"Risk and optimal Capital Income Taxation in a Continuous---Time, Multi-capital Economy"(in Japanese)

Tetsuya Shimokawa
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Tetsuya Shimokawa: Faculty of Economics, University of Tokyo

No CIRJE-J-50, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This article investigates the Ramsey capital income taxation in a stochastic multi-asset economy, consisting of forward-looking representative agents. To address this issue, we adopt a continuous-time framework, in which uncertain asset returns are modeled as some Ito processes. This specification of the uncertainty allows us to deal with the higher moments explicitly and show how the risks on asset returns affect the optimal tax rate.

Pages: 45 pages
Date: 2001-03
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2001cj50

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