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Determinants of the effective tax rate
Student: Mircea Bogdan
Coordinator: Vintila Georgeta
Abstract
The fiscal burden of a company is the subject of many studies in the economic field. The
concept concerning this paper is the effective tax rate (also noted as ETR) which, in the opinion
of many economics, gives a better imagine of a company’s fiscal burden than the statutory tax
rate. The purpose of this paper is to give an imagine of the national and international opinions for
the ETR regarding the method of calculation and the econometrical models that reflects its
factors. In this paper I presented the most important national and international articles whose
base topic was the effective tax rate and its determinants such as company’s characteristics (like
ROE, ROA, leverage, size) and macroeconomics factors like inflation rate or others. The study
case was based on the Romanian companies listed to the Bucharest Stock Exchange, for the
period 1999-2011, for 12 activity sectors. The results showed some overall influence at the level
of the characteristics of companies and for the macroeconomics factors, but the sectorial analyses
are quite different, the differences being at the level of the limitations of the study.
Keywords: effective tax rate, determinants, fiscal influence, fiscal policy, econometrics,
Romanian companies
Introduction
Taxes have existed since ancient times and it is believed to have occurred in the evolution
of human society in the first state formations, being determined by the need for maintenance of
those materials exercising public power, performing management tasks. Taxes have been
designed differently, influenced especially by social and economic development and public
spending supported by each state.
Income tax is the "cost of doing business." The effective income tax rate may affect
corporate saving rate and cost of capital and in turn the growth rate of a country. To the extent
that countries impose fiscal burdens on taxation, tax can contribute to inflows and outflows of
capital from a country, affecting the cost of doing business in that country.
Effective tax rate includes all taxes and fiscal obligations incurred by a taxpayer. The tax
burden is influenced by sector of activity, the existence of deductibles and fiscal incentives from
the state. Determinants of effective tax rate are the features highlighted by company size, market
share, the performance of it, and macro elements that affect the overall economy, sectorial
influences being of course different.
Literature review
Literature and studies presented below support a stronger influence of the effective tax
rate to the statutory regarding investment and financing decisions.
Impact of effective tax rate and the determinants are subject to numerous case studies on
international and national level that focus on microeconomic sphere. The calculation and
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estimation vary from author to author, and distribution channels impact financial results. Thus, in
order to form an idea of the concept of effective rate of taxation, I presented various national and
international articles with a significant contribution to the literature.
S. Gupta, K. Newbery (1997) studies the determinants of variability effective tax tax at
company level in the period before and after the tax reform of 1986. Number of firms taken in
the analysis was 823 during 1982-1985 and 915 during 1987-1990). Tax reform in the U.S., in
1986, simplified tax code and removed some deductions (income tax rate was reduced from 46%
to 34%, and personal income tax from 50% to 28%). This reform was the most significant
change in the tax structure of America in the last 50 years.
This study shows that the effective tax rate is not associated with firm size when the
relationship is examined over time for companies with long histories. Despite this, results show
that the effective tax rate is negatively correlated with capital structure, elements of assets and
positively correlated with firm performance (ROA), these correlations continued after the 1986
tax reform.
A study published by Kim A.K. and Limpaphayom P. (1998) applies the hypothesis of
positive relationship between effective tax rate and firm size in the context of emerging
economies: Hong Kong, Korea, Malaysia, Taiwan and Thailand. The sample was composed of
372 companies from Hong Kong, 601 in Korea, 361 in Malaysia, 251 in Taiwan and 246 in
Thailand.
Contrary to U.S. studies, the results obtained by the authors show that there is a negative
relationship between effective tax rate and firm size in emerging economies.
The independent variables were represented: total assets, leverage ratio, market value and
profitability of the firm defined as the income to sales (profit margin). In the analysis it is
observed that for the margin of profit, the correlation coefficients are positive and statistically
significant (except Malaysia). The effective tax rate is negatively correlated with firm size,
although this contradicts previous studies, leverage and market value have low significance in
relation to the tax rate.
B. Janssen and Buijink W. (2000) study the existence of an association between
changes in effective average tax rate (ETR) and firm characteristics such as size, asset structure,
existence with foreign operations, performance, leverage, whether the fact that a company stock
is listed or not, or if the company is public. The database included financial information for the
period 1994-1998, comprising 879 firms and 4395 observations.
The study was a model with panel data, regression used is defined as:
ETRt = α
t + β
1FSIZE
t + β
2CAPINT
t + β
3INVINT
t + β
4FOREIGN
t + β
5ROA
t + ß
6 LEVERAGE +
β7LISTED
t + ß
8PUBLIC + ε
t.
In conclusion, through a cross-sectional study panel, including financial data for Dutch
companies, it was attempted to determine the factors that influence the effective tax rate, using
variables that incorporates characteristics of firms and the variables control. Study results
confirmed that the Dutch corporate tax system provides significant amounts of tax deductions to
companies, yet it is fair and neutral, the average effective tax rate is not related to company
characteristics.
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Janssen B. (2005) investigates the actual size of the Dutch tax incentives to companies
using data from the financial statements of 1592 companies in the period 1994-1999. The paper
tries to find solutions to two problems, namely the impact of tax incentives provided by the
Dutch government on corporate tax burdens, and the importance of the impact of certain types of
companies.
The author uses the effective tax rate in the analysis, as the ratio of tax and accounting
profit before tax as the dependent variable and independent variables firm size, capital intensity,
the ratio of foreign sales in total sales, ROA and leverage.
Correlations between effective tax rate and the explanatory variables are mostly
insignificant, and when significant, are small (correlation with ROA is significant, but low, as
well as capital intensity). The results indicate that the Dutch tax system provides few tax
incentives for companies, the differences between statutory rates and effective tax rates are
relatively low.
Also R. Lanis and Richardson G (2007) study the determinants of effective tax rate
variability at micro level, concerning on tax reform in Australia.
The database is the panel that contains financial information for the period 1997 - 2003
for 92 companies. Year 2000 is the year of tax reform which is considered transitional year as
research studies in the field and has been removed from the database.
The econometric model presented in this paper is:
After running the two regressions based on the method of calculation of the effective tax
rate was achieved a degree of determination of 13% for ETR model (1) and 19% for ETR model
(2), both models are validated statistically.
In both econometric models, there was a significant negative correlation with SIZE, LEV,
CINT, RDINT, TREF, TREF * INVINT, TREF * ROA and a significant positive correlation
with INVINT and TREF * LEV.
The study attempted to observe the variability of factors influencing effective tax rate, an
important factor is firm size, which is a negative correlation. Also, negative association has been
observed between ETR and leverage, research and development expenditures intensity. After tax
reform in Australia, it was observed that the ETR continues to be influenced by firm size, capital
and assets structure.
K. Crabbe et. all (2010) study the impact of costs related to the audit and tax advice on
the effective tax rate for large Belgian companies. More specifically, they want to analyze the
relationship mentioned above since it was implemented the corporate governance code in 2003.
The database is composed of Belgian firms' financial data for the period 1999-2007.
Study results indicate that tax advisory expenses does not affect ETR, instead it is influenced by
hiring a BIG4 in order to reduce it. Since the corporate governance code was implemented,
hiring auditors affects ETR rate lower than before its implementation. Influence auditors
expenditure on ETR is approximately 1%.
