Asset price volatility and government revenue
Athanasios Tagkalakis
Economic Modelling, 2011, vol. 28, issue 6, 2532-2543
Abstract:
This paper investigates the effect of commercial, residential property and equity price volatility on the variability of cyclically adjusted government revenue. We find significant evidence that asset price volatility increases the variability of government revenue. A 1% increase in equity price volatility increases government revenue variability by 0.37–0.44%. An increase in residential property price volatility increases revenue volatility by about 0.15–0.22%, whereas this effect diminishes to 0.11% in case of commercial property price. This evidence reflects the automatic increase of government revenue variability due to asset price movements and supports arguments in favour of adjusting fiscal variables for both business cycle and asset price changes. However, we also find evidence that equity price variability increases revenue variability even when government revenue is adjusted for both economic and asset price cycles, indicating the presence of more complicated dynamics between fiscal variables and asset price changes.
Keywords: Asset prices; Government revenue; Volatility; Cyclical adjustment (search for similar items in EconPapers)
JEL-codes: E32 E61 E62 H61 H62 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999311001866
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Asset price volatility and government revenue (2011) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:6:p:2532-2543
DOI: 10.1016/j.econmod.2011.07.015
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().