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Title: Persistence in tax revenues: evidence from some OECD countries
Authors: Caporale, GM
Garcia Tapia, S
Gil-Alana, LA
Keywords: revenues;taxes;persistence;fractional integration;long memory
Issue Date: 19-Feb-2024
Publisher: Springer Nature
Citation: Caporale, G.M., Garcia Tapia, S. and Gil-Alana, L.A. (2024) 'Persistence in tax revenues: evidence from some OECD countries', Journal of Quantitative Economics, 0 (ahead of print), pp. 1 - 17. doi: 10.1007/s40953-024-00386-x.
Abstract: This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long-range dependence techniques based on fractional integration. The results imply that there are only a few cases of mean reversion: one for total revenue (Switzerland); three for VAT (Belgium, Italy, and Spain), and six for tax on income (Austria, Belgium, Finland, Spain, Sweden and USA). The analysis is also carried out for inflation in the same set of countries. Again the I(1) hypothesis cannot be rejected in most cases, mean reversion only occurring in Korea, Iceland, Norway and Sweden. However, stronger evidence of mean reversion is found for the differences between the three original tax series and inflation compared to the tax series themselves, which points to the existence of a linkage between taxation and inflation, especially in the case of VAT and tax on income
Description: JEL classification codes: C13; C22
Data availability: Data are available from the authors upon request.
An earlier version of this paper is available as Brunel University London. Department of Economics and Finance. Working Paper No. 2317 available online at : . It has not been certified by peer review..
ISSN: 0971-1554
Other Identifiers: ORCiD: Guglielmo Maria Caporale
ORCiD: Luis Alberiko Gil-Alana
Appears in Collections:Dept of Economics and Finance Research Papers

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