The econometric model is as follows:
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The final conclusions are:
companies that have a high intensity of capital, leverage and high costs of research and
development, also have a lower effective rate of taxation;
Tax advice variable is statistically insignificant in every regression model tried by the
authors. This shows that additional payments on tax advice do not reduce the effective
tax rate. In contrast, hiring Big4 auditor leads to a reduction in the effective tax rate by
approximately 1%.
Sebastian Lazar (2010) studies for non-financial companies listed on the Bucharest Stock
Exchange in the period 2000-2009 the correlation between actual and statutory taxation rate.
The database was developed using the financial statements of companies listed on the
Bucharest Stock Exchange. The author chose to use the consolidated data to capture specific
influences and determined the tax code contained in Romania. A problem in case studies using
data from Romania is the unavailability and unreliability of financial information, Mr. Lazar
calling Infin database covering over 60 of the non-financial firms listed on the stock exchange.
The case study begins with 2000 being when the Romanian firms have begun to report their
financial statements in accordance with International Standards of Accounting and Regulatory
Accounting Directives. Also, 2000 was the year of tax reform, the state's share of income tax fell
from 38% to 25%.
The effective tax rate is calculated using two major approaches: one based on the accounting
information and the other based on tax information. In this case, Romania, given the tax and
accounting, the author adopted the method of accounting information: ETR = CIT / PI * 100,
where CIT is tax, while PI is gross profit.
In the study, the author revealed the following:
The effective tax rate was below the legal level, with the exception of 2009, the
companies benefiting from tax deductions. In 2005, when the statutory rate fell from 25%
to 16%, there was a significant decrease in the effective tax rate to the pre-2005 as the tax
base has increased. The difference between actual and law rate may be correlated with
certain financial ratios (ROA, ROE, and NPM), showing a negative correlation of -0.636
between ROA and the gap between the rates at a significance level of 5%. The coefficient
of determination is 40%
After an analysis of the sector, to the constant in the trade sector benefiting from the best
tax regime with an effective tax rate of approximately 15%, while the energy sector is the
most heavily taxed, with the effective tax rate to about 31.4%.
Lee N. and C. Swenson (2012) investigate the common factors of influencing the tax base
effective tax enforcement, through an analysis of international tax regimes. In this paper, it
specifically examines the determinants of effective tax rate to 86 advertising companies
operating in the Member States of the European Union, being selected companies listed on the
stock exchange.
The period of analysis is 2005-2007 after, designating 2004 when companies were forced
standardized reporting of financial statements in accordance with IFRS. The database derived
from the Compustat Global requiring adjustments to the indicators that were expressed in the
currency of the country of origin of the company, they are converted into indices in relation to
total assets or turnover as appropriate.
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The effective tax rate is the ratio of current income tax expense and net income before tax,
both the method and the tax accounting.
The econometric model took into consideration is defined as: ∑ ∑
Conclusions are:
companies in countries with high statutory rate have a higher effective rate of tax, the
effective tax rate variation was explained 36% by 1% change in the statutory tax rate
STR;
variables LEV, PPE, INV, Rdinv are statistically significant, reducing the effective rate
of taxation;
Regression model is statistically significant on 1% level of relevancy.
Vintilă G. et al (2012b), in a globalized economy and the lack of stability of the input, it
generates a public issue of corporate involvement in social responsibility actions.
The purpose of this study is to investigate empirically whether how a corporation deals with
corporate social responsibility influence the level of aggressiveness of tax, on the example of
Romanian companies listed on Bucharest Stock Exchange.
Using financial information for the year 2010 for 40 Romanian corporations listed, it is
examined the association between corporate social responsibility and tax aggressiveness.
Hypothesis testing is that the companies who undertake more social responsibility activities are
less aggressive in terms of fiscal, while socially irresponsible firms have a higher tax
aggressiveness.
To investigate the correlation CSR - tax aggressiveness, as a measure of tax
aggressiveness is used effective tax rates and as a level of employment in responsibility activities
it is used the corporate social responsibility index determined on data from annual reports . The
effective tax rate was determined as the ratio of corporate tax and the gross result of company.
The model is:
Conclusions are:
based on probabilities, two (for a significance level of 5%) and three (for a significance
level of 10%) of the seven variables are statistically significant (TROUBLE, INVINT,
respectively GROWTH), while the other variables, with very high probability, are not
statistically significant;
it is noted that the empirical results of the regression analysis for Romanian companies
does not outstand the correlation between tax aggressiveness and corporate social
responsibility, critical probability associated to the independent variable is very high, the
coefficient is regarded as having, statistically speaking the value zero.
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Database
In this study, I selected a sample of 62 companies listed on the Bucharest Stock Exchange
for the period 1999-2011. Selection criteria for Romanian companies were consistent with the
methodology studies, excluding from the sample all firms belonging to the financial sector and
financial intermediation due to specific regulations.
The initial data was:
• Turnover;
• Long-term liabilities;
• Net Profit;
• Gross profit;
• Inventory;
• Total revenues;
• Total expenses;
• Fixed assets;
• Current assets;
• Number of employees;
• Cash;
• Equity;
• Capital.
For this study I calculated the followings indicators:
- ETR calculated in 2 methods: the first as ratio between Corporate Income Tax and Gross Profit
and the second as ratio between Corporate Income Tax and Turnover
- INVINT: inventory intensity represents the amount of inventory related to total assets. I chose
this indicator as a determining factor for the size of the effective tax rate, according to specialists
in the related articles.
- CINT: fixed asset intensity calculated as the ratio between fixed assets and total assets. I chose
this indicator to enter the study, since according to the literature is an important feature in
addressing factors influencing the ETR.
- ROA
- ROE
- Leverage
- Borrowing rate as the ratio between the difference of total assets and equity and total assets
- Corruption Perception Index
- Inflation Rate
- Fiscal year reform dummy variable named “Year”
- Size of the company as the natural logarithm of assets.
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Data analysis
Descriptive statistics
The descriptive statistics is presented below :
We can observe the maximum, minimum and medium values for our variables.
Regarding the normal distribution of the series, according to Jarque-Bera test, our series are not
normal distributed. Also, we can observe that for our data, there weren’t big deviation of the
values from their mean.
Correlation matrix
As can be seen, the coefficients of different variables are small, with few exceptions.
Inflation rate is negatively correlated strongly with the Corruption Perception Index and
positively correlated with ROA. ROA is negatively correlated strongly with the leverage ratio;
also there is a strong correlation between leverage and ROE and between INVINT and CINT.
Size of the company is positively correlated with the number of employees, the leverage ratio
and negatively correlated to the inflation rate.
