While the research linking interest rates to government deficits is extensive, the impact of other tax-related variables is uncommon. This study seeks to add to the literature on credit markets by exploring the impact of not only the budget deficit but also average effective personal income tax rates and personal income tax evasion as explanatory variables. To the best of our knowledge this study is the first study to recognize the joint importance of all of these fiscal variables. We utilize data covering the post-Bretton Woods period from 1971 through 2016 to analyze the impact of the three variables in order to shed light on the spread between the real interest rate yields on Moody’s Aaa-rated corporate bonds and high quality municipal bonds. Estimations reveal that the higher the average effective federal personal income tax rate, the greater the differential between the yields on corporate bonds and tax-free Municipals. Furthermore, it is found that the higher the adjusted gross income gap, the greater the real yield spread between Moody’s Aaa-rated corporate bonds and high quality municipal bonds. Finally, the greater the primary budget deficit, the greater the spread as well.

中文翻译：

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穆迪 Aaa 级公司债券收益率与市政债券收益率之间的利差：协整分析

虽然将利率与政府赤字联系起来的研究很广泛，但其他与税收相关的变量的影响并不常见。本研究旨在通过探索不仅预算赤字而且将平均有效个人所得税率和个人所得税逃税作为解释变量的影响来增加有关信贷市场的文献。据我们所知，这项研究是第一项认识到所有这些财政变量的共同重要性的研究。我们利用 1971 年至 2016 年后布雷顿森林体系时期的数据来分析三个变量的影响，以揭示穆迪 Aaa 级公司债券与高质量市政债券的实际利率收益率之间的利差。估计显示，平均有效联邦个人所得税税率越高，公司债券和免税市政债券的收益率之间的差异越大。此外，研究发现，调整后的总收​​入差距越大，穆迪 Aaa 级公司债券与优质市政债券之间的实际收益率利差越大。最后，初级预算赤字越大，利差也越大。