Politická ekonomie 2008, 56(5):656-668 | DOI: 10.18267/j.polek.657

K daňové uznatelnosti nákladů z úvěrů: Analýza pomocí opčního modelu

Jan Vlachý
Vysoká škola ekonomická v Praze.

Investigating a thin-capitalization rule: An option-based analysis

The Czech tax system is undergoing radical transformation. Among the many forthcoming changes, several features can be identified, which alter the structure of tax asymmetries. This paper uses an option-based model of direct taxation to examine a controversial new thin-capitalization rule, stipulating a mandatory benchmark for deductible unrelated-party loan expenses. We estimate the costs of debt under various risk-related scenarios, focusing on particular situations where the new regulation may result in distortions of business incentives and investment behaviour. We find that the measure can disproportionally increase the marginal cost of debt for companies with relatively risky business profiles. In particular, if the law were followed strictly, it could create effective barriers to further growth under perfectly realistic combinations of leverage and business risk. Another asymmetry arises due to a small-business exemption which can make new investment prohibitive when its cap is being reached. The model also suggests that non-deductibility of interest increases credit risk and could, in the longer term, contribute to a slack in SME lending.

Keywords: real options, thin capitalization, tax asymmetry,, Merton model of debt
JEL classification: G13, G32, H25, H32

Published: October 1, 2008  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Vlachý, J. (2008). Investigating a thin-capitalization rule: An option-based analysis. Politická ekonomie, 56(5), 656-668. doi: 10.18267/j.polek.657
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. ALTSHULER, R.; AUERBACH, A. J. 1990. The Significance of Tax Law Asymmetries: An Empirical Investigation. Quarterly Journal of Economics. 1990, roč. 105, č. 1, s. 61-86. Go to original source...
    2. BASEL 2005. International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Basel : Basel Committee on Banking Supervision, 2005.
    3. BLACK, F.; COX, J. 1976. Valuing Corporate Securities: Some Effects of Bond Indenture Provisions. Journal of Finance. 1976, roč. 31, č. 2, s. 351-367. Go to original source...
    4. BLACK, F.; SCHOLES, M. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 1973, roč. 81, č. 3, s. 637-659. Go to original source...
    5. CAMPBELL, J. Y.; HILSCHER, J.; SZILAGYI, J. 2005. In Search of Distress Risk. Cambridge (MA) : Harvard Institute of Economic Research, Discussion Paper no. 2081, 2005. Go to original source...
    6. CORDES, J.; SHEFFRIN, S. 1983. Estimating the Tax Advantage of Corporate Debt. Journal of Finance. 1983, roč. 38, č. 1, s. 95-105. Go to original source...
    7. ČNB 2006. Financial Stability Report. Praha : Česká národní banka, 2006. Dostupné z WWW: http://www.cnb.cz/www.cnb.cz/en/financial_stability/fs_reports/fsr_2006/FSR_2006.pdf
    8. ČNB 2007a. Fixing úrokových sazeb na mezibankovním trhu depozit - PRIBOR. Praha : Česká národní banka [online, cit. 17. 10. 2007]. Dostupné z WWW: http://www.cnb.cz/www.cnb.cz/cz/financni_trhy/penezni_trh/pribor/denni.jsp
    9. ČNB 2007b. Měnová statistika. Praha : Česká národní banka, srpen 2007. Dostupné z WWW: http://www.cnb.cz/cz/statistika/menova_bankovni_stat/menova_stat_publ/2007/ menstat_ 0807_CS.pdf
    10. ČNB 2007c. Vyhláška č. 123/2007 Sb. o pravidlech obezřetného podnikání bank, spořitelních a úvěrních družstev a obchodníků s cennými papíry. Sbírka zákonů ČR. 2007, částka 46.
    11. DAMODARAN, A. 2007. Damodaran Online - The Data Page [online, cit. 17. 10. 2007]. Dostupné z WWW: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/data.html
    12. DRAAISMA, T.; GORDON, K. 1996. Valuing the Right to Tax Incomes: An Options Pricing Approach. [Working Paper no. 160]. Paris : OECD, 1996. Go to original source...
    13. DUFFIE, D.; SINGLETON, K. J. 2003. Credit Risk: Pricing, Measurement and Management. Princeton (NJ) : Princeton University Press, 2003. Go to original source...
    14. ENDRES, D. 2006. Zur steueroptimalen Vergabe von Eigenund Fremdkapital im Ausland. Praxis Internationale Steuerberatung. 2006, roč. 3, č. 10, s. 255-258.