IPC Inflatia ROA ROE LEVIER INVINT CINT SALARIATI RATA ÎND. SIZE
Mean 3.2308 0.1703 0.0399 0.0447 1.1226 0.1775 2.1463 1744.717 41.66954 17.87849
Median 3.1 0.0899 0.0336 0.062 0.5495 0.1559 1.8227 703.5 38.29 17.73687
Maximum 3.8 0.458 0.6265 10.7245 194.5925 3.178 10.737 81075 167.96 23.54171
Minimum 2.6 0.0484 -1.1668 -24.4835 -94.6573 0 1.0195 1 -0.33 13.47005
Std. Dev. 0.4198 0.1467 0.1106 1.2993 10.3564 0.1565 1.213 6651.331 25.0935 1.541986
Skewness 0.1338 1.0777 -1.3542 -8.627 10.8453 9.1496 3.1111 9.1091 0.955955 0.811736
Kurtosis 1.4402 2.57 23.1806 185.3851 229.7759 169.6999 16.0733 92.9621 4.607983 4.792807
Jarque-Bera 84.11697 162.2148 13923.4 1127124 1742902 944488.2 7039.973 282942.2 209.5938 195.7252
Probability 0 0 0 0 0 0 0 0 0 0
Sum 2604 137.2432 32.1823 36.0243 904.8044 143.0915 1729.949 1406242 33585.65 14356.43
Sum Sq. Dev. 141.8369 17.3334 9.8467 1358.992 86340.27 19.7092 1184.395 3.56E+10 506895.3 1906.931
Observations 806 806 806 806 806 806 806 806 806 806
Cross sections 62 62 62 62 62 62 62 62 62 62
CINT INFLATIA INVINT IPC LEVIER RATA ÎND. ROA ROE SALARIAȚI SIZE
CINT 1 -0.104 -0.4431 0.0821 -0.051 -0.3184 -0.165 -0.0269 0.0775 -0.024
INFLATIA -0.104 1 0.055 -0.4945 0.0162 0.0602 0.2023 0.0247 0.0766 -0.3586
INVINT -0.4431 0.055 1 -0.0463 0.0518 0.3091 -0.0671 -0.034 -0.0467 -0.0367
IPC 0.0821 -0.4945 -0.0463 1 -0.0263 -0.0418 -0.2165 -0.0142 -0.0606 0.1999
LEVIER -0.051 0.0162 0.0518 -0.0263 1 0.0945 -0.0363 -0.8593 -0.0074 -0.0397
RATA ÎND. -0.3184 0.0602 0.3091 -0.0418 0.0945 1 -0.3776 -0.043 0.0191 0.2792
ROA -0.165 0.2023 -0.0671 -0.2165 -0.0363 -0.3776 1 0.0855 -0.0244 -0.1078
ROE -0.0269 0.0247 -0.034 -0.0142 -0.8593 -0.043 0.0855 1 -0.0095 0.0215
SALARIAȚI 0.0775 0.0766 -0.0467 -0.0606 -0.0074 0.0191 -0.0244 -0.0095 1 0.4441
SIZE -0.024 -0.3586 -0.0367 0.1999 -0.0397 0.2792 -0.1078 0.0215 0.4441 1
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Evolution of the effective tax rates ETR1 and ETR2 in Romania
In Romania, the statutory tax rate was 38% in 2009, 25% in 2000-2004 and 16% from
2005 to the present.
At the aggregate level of the analyzed companies, the highest values of average effective
tax rates were recorded in 1999, the average effective tax rate ETR1 in value of 37.15%, while
ETR2 was worth 3.33 %. Also, during the period 1999-2005, ETR1 was lower than statutory,
followed in 2005-2006 to record values exceeding the statutory rate, returning to trend after 2007
initially. Regarding effective tax rate ETR2, we see recorded values below the statutory rate for
the full analysis. In table 1 in Appendix, we can both aggregate and sectorial evolution of ETRs.
The analysis by sector of activity during the period under review, we conclude that the
sectors most affected by the tax are: transport and storage, construction, while the least affected
sectors are tourism, energy. Also the economic crisis has affected all sectors of Romania, the
impact being found in poor financial situations resulting high effective tax rates.
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Econometrical analysis
The base model is as follows :
The results from Eviews are showed in the following table:
Regarding the first regression model, we can observe a positive and significant
correlation between ETR1 and inflation rate, leverage, ROE (for a significance level of 10%),
invetory intensity. The other variables are not significant econometric as probabilities for the test
Student are greater than the level of significance taking into account (5%). A negative correlation
is observed between ETR1 and borrowing rate.
The whole model is valid for a test Fisher probability is greater than 5% and the degree of
determination is 20.77% meaning that the effective tax rate variation ETR1 is explained in the
proportion of 20.77% by the variables included the model; the remaining variation is explained
by factors not included in the regression model.
The second regression model, with the dependent variable ETR2, has a better insight into
the influence factors. Variable coefficients IPC, inflation rate, ROE, ROA, leverage (for a
significance level of 10%) and inventory intensity are significant and have a positive correlation
with the dependent variable. The Year dummy variable has a negative and significant correlation
with the effective tax rate, meaning that when tax reform has been caught flat tax decrease in the
economic, effective tax rate decreased. The number of employees has a significant impact on the
dependent variable showing a significant negative correlation, an increase in the number of
employees involves a decrease in the effective tax rate.
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C 0.184836 0.104409 1.770301 0.0771 C -0.01989 0.006631 -2.99935 0.0028
IPC -0.008203 0.027602 -0.297178 0.7664 IPC 0.004326 0.001753 2.468311 0.0138
INFL 0.288385 0.079269 3.63807 0.0003 INFL 0.037703 0.005071 7.434737 0
YEAR -0.038152 0.028573 -1.335243 0.1822 YEAR -0.003865 0.001818 -2.125221 0.0339
ROA? 0.094725 0.12269 0.772069 0.4403 ROA? 0.066221 0.007794 8.496892 0
ROE? 0.028938 0.0157 1.843161 0.0657 ROE? 0.002466 0.000996 2.476273 0.0135
LEVIER? 0.004071 0.001949 2.088955 0.0371 LEVIER? 0.000238 0.000124 1.927787 0.0543
INVINT? 0.521589 0.081845 6.372906 0 INVINT? 0.08711 0.005192 16.77803 0
CINT? -0.000777 0.013555 -0.057334 0.9543 CINT? -0.001139 0.00086 -1.325146 0.1855
SALARIATI? -6.37E-07 3.75E-06 -0.169703 0.8653 SALARIATI? -5.36E-07 2.38E-07 -2.250229 0.0247
RATA_IND? -0.00263 0.000716 -3.673286 0.0003 RATA_IND? 3.81E-05 4.55E-05 0.83739 0.4026
R-squared 0.207714 0.19145 R-squared 0.554465 0.016644
Adjusted R-squared 0.131076 0.294452 Adjusted R-squared 0.511191 0.024903
S.E. of regression 0.274477 0.337185 S.E. of regression 0.017411 -5.178077
Sum squared resid 55.29773 0.756329 Sum squared resid 0.22159 -4.757702
Log likelihood -63.88562 0.498145 Log likelihood 2150.998 -5.016616
F-statistic 2.710333 2.062552 F-statistic 12.813 1.250418
Prob(F-statistic) 0 Prob(F-statistic) 0
Durbin-Watson stat Durbin-Watson stat
Akaike info criterion Akaike info criterion
Schwarz criterion Schwarz criterion
Hannan-Quinn criter. Hannan-Quinn criter.
Total pool (balanced) observations: 806 Total pool (unbalanced) observations: 803
Mean dependent var Mean dependent var
S.D. dependent var S.D. dependent var
Dependent Variable: ETR1? Dependent Variable: ETR2?
Method: Pooled Least Squares Method: Pooled Least Squares
Cross-sections included: 62 Cross-sections included: 62
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The whole regression model is valid with probability zero Fisher test and the variables
included in the analysis explaines 55.44% of variation of the dependent variable.
