In this paper, we empirically document a link between tax changes and financial market conditions. Using the Romer and Romer (2010) narrative record of exogenous federal tax liability changes for the US, we show that an increase in taxes leads to higher risk premia for corporate bonds issued by financial and non-financial firms. Consistent with recent theories of intermediary asset pricing, we demonstrate that risk premia are driven by intermediaries' balance sheet conditions, which -- according to our results -- are in turn affected by tax changes. Two tax acts are particularly relevant for the transmission of taxes to financial market conditions, namely the Tax Reform Act of 1986 and the Jobs and Growth Tax Relief Reconciliation Act of 2003. Interestingly, none of these two tax acts specifically targeted the financial sector. Therefore, an important implication of our results is that any tax change can potentially spill over to financial market conditions, with the associated consequences for real economic activity.
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机译：在本文中，我们以经验证明了税收变化与金融市场状况之间的联系。使用Romer and Romer（2010）的美国外来联邦税负变化的叙述记录，我们表明税率的提高导致金融和非金融公司发行的公司债券的风险溢价更高。与最新的中间资产定价理论相一致，我们证明了风险溢价是由中间人的资产负债表状况驱动的，根据我们的结果，这些状况又受税率变化的影响。两项税法与将税款转移至金融市场条件特别相关，分别是1986年的《税制改革法》和2003年的《就业与增长税减免和解法》。有趣的是，这两项税法均未专门针对金融部门。因此，我们的结果的一个重要含义是，任何税收变化都可能会波及到金融市场状况，并对实际经济活动产生相关影响。
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