    15. FAMA, E.; FRENCH, K. 2004. Newly Listed Firms: Fundamentals, Survival Rates, and Returns. Journal of Financial Economics. 2004, roč. 73, č. 2, s. 229-269. Go to original source...
    16. GALAI, D.; MASULIS, R. 1976. The Option Pricing Model and the Risk Factor of Stock, Journal of Financial Economics. 1976, roč. 3, č. 1/2, s. 53-81. ' Go to original source...
    17. GOUTHIE RE, B. et al. 2005. A Comparative Study of the Thin Capitalization Rules in the Member States of the European Union and Certain Other States. European Taxation. 2005, roč. 45, č. 9/10, s. 367-451.
    18. GRAHAM, J. R. 1996. Debt and the Marginal Tax Rate. Journal of Financial Economics. 1996, roč. 41, č. 1, s. 41-73. Go to original source...
    19. HILLGEIST, S. A. et al. 2004. Assessing the Probability of Bankrupcy. Review of Accounting Studies. 2004, roč. 9, č. 1, s. 5-34. Go to original source...
    20. HULL, J. C. 2005. Options, Futures and Other Derivatives. Upper Saddle River (NJ) : Prentice-Hall, 2005.
    21. JARROW, R. A.; LANDO, D.; TURNBULL, S. M. 1997. A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies. 1997, roč. 10, č. 2, s. 481-523. Go to original source...
    22. JONES, E. P.; MASON, S. P.; ROSENFELD, E. 1984. Contingent Claims Analysis of Corporate Capital Structure: An Empirical Investigation. Journal of Finance. 1984, roč. 39, č. 3, s. 611-625. Go to original source...
    23. KADLČÁKOVÁ, N.; KEPLINGER, J. 2004. Credit Risk and Bank Lending in the Czech Republic [Working Paper no. 6]. Praha : Česká národní banka, 2004.
    24. KOSKELA, E.; ALVAREZ, L. H. R. 2004. Progressive Taxation and Irreversible Investment under Uncertainty [Discussion Paper no. 27]. Helsinki : HECER, 2004. Go to original source...
    25. LI, K. et al. 2004. Firm-Specific Variation and Openness in Emerging Markets. Review of Economics and Statistics. 2004, roč. 86, č. 3, s. 658-669. Go to original source...
    26. MAJD, S.; MYERS, S. 1985. Valuing the Government's Tax Claim on Risky Corporate Assets [Working Paper no. 1553]. Cambridge (MA) : National Bureau of Economic Research, 1985. Go to original source...
    27. MERTON, R. C. 1970. A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm [Working Paper no. 497]. Cambridge (MA) : MIT Sloan School of Management,, 1970.
    28. MERTON, R. C. 1974. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance. 1974, roč. 29, č. 2, s. 449-470. Go to original source...
    29. MERTON, R. C. 1990. Continuous-Time Finance. Oxford : Basil Blackwell, 1990.
    30. MILLER, M.; MODIGLIANI, F. 1963. Corporate Income Taxes and the Cost of Capital: A Correction. American Economic Review. 1963, roč. 53, č. 3, s. 433-443.
    31. PANTEGHINI, P. M. 2001. On Corporate Tax Asymmetries and Neutrality. German Economic Review. 2001, roc. 2, c. 3, s. 269-286. Go to original source...
    32. PANTEGHINI, P. M. 2003. A Dynamic Measure of the Effective Tax Rate. Economics Bulletin. 2003, roč. 8, č. 15, s. 1-7. Go to original source...
    33. PANTEGHINI, P. M. 2007. Interest Deductibility under Default Risk and the Unfavorable Tax Treatment of Investment Costs: A Simple Explanation. Economics Letters. 2007, roč. 96, č. 1, s. 1-7. Go to original source...
    34. PASTOR, L.; VERONESI, P. 2003. Stock Valuation and Learning About Profitability. Journal of Finance. 2003, roč. 58, č. 5, s. 1749-1790. Go to original source...
    35. PWC 2007. Reform of Public Financing [Tax & Legal Alert no. 13]. Praha : PriceWaterhouseCoopers, 2007.
    36. SALÍ, M; SCHNEIDER, O.; ZÁPAL, J. 2003. Zdanění práce a kapitálu: Teorie a aplikace na Českou ekonomiku. Finance a úvěr. 2003, roč. 53, č. 11/12, s. 539-561.
    37. SURETH, C. 2002. Partially Irreversible Investment Decisions and Taxation under Uncertainty: A Real Option Approach. German Economic Review. 2002, roč. 3, č. 2, s. 185-221. Go to original source...
    38. VLACHÝ, J. 2007a. Dodatečné zdanění nejistých osobních příjmů v důsledku daňové progrese. Politická ekonomie. 2007, roč. 55, č. 5, s. 625-636. Go to original source...
    39. VLACHÝ, J. 2007b. Assessing Tax Asymmetries and the Incentive to Incorporate. Ekonomický ČAsopis. Rukopis v recenzním řízení.
    40. Zákon č. 261/2007 Sb., o stabilizaci veřejných rozpočtů. část první. Sbírka zákonů ČR. 2007, částka 85, s. 3154-3174.

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content