Using logarithmical data and introducing a new variabile (SIZE), the model becomes:
The results are shown in the following table:
Alternative regression model to the basic one, with the dependent variable the effective
tax rate Etra, statistically speaking, is valid; Fisher test probability is less than the significance
level considered. The determination is 60.22% which suggests that the variation of ETRa is
explained for 60.22% by the variables included in the model, the remaining variation is
explained by other factors omitted. Variable coefficients IPC, inflation rate, YEAR, ROAL,
ROEL, CINTL, RIND, LOG_SALARIATI and SIZE are significant in statistical terms. A
positive correlation was observed between the dependent variable and INFL, ROAL, SIZE and
RIND and negative correlation was found between the effective tax rate and IPC, YEAR, ROEL,
CINTL and LOG_SALARIATI.
Serial autocorrelation hypothesis on the data, the DW statistics for the two models ETRb
and Etra and are compared with tabulated DW for the 5% significance level, a sample of 667
observations and 11 coefficients. The table dU is 1.83997 and DL=1.90244, DW for regression
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C -0.962424 0.360702 -2.668197 0.0078 C -0.63808 0.270284 -2.360772 0.0186
IPC -0.010285 0.002739 -3.755082 0.0002 IPC -0.007278 0.002052 -3.546315 0.0004
INFL 0.101054 0.01176 8.592695 0 INFL 0.075317 0.008812 8.546647 0
YEAR -0.006005 0.002458 -2.443354 0.0148 YEAR -0.00517 0.001842 -2.807007 0.0052
ROAL? 2.605393 0.815092 3.196439 0.0015 ROAL? 1.847949 0.610772 3.025595 0.0026
ROEL? -1.64205 0.413125 -3.974706 0.0001 ROEL? -1.161511 0.309566 -3.75206 0.0002
LEVERAGE? -0.035257 0.043868 -0.803721 0.4219 LEVERAGE? -0.016859 0.032871 -0.512869 0.6082
INVINTL? -0.075851 0.070092 -1.082171 0.2796 INVINTL? -0.064533 0.052522 -1.228699 0.2197
CINTL? -0.367466 0.143166 -2.566712 0.0105 CINTL? -0.315731 0.107278 -2.943102 0.0034
RIND? 2.675767 0.702984 3.806297 0.0002 RIND? 1.857684 0.526766 3.526581 0.0005
LOG_SALARIATI? -0.004796 0.002157 -2.224093 0.0265 LOG_SALARIATI? -0.003493 0.001616 -2.161286 0.0311
SIZE? 0.013352 0.002456 5.436435 0 SIZE? 0.009447 0.00184 5.132854 0
R-squared 0.602221 0.023666 R-squared 0.575796 0.018882
Adjusted R-squared 0.554006 0.032754 Adjusted R-squared 0.524377 0.023766
S.E. of regression 0.021874 -4.704083 S.E. of regression 0.016391 -5.281238
Sum squared resid 0.284205 -4.211273 Sum squared resid 0.159579 -4.788429
Log likelihood 1641.812 -4.513159 Log likelihood 1834.293 -5.090314
F-statistic 12.49018 1.306202 F-statistic 11.19819 1.288366
Prob(F-statistic) 0 Prob(F-statistic) 0
Hannan-Quinn criter. Hannan-Quinn criter.
Durbin-Watson stat Durbin-Watson stat
S.D. dependent var S.D. dependent var
Akaike info criterion Akaike info criterion
Schwarz criterion Schwarz criterion
Included observations: 13 Included observations: 13
Cross-sections included: 62 Cross-sections included: 62
Mean dependent var Mean dependent var
Dependent Variable: ETRA? Dependent Variable: ETRB?
Method: Pooled Least Squares Method: Pooled Least Squares
Sample: 1999 2011 Sample: 1999 2011
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Etra has the value 1.30, and for ETRb is 1.28, both being within the range of values between 0
and dL, signifying the presence of serial autocorrelation of the residues in both regression
models.
Conclusions
In this paper I studied the determinants of effective tax rate. The period of analysis was
1999-2011; the database consisted of financial statements of companies listed on the Bucharest
Stock Exchange, companies which are classified into 11 sectors.
Aim of the study was to determine the effective tax rate, presenting professional articles
on national and international. Case studies focused on the issue of ETR concept approach include
the period 1997 to 2012, and could easily see the evolution of thought in the literature on
calculation of the effective tax rate and its determinants.
In the period under review, the following conclusions can be derived regarding the
evolution of effective tax rate:
• At the aggregate level of the analyzed companies, the highest values of average
effective tax rates were recorded in 1999, the average effective tax rate ETR1 in value of
37.15%, while ETR2 was worth 3, 33%. Also, during the period 1999-2005, ETR1 was lower
than statutory rate, followed in 2005-2006 to record values exceeding the statutory rate, returning
to initial trend after 2007. Regarding effective tax rate ETR2, we see recorded values below the
statutory rate for the full analysis.
• The analysis of the sector in the period under review, we conclude that the sectors most
affected by the tax are: transport and storage, construction, while the least affected sectors are
tourism, energy. Also, the economic crisis has affected all sectors of Romania, the impact being
in the poor financial statements resulting in a high effective tax rates.
For the econometric analysis, I proposed two types of regression models with dependent
variable as the effective tax rate calculated in the two ways mentioned in the above lines. The
first version of the model involving econometric analysis using data imported from Excel
directly, without applying the natural logarithm operations. As independent variables I chose as
significant macroeconomic variables (Corruption Perception Index, rate of inflation, and the
inclusion of a dummy variable to capture the impact of the type of tax reform in Romania) and
company-specific variables (ROA, ROE, leverage, number of employees, the rate of
indebtedness, inventory and capital intensity). Including these variables aimed to determine the
factors influencing, the choice being made in the other models presented in the literature. This
did not include influences conclusive unless ETR2 model.
In further study, I chose the realization of two models, this time I created a new series of
variables applying the natural logarithm operator. Also, in the model I included a new variable to
measure company size, SIZE, defined as the natural logarithm of turnover. There weren’t large
differences between the new models ETRb and Etra, influences of the variables having the same
meaning in both cases. Obtained differences can be explained by different methods of calculation
of the dependent variable.
Thus, I can deduce:
• The coefficients of IPC, INFL, YEAR, ROAL, ROEL, CINTL, RIND,
LOG_SALARIATI and SIZE are significant in statistical terms;
• Positive correlation was observed between the dependent variable and INFL, ROAL,
SIZE and RIND;
• Negative correlation was found between the effective tax rate and IPC, YEAR, ROEL,
CINT and LOG_SALARIATI.
12
The aim of this analysis is determinate the factors influencing the effective tax burden of
the economic agent. Based on the results, we can provide valuable information in order to
improve fiscal and financial management of a company.
Taking into account the conclusions, the company, in order to reduce the effective rate of
tax, may adjust its specific indicators by increasing or reducing. Also, depending on economic
conditions existing at a given time, and the characteristics of the industry and the interests of the
company, it can approach a mixed policy by reducing the effective tax rate while maintaining its
funding and financial policy, maximizing their performance and tracking the goals imposed by
financial management.
