, suggesting that fiscal illusion and different estimators cannot account for the previous results.