養雞生蛋或殺雞取卵──論期交稅之降稅效果

KILLING THE GOOSE THAT LAID THE GOLDEN EGGS? EVIDENCE FROM THE REDUCTION OF THE FUTURES TRANSACTION TAX IN TAIWAN

為活絡期貨市場、吸引外資投入，台灣政府自1998年起已三次調降期交稅。雖然過去研究認為，期交稅的調降能大幅提升期貨交易量，並有效抵銷稅收減少之衝擊；但由於降稅時間和景氣波動高度相關，若僅以降稅前後交易量評估降稅效果，常因同時期經濟環境變化而引發估計偏誤。本文針對2006年1月所實施的第二次期交稅降稅，使用台股指數期貨（台指期）及摩台指數期貨（摩台期）交易資料，以台指期為實驗組、摩台期為控制組，採「差異中的差異」方法分析，當（指數類）期交稅率從0.25‰調降到0.1‰時，對台指期交易量和其稅收影響。實證結果顯示，若僅以台指期資料分析，降稅後一年內期貨交易量增幅為24.4%；但若加入摩台期為控制組，則降稅後一年內交易量增幅降為11%，顯示約五成五的期貨交易量增幅來自於環境因素。此外，若將資料延長為降稅前後兩年重新估計，降稅效果更下降至5.6%，顯示降稅對交易量刺激應屬短期效果，無法透過長期稅收增加彌補短期缺損。

To energize the futures market and attract foreign investments, the Taiwan government since 1998 has reduced the transactions tax levied on futures three times. Although the existing literature overwhelmingly supports the view that a tax cut substantially in-creases the trading volume and thus effectively buffers the negative impact on tax revenue, almost all empirical works are conducted based on a before-and-after analysis-comparing the trading volume of Taiwan stock index futures (TSIF) before and after the tax reduction. However, such an evaluation is likely to induce endogenous bias, because of failure to account for changes in the economic environment during the same period. Using Morgan Stanley Taiwan stock index futures (MSTSIF) as the control, this paper employs the difference-in-differences method to examine how the TSIF volume increases as a result of reducing the (index) futures transaction tax from 2.5 to 1 basis point in January 2006. Our results show that this tax cut increased TSIF trading volume by 11.0% in the following year, less than half of the increase obtained from before-and-after analysis (24.4%). Moreover, the growth of trading volume of TSIF declines to 5.6% when extending our sample to two years. We conclude that the increase of TSIF volume due to tax reduction is mostly a short-term effect.