The analysis in this paper has certain limitations on the availability of financial data for
Romania. Another limitation of the study is the proposed estimation method (OLS - the method
of least squares) and non-availability to use of other methods due of computer program Eviews.
Method of data approach in EViews is data-pool type, which have characteristics and hence
statistical tests are lower compared to a simple regression. Also a factor is the failure of all OLS
assumptions.
13
References
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Netherlands Economic Review, Nr 1;
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Effective Tax Rates (ETRs): Evidence for the Netherlands”, MARC Working Paper
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Programul de Master Specializat Managementul Sistemelor Bancare, ASE Bucureşti;
4. Crabbé Karen, Lessius, K.U.Leuven, 2010, „The impact of the auditor and tax advice on
the effective tax rate” ,Katholieke Universiteit Leuven , Belgia;
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effective tax rates: Evidence from longitudinal data”, Journal of Accounting and Public
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ROMANIA: A MICROBACKWARD LOOKING APPROACH”, University “Al. I.
Cuza” of Iasi, Romania;
9. Lanis Roman, Richardson Grant, 2007, „Determinants of the variability in corporate
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Barbara;
13. Spircu Liliana, 2012, „Econometrie aplicată în finanțe”, note de curs, Academia de Studii
Economice București, Facultatea de Finante, Asigurări, Bănci și Burse de Valori
București, Master Finanțe Corporative;
14. Radu Stroe, Dan Armeanu, 2004, „Finante”, Editura ASE, Biblioteca digitala ASE;
15. Ristea Mihai, Dumitru Corina-Graziella, 2005, „Contabilitate financiara”, ed.
Universitara, Biblioteca Digitala ASE;
16. Vintilă Georgeta, 2012a, „Mangementul fiscal al întreprinderii”, Academia de Studii
Economice : Facultatea de Finanțe, Asigurări, Bănci și Burse de Valori : Maste –
Management financiar și Bursier, Bucureşti;
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14
18. International Accounting Standard 12 : Income Taxes;
19. http://ro.wikipedia.org/wiki/Construc%C8%9Biile_%C3%AEn_Rom%C3%A2nia;
20. www.firme.info;
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15
Appendix
Tabel 1 : Evolution of EATR1 și EATR2 in Romania
Anul Sector de activitate EATR1 EATR2 Cota de impozit legală
1999 Total 0.371564639 0.03382885 0.38
1999 Comert 0.376256255 0.048521033 0.38
1999 Constructii 0.50257252 0.020549792 0.38
1999 Farmaceutic 0.415719905 0.043269233 0.38
1999 Industrie prelucrătoare 0.396177138 0.03515129 0.38
1999 Mase plastice 0.448582745 0.037399453 0.38
1999 Masini și utilaje 0.248055307 0.035497407 0.38
1999 Metalurgie 0.142801301 0.024491061 0.38
1999 Produse alimentare 0.326012171 0.03104884 0.38
1999 Produse chimice 0.350277581 0.038678879 0.38
1999 Resurse energetice 0.386073923 0.012460481 0.38
1999 Transport și depozitare 0.548857106 0.08531832 0.38
1999 Turism 0.123067068 0.009769081 0.38
2000 Total 0.225698505 0.025132004 0.25
2000 Comert 0.172171838 0.077658238 0.25
2000 Constructii 0.353233935 0.016522248 0.25
2000 Farmaceutic 0.173340765 0.040238647 0.25
2000 Industrie prelucrătoare 0.201143427 0.017212842 0.25
2000 Mase plastice 0.25928129 0.022595931 0.25
2000 Masini și utilaje 0.289228823 0.028788766 0.25
2000 Metalurgie 0.038796402 0.008629272 0.25
2000 Produse alimentare 0.199679371 0.025220631 0.25
2000 Produse chimice 0.180172247 0.023999801 0.25
2000 Resurse energetice 0.356117497 0.02099365 0.25
2000 Transport și depozitare 0.200182317 0.044629284 0.25
2000 Turism 0.116263252 0.005296344 0.25
2001 Total 0.164378233 0.020879248 0.25
2001 Comert 0.153145127 0.044882189 0.25
2001 Constructii 0.201400941 0.013271938 0.25
2001 Farmaceutic 0.203698741 0.037747195 0.25
2001 Industrie prelucrătoare 0.1131683 0.017686376 0.25
2001 Mase plastice 0.203784845 0.017741815 0.25
2001 Masini și utilaje 0.275088615 0.025279178 0.25
2001 Metalurgie 0.040143052 0.007552618 0.25
2001 Produse alimentare 0.829009842 0.018109398 0.25
2001 Produse chimice 0.065926028 0.010630425 0.25
2001 Resurse energetice -0.179024552 0.020379144 0.25
2001 Transport și depozitare 0.159910339 0.039832956 0.25
2001 Turism 0.072484148 0.008562615 0.25
16
Anul Sector de activitate EATR1 EATR2 Cota de impozit legală
2002 Total 0.201671101 0.016402463 0.25
2002 Comert 0.166948078 0.018635126 0.25
2002 Constructii 0.330727604 0.016190301 0.25
2002 Farmaceutic 0.220940788 0.035571074 0.25
2002 Industrie prelucrătoare 0.189250544 0.015509171 0.25
2002 Mase plastice 0.16181321 0.021415979 0.25
2002 Masini și utilaje 0.334077813 0.011704964 0.25
2002 Metalurgie 0.057091807 0.005614399 0.25
2002 Produse alimentare 0.03057673 0.019493243 0.25
2002 Produse chimice 0.055239255 0.004631495 0.25
2002 Resurse energetice 0.188545678 0.016008011 0.25
2002 Transport și depozitare 0.3067505 0.032923972 0.25
2002 Turism 0.115778634 0.005666148 0.25
2003 Total 0.245676709 0.017492639 0.25
2003 Comert 0.267303348 0.02664694 0.25
2003 Constructii 0.332544818 0.016061594 0.25
2003 Farmaceutic 0.24713859 0.03889562 0.25
2003 Industrie prelucrătoare 0.228835238 0.017865132 0.25
2003 Mase plastice 0.16234288 0.01770955 0.25
2003 Masini și utilaje 0.385003641 0.012372082 0.25
2003 Metalurgie 0.051334459 0.007555916 0.25
2003 Produse alimentare 0.177659021 0.016132996 0.25
