بررسی اثر شوک مالیات بر عایدی سهام و سپرده‌های بانکی در چارچوب تعادل عمومی پویای تصادفی کینزی

Introduction: In most countries, government expenditures are provided from tax revenues. But, in Iran, government budget depends on oil revenues. In other words, various economic activities in Iran such as bank deposits interest and stock earnings are tax-exempt. Although tax exemption pursues some goals, it reduces government revenues. In recent years, after severe sanctions against Iran's oil exports and a sharp drop in government oil revenues, increasing tax revenues has become one of the main alternatives to offset the decline in the oil revenues. On the other hand, the increased participation of investors in the stock market in recent years has provided a good opportunity for the government to increase its revenues in order to reduce budget deficits. Dividends and interests on bank deposits can be considered as new tax bases. It is reported that the Iranian National Tax Administration and the Ministry of Economic Affairs and Finance intend to levy taxes on bank deposits interests and dividends, but this plan has not yet been implemented. Therefore, it is necessary to study this issue. In this regard, the purpose of this study is to investigate the effects of taxlng stock earnings and bank deposit interests on macroeconomic variables with a dynamic stochastic equilibrium (DSGE) approach.
Methodology: This research investigated the effects of stock earnings and bank deposits tax shocks in the context of Keynesian dynamic stochastic general equilibrium (DSGE) approach during the years 1991-2019. The economic model in this study includes households, manufacturing enterprises, banks, government as fiscal policymakers and the central bank as monetary policymakers. Intermediary firms operate in a monopoly competition framework, and the Kalvo pricing method is used to express price rigidity. The purpose of using this method is to avoid model's rapid adjustment in response to shocks. The problem with analyzing stochastic dynamic general equilibrium models is that equilibrium equations are nonlinear, so linearization is necessary. For linearization, Taylor’s expansion method is applied. The linearized logarithm equations of household demand for stocks show that the amount of investment in the financial market depends on income, future price expectations and the expected dividends. To solve stochastic general equilibrium models, the parameters of the calibration model must be quantified. The conventional method to quantify the parameters is the calibration method. It is believed that the corresponding tax policy has not yet been implemented in Iran. Also, because of poor statistical data, this study uses the calibration method instead of Bayesian method. In this method, the parameters of the model are selected in such a way that the best match is achieved between the predicted moments of the model and the real data moments of the Iranian economy.
Results and Discussion: The results show that taxation on bank deposit interests reduces the amount of bank reserves. Then, as a result, banks request higher rate for lending, and the amount of loan demand is reduced. Ultimately, the influx of cash into the production sector and investment decreases. The results of this model are consistent with Gondolfi's theory (1982) that states savings decrease due to increased interests on bank deposits. Note that the government tax revenues increase with the imposition of a tax on bank deposits, but it soon deviates from its stable amount and then begins to decrease. This is due to the transfer of resources to other financial markets which are tax-exempt. Furthermore, with the introduction of stock income tax, the demand for stock will decrease, so does the amount of productive investment. This makes companies face financing difficulties. With reduced level of total production, the disposable income of shareholders and consumption will be reduced. Although, government tax revenues increase after the implementation of the stock tax, after a few periods, the dividends and stock prices as well as the amount of government revenues from the stock income decrease, and the tax revenues move towards a stable amount.
Conclusion: According to the results of this research, it can be concluded that, if the purpose of deposit taxation is to expand the government taxes, instability should be prevented in parallel markets by implementing pre-determined policies. One of these policies is to expand the tax base by imposing a tax on other financial markets such as the foreign exchange, gold, and housing markets. On the other hand, taxation on stock markets increases the amount of liquidity in the economy and transfers path of liquidity. If liquidity is directed to the deposit (in the absence deposit tax), the process of moving to a stable position will proceed more rapidly. This is because companies are financed with bank loans and financing problems are partially solved. If liquidity is diverted to speculative activities, however, it will have detrimental effects on the economy.