Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61259
Authors: 
Stehle, Richard
Jaschke, Stefan R.
Wernicke, S.
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,11
Abstract: 
This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term structures, and the identification of representative investors. Regression and no-arbitrage approaches are unified. The empirical results presented have important implications for the estimation of the term structure from coupon bond prices and the valuation of interest rate derivatives.
Subjects: 
linear programming
duality theory
term structure of interest rates
smoothing splines
tax clientele
arbitrage bounds
JEL: 
E43
C14
C61
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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