2003 Produse chimice 0.05305448 0.003551479 0.25
2003 Resurse energetice 0.359323299 0.010548787 0.25
2003 Transport și depozitare 0.256386337 0.038985665 0.25
2003 Turism 0.145702928 0.005509338 0.25
2004 Total 0.184511155 0.018411327 0.25
2004 Comert 0.283433179 0.025778014 0.25
2004 Constructii 0.204633637 0.019074852 0.25
2004 Farmaceutic 0.216195127 0.025622288 0.25
2004 Industrie prelucrătoare 0.252099686 0.020361213 0.25
2004 Mase plastice 0.224559588 0.023631221 0.25
2004 Masini și utilaje -0.065415914 0.011383387 0.25
2004 Metalurgie 0.126926196 0.011628674 0.25
2004 Produse alimentare 0.171200642 0.018529797 0.25
2004 Produse chimice 0.163457573 0.010209507 0.25
2004 Resurse energetice 0.139141848 0.010825722 0.25
2004 Transport și depozitare 0.287106478 0.028893696 0.25
2004 Turism 0.117724127 0.011190636 0.25
17
Anul Sector de activitate EATR1 EATR2 Cota de impozit legală
2005 Total 0.174577918 0.012339756 0.16
2005 Comert 0.22068537 0.02605024 0.16
2005 Constructii 0.169579958 0.012713388 0.16
2005 Farmaceutic 0.214244636 0.020998997 0.16
2005 Industrie prelucrătoare 0.215301755 0.010132571 0.16
2005 Mase plastice 0.157095508 0.017099715 0.16
2005 Masini și utilaje 0.160180008 0.005799707 0.16
2005 Metalurgie 0.252226133 0.013138934 0.16
2005 Produse alimentare 0.110690826 0.011198795 0.16
2005 Produse chimice -0.016998657 0.002455586 0.16
2005 Resurse energetice 0.118061558 0.014985449 0.16
2005 Transport și depozitare 0.160785067 0.009776212 0.16
2005 Turism 0.083449117 0.016725782 0.16
2006 Total 0.208582183 0.012250546 0.16
2006 Comert 0.183889978 0.014170631 0.16
2006 Constructii 0.191172402 0.013029604 0.16
2006 Farmaceutic 0.236496072 0.036569855 0.16
2006 Industrie prelucrătoare 0.335858779 0.009775577 0.16
2006 Mase plastice 0.159535231 0.014655989 0.16
2006 Masini și utilaje 0.148834853 0.007371736 0.16
2006 Metalurgie 0.058966957 0.01241572 0.16
2006 Produse alimentare 0.158163459 0.011278405 0.16
2006 Produse chimice 0 0 0.16
2006 Resurse energetice 0.093621391 0.014839272 0.16
2006 Transport și depozitare 0.25433065 0.008153078 0.16
2006 Turism 0.070090484 0.013768688 0.16
2007 Total 0.145589032 0.01168986 0.16
2007 Comert 0.119478439 0.027668425 0.16
2007 Constructii 0.156493654 0.015740111 0.16
2007 Farmaceutic 0.29937427 0.021381037 0.16
2007 Industrie prelucrătoare 0.17632059 0.007329099 0.16
2007 Mase plastice 0.031789405 0.004626942 0.16
2007 Masini și utilaje 0.13569113 0.006763315 0.16
2007 Metalurgie 0.054290674 0.013831685 0.16
2007 Produse alimentare 0.152209189 0.010473781 0.16
2007 Produse chimice 0.022275338 0.000859853 0.16
2007 Resurse energetice 0.114207736 0.018725928 0.16
2007 Transport și depozitare 0.195611634 0.015925782 0.16
2007 Turism 0.074827901 0.014167717 0.16
18
Anul Sector de activitate EATR1 EATR2 Cota de impozit legală
2008 Total 0.143717065 0.010011083 0.16
2008 Comert 0.122998815 0.014975942 0.16
2008 Constructii 0.198537989 0.014653195 0.16
2008 Farmaceutic 0.077390436 0.020485879 0.16
2008 Industrie prelucrătoare 0.157969245 0.006212338 0.16
2008 Mase plastice 0.035452524 0.004331279 0.16
2008 Masini și utilaje 0.155162623 0.005057297 0.16
2008 Metalurgie 0.080682152 0.012003016 0.16
2008 Produse alimentare 0.142884027 0.006292442 0.16
2008 Produse chimice 0.178319168 0.001637553 0.16
2008 Resurse energetice 0.135438998 0.021227391 0.16
2008 Transport și depozitare 0.230523384 0.014441901 0.16
2008 Turism 0.079397735 0.0150167 0.16
2009 Total 0.12049623 0.016668617 0.16
2009 Comert 0.128183069 0.017890406 0.16
2009 Constructii 0.23298991 0.008062309 0.16
2009 Farmaceutic -0.62740187 0.018935532 0.16
2009 Industrie prelucrătoare 0.141755496 0.006936476 0.16
2009 Mase plastice 0.011342143 0.000723178 0.16
2009 Masini și utilaje 0.312248482 0.066173084 0.16
2009 Metalurgie -0.005659868 0.002311122 0.16
2009 Produse alimentare 0.186707068 0.007189232 0.16
2009 Produse chimice 0.21849547 0.002567013 0.16
2009 Resurse energetice 0.136299563 0.018440107 0.16
2009 Transport și depozitare 0.370282482 0.017278249 0.16
2009 Turism 0.148722568 0.040542346 0.16
2010 Total 0.141404917 0.010459733 0.16
2010 Comert 0.135484175 0.013825232 0.16
2010 Constructii 0.091556019 0.009341663 0.16
2010 Farmaceutic 0.245340609 0.028829883 0.16
2010 Industrie prelucrătoare 0.166509512 0.007441717 0.16
2010 Mase plastice -0.008041531 0.000329606 0.16
2010 Masini și utilaje 0.104279769 0.004402647 0.16
2010 Metalurgie 0.056350335 0.006143727 0.16
2010 Produse alimentare -0.099093546 0.008099584 0.16
2010 Produse chimice 0.389815677 0.002828103 0.16
2010 Resurse energetice 0.122770758 0.019303061 0.16
2010 Transport și depozitare 0.340123353 0.021023057 0.16
2010 Turism 0.177171213 0.030688537 0.16
19
Anul Sector de activitate EATR1 EATR2 Cota de impozit legală
2011 Total 0.160988498 0.010002569 0.16
2011 Comert 0.143279766 0.01600841 0.16
2011 Constructii 0.245521906 0.004896683 0.16
2011 Farmaceutic 0.216781234 0.025085659 0.16
2011 Industrie prelucrătoare 0.167656571 0.007680964 0.16
2011 Mase plastice 0.008554851 0.000222514 0.16
2011 Masini și utilaje 0.13380167 0.005884278 0.16
2011 Metalurgie 0.061712286 0.00771426 0.16
2011 Produse alimentare 0.249945355 0.008504265 0.16
2011 Produse chimice 0 0 0.16
2011 Resurse energetice 0.085779369 0.020211462 0.16
2011 Transport și depozitare 0.442722415 0.018447684 0.16
2011 Turism 0.171723319 0.029816337 0.16
20
Tabel 2 : Basic model ETR1
Dependent Variable: ETR1?
Method: Pooled Least Squares
Date: 06/01/13 Time: 19:31
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (balanced) observations: 806 Variable Coefficient Std. Error t-Statistic Prob. C 0.184836 0.104409 1.770301 0.0771
IPC -0.008203 0.027602 -0.297178 0.7664
INFL 0.288385 0.079269 3.638070 0.0003
YEAR -0.038152 0.028573 -1.335243 0.1822
ROA? 0.094725 0.122690 0.772069 0.4403
ROE? 0.028938 0.015700 1.843161 0.0657
LEVIER? 0.004071 0.001949 2.088955 0.0371
INVINT? 0.521589 0.081845 6.372906 0.0000
CINT? -0.000777 0.013555 -0.057334 0.9543
SALARIATI? -6.37E-07 3.75E-06 -0.169703 0.8653
RATA_IND? -0.002630 0.000716 -3.673286 0.0003
Fixed Effects (Cross)
_ARS--C -0.058257
_ALR--C -0.023466
_ALT--C -0.028456
_ALU--C -0.096381
_AMO--C -0.026235
_ATB--C 0.009076
_ARM--C -0.024694
_ARTE--C -0.088580
_BRM--C -0.033005
_BIO--C 0.056179
_SPCU--C -0.146185
_CAOR--C -0.056200
_CBC--C -0.103784
_BCM--C 0.028804
_CEON--C 0.141484
_CMCM--C 0.007050
_CMF--C -0.031532
_CMP--C 0.001277
_COMI--C 0.012730
_CNTE--C 0.181514
_CGC--C -0.058503
_DAFR--C 0.152785
_ELJ--C 0.049413
_ELGS--C -0.152553
_ECT--C 0.035018
_ELMA--C 0.084851
_EPT--C -0.054866
_ENP--C 0.006221
_RMAH--C 0.097830
_MECF--C -0.038526
_COS--C 0.313667
_MEF--C -0.168021
_MJM--C 0.003289
21
_OIL--C -0.102683
_OLT--C 0.048209
_PEI--C -0.035831
_SNP--C 0.207473
_PREH--C 0.106070
_PPL--C -0.104292
_RTRA--C -0.084779
_ROCE--C 0.010753
_RRC--C 0.006350
_PTR--C 0.089691
_RPH--C -0.083593
_SNO--C 0.039663
_COFI--C -0.058433
_STZ--C 0.019758
_SRT--C -0.208466
_SOCP--C -0.075963
_STIB--C 0.108094
_TRP--C 0.013214
_MPN--C 0.142112
_ART--C -0.050706
_COTR--C 0.024381
_TBM--C 0.018930
_TUFE--C -0.084360
_UAM--C -0.051408
_UZT--C 0.011341
_APC--C 0.302414
_VESY--C -0.191520
_VNC--C -0.010422
_SCD--C 0.002057 Effects Specification Cross-section fixed (dummy variables) R-squared 0.207714 Mean dependent var 0.191450
Adjusted R-squared 0.131076 S.D. dependent var 0.294452
S.E. of regression 0.274477 Akaike info criterion 0.337185
Sum squared resid 55.29773 Schwarz criterion 0.756329
Log likelihood -63.88562 Hannan-Quinn criter. 0.498145
F-statistic 2.710333 Durbin-Watson stat 2.062552
Prob(F-statistic) 0.000000
22
Tabelul 3 : Basic model ETR2
Dependent Variable: ETR2?
Method: Pooled Least Squares
Date: 06/01/13 Time: 19:44
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 803 Variable Coefficient Std. Error t-Statistic Prob. C -0.019890 0.006631 -2.999350 0.0028
IPC 0.004326 0.001753 2.468311 0.0138
INFL 0.037703 0.005071 7.434737 0.0000
YEAR -0.003865 0.001818 -2.125221 0.0339
ROA? 0.066221 0.007794 8.496892 0.0000
ROE? 0.002466 0.000996 2.476273 0.0135
LEVIER? 0.000238 0.000124 1.927787 0.0543
INVINT? 0.087110 0.005192 16.77803 0.0000
CINT? -0.001139 0.000860 -1.325146 0.1855
SALARIATI? -5.36E-07 2.38E-07 -2.250229 0.0247
RATA_IND? 3.81E-05 4.55E-05 0.837390 0.4026
Fixed Effects (Cross)
_ARS--C 0.002643
_ALR--C -0.008715
_ALT--C -0.012125
_ALU--C -0.009171
_AMO--C 0.001423
_ATB--C 7.69E-05
_ARM--C -0.002825
_ARTE--C -0.015967
_BRM--C -0.017980
_BIO--C 0.011176
_SPCU--C 0.013116
_CAOR--C 0.035769
_CBC--C -0.006172
_BCM--C 0.050861
_CEON--C -0.002416
_CMCM--C 0.007808
_CMF--C -0.004133
_CMP--C 0.008582
_COMI--C -0.019888
_CNTE--C -0.001079
_CGC--C 0.014780
_DAFR--C -0.001842
_ELJ--C 0.004011
_ELGS--C -0.012320
_ECT--C 0.008656
_ELMA--C -0.006389
_EPT--C 0.005934
_ENP--C -0.028168
_RMAH--C 0.000747
_MECF--C 0.009224
_COS--C -0.015751
_MEF--C 0.000816
_MJM--C -0.012204
23
_OIL--C -0.009465
_OLT--C -0.000687
_PEI--C -0.009001
_SNP--C 0.014294
_PREH--C -0.005985
_PPL--C -0.007614
_RTRA--C -0.006877
_ROCE--C 0.003303
_RRC--C 0.021472
_PTR--C -0.012345
_RPH--C -0.012772
_SNO--C -0.014253
_COFI--C -0.007787
_STZ--C -0.008842
_SRT--C 0.027064
_SOCP--C -0.008333
_STIB--C 0.039482
_TRP--C 0.032692
_MPN--C -0.004951
_ART--C -0.007232
_COTR--C 0.002078
_TBM--C 0.008774
_TUFE--C -0.001418
_UAM--C -0.004972
_UZT--C 0.018884
_APC--C -0.014520
_VESY--C -0.013306
_VNC--C -0.013556
_SCD--C 0.000425 Effects Specification Cross-section fixed (dummy variables) R-squared 0.554465 Mean dependent var 0.016644
Adjusted R-squared 0.511191 S.D. dependent var 0.024903
S.E. of regression 0.017411 Akaike info criterion -5.178077
Sum squared resid 0.221590 Schwarz criterion -4.757702
Log likelihood 2150.998 Hannan-Quinn criter. -5.016616
F-statistic 12.81300 Durbin-Watson stat 1.250418
Prob(F-statistic) 0.000000
24
Tabel 4 : Redundant Fixed Effects Tests, basic model ETR1
Redundant Fixed Effects Tests
Pool: POOL01
Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 1.748149 (61,734) 0.0006
Cross-section Chi-square 109.334719 61 0.0001
Cross-section fixed effects test equation:
Dependent Variable: ETR1?
Method: Panel Least Squares
Date: 06/01/13 Time: 20:02
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (balanced) observations: 806 Variable Coefficient Std. Error t-Statistic Prob. C 0.184871 0.101817 1.815718 0.0698
IPC -0.005946 0.028094 -0.211636 0.8324
INFL 0.287109 0.080257 3.577379 0.0004
YEAR -0.037552 0.029343 -1.279745 0.2010
ROA? 0.110437 0.105700 1.044815 0.2964
ROE? 0.033529 0.015327 2.187584 0.0290
LEVIER? 0.003991 0.001923 2.075146 0.0383
INVINT? 0.442177 0.069585 6.354473 0.0000
CINT? -0.009898 0.009415 -1.051233 0.2935
SALARIATI? 8.34E-07 1.51E-06 0.552560 0.5807
RATA_IND? -0.002074 0.000482 -4.306230 0.0000 R-squared 0.092610 Mean dependent var 0.191450
Adjusted R-squared 0.081196 S.D. dependent var 0.294452
S.E. of regression 0.282245 Akaike info criterion 0.321471
Sum squared resid 63.33150 Schwarz criterion 0.385507
Log likelihood -118.5530 Hannan-Quinn criter. 0.346062
F-statistic 8.113879 Durbin-Watson stat 1.815847
Prob(F-statistic) 0.000000
25
Tabel 5 : Redundant Fixed Effects Tests, basic model ETR2
Redundant Fixed Effects Tests
Pool: POOL01
Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 5.896318 (61,731) 0.0000
Cross-section Chi-square 321.311601 61 0.0000
Cross-section fixed effects test equation:
Dependent Variable: ETR2?
Method: Panel Least Squares
Date: 06/01/13 Time: 20:01
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 803 Variable Coefficient Std. Error t-Statistic Prob. C -0.008873 0.007379 -1.202430 0.2296
IPC 0.004685 0.002036 2.301169 0.0216
INFL 0.037329 0.005853 6.377907 0.0000
YEAR -0.004317 0.002131 -2.025889 0.0431
ROA? 0.079731 0.007680 10.38192 0.0000
ROE? 0.002849 0.001110 2.567559 0.0104
LEVIER? 0.000289 0.000139 2.072183 0.0386
INVINT? 0.060940 0.005041 12.08805 0.0000
CINT? -0.001401 0.000682 -2.055750 0.0401
SALARIATI? 1.02E-07 1.09E-07 0.935607 0.3498
RATA_IND? -0.000166 3.51E-05 -4.742301 0.0000 R-squared 0.335247 Mean dependent var 0.016644
Adjusted R-squared 0.326854 S.D. dependent var 0.024903
S.E. of regression 0.020432 Akaike info criterion -4.929868
Sum squared resid 0.330619 Schwarz criterion -4.865644
Log likelihood 1990.342 Hannan-Quinn criter. -4.905201
F-statistic 39.94203 Durbin-Watson stat 1.057540
Prob(F-statistic) 0.000000
26
Tabel 6 : Wald test results, basic model ETR1
Wald Test:
Pool: POOL01 Test Statistic Value df Probability t-statistic 0.564974 734 0.5723
F-statistic 0.319196 (1, 734) 0.5723
Chi-square 0.319196 1 0.5721
Null Hypothesis: -1 + C(1) + C(2) + C(3) + C(4) + C(5) + C(6)
+ C(7) + C(8) + C(9) + C(10) =0
Null Hypothesis Summary: Normalized Restriction (= 0) Value Std. Err. -1 + C(1) + C(2) + C(3) + C(4) +
C(5) + C(6) + C(7) + C(8) + C(9) + C(10) 0.075411 0.133477
Restrictions are linear in coefficients.
Tabel 7 : Wald test results, basic model ETR2
Wald Test:
Pool: POOL01 Test Statistic Value df Probability t-statistic -97.63390 731 0.0000
F-statistic 9532.379 (1, 731) 0.0000
Chi-square 9532.379 1 0.0000
Null Hypothesis: -1 + C(1) + C(2) + C(3) + C(4) + C(5) + C(6)
+ C(7) + C(8) + C(9) + C(10)=0
Null Hypothesis Summary: Normalized Restriction (= 0) Value Std. Err. -1 + C(1) + C(2) + C(3) + C(4) +
C(5) + C(6) + C(7) + C(8) + C(9) + C(10) -0.826831 0.008469
Restrictions are linear in coefficients.
27
Tabel 8 : Model ETRa
Dependent Variable: ETRA?
Method: Pooled Least Squares
Date: 06/01/13 Time: 20:18
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 667 Variable Coefficient Std. Error t-Statistic Prob. C -0.962424 0.360702 -2.668197 0.0078
IPC -0.010285 0.002739 -3.755082 0.0002
INFL 0.101054 0.011760 8.592695 0.0000
YEAR -0.006005 0.002458 -2.443354 0.0148
ROAL? 2.605393 0.815092 3.196439 0.0015
ROEL? -1.642050 0.413125 -3.974706 0.0001
LEVERAGE? -0.035257 0.043868 -0.803721 0.4219
INVINTL? -0.075851 0.070092 -1.082171 0.2796
CINTL? -0.367466 0.143166 -2.566712 0.0105
RIND? 2.675767 0.702984 3.806297 0.0002
LOG_SALARIATI? -0.004796 0.002157 -2.224093 0.0265
SIZE? 0.013352 0.002456 5.436435 0.0000
Fixed Effects (Cross)
_ARS--C -0.019720
_ALR--C -0.020262
_ALT--C 0.008504
_ALU--C -0.031082
_AMO--C -0.001281
_ATB--C 0.007226
_ARM--C 0.002162
_ARTE--C -0.034265
_BRM--C -0.014168
_BIO--C -0.007994
_SPCU--C 0.005132
_CAOR--C 0.008647
_CBC--C 0.019240
_BCM--C 0.031581
_CEON--C 0.013760
_CMCM--C 0.022213
_CMF--C -0.004684
_CMP--C 0.007127
_COMI--C -0.007872
_CNTE--C -0.003302
_CGC--C 0.036691
_DAFR--C 0.002535
_ELJ--C -0.000464
_ELGS--C -0.053587
_ECT--C 0.014984
_ELMA--C -0.011462
_EPT--C 0.020159
_ENP--C 0.026075
_RMAH--C 0.000817
_MECF--C -0.007105
_COS--C 0.012116
_MEF--C 0.039685
28
_MJM--C 0.027089
_OIL--C 0.009289
_OLT--C -0.000359
_PEI--C -0.013385
_SNP--C 0.006491
_PREH--C -0.042950
_PPL--C -0.022785
_RTRA--C -0.002762
_ROCE--C -0.002737
_RRC--C 0.015130
_PTR--C -0.023474
_RPH--C -0.006783
_SNO--C -0.014053
_COFI--C -0.067886
_STZ--C 0.003027
_SRT--C -0.005847
_SOCP--C 0.004683
_STIB--C -0.038071
_TRP--C 0.006140
_MPN--C 0.005749
_ART--C -0.007225
_COTR--C -0.008760
_TBM--C 0.011852
_TUFE--C 0.004879
_UAM--C 0.007671
_UZT--C 0.009375
_APC--C -0.002767
_VESY--C 0.003762
_VNC--C -0.004497
_SCD--C -0.004414 Effects Specification Cross-section fixed (dummy variables) R-squared 0.602221 Mean dependent var 0.023666
Adjusted R-squared 0.554006 S.D. dependent var 0.032754
S.E. of regression 0.021874 Akaike info criterion -4.704083
Sum squared resid 0.284205 Schwarz criterion -4.211273
Log likelihood 1641.812 Hannan-Quinn criter. -4.513159
F-statistic 12.49018 Durbin-Watson stat 1.306202
Prob(F-statistic) 0.000000
29
Tabel 9 : Model ETRb
Dependent Variable: ETRB?
Method: Pooled Least Squares
Date: 06/01/13 Time: 20:20
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 667 Variable Coefficient Std. Error t-Statistic Prob. C -0.638080 0.270284 -2.360772 0.0186
IPC -0.007278 0.002052 -3.546315 0.0004
INFL 0.075317 0.008812 8.546647 0.0000
YEAR -0.005170 0.001842 -2.807007 0.0052
ROAL? 1.847949 0.610772 3.025595 0.0026
ROEL? -1.161511 0.309566 -3.752060 0.0002
LEVERAGE? -0.016859 0.032871 -0.512869 0.6082
INVINTL? -0.064533 0.052522 -1.228699 0.2197
CINTL? -0.315731 0.107278 -2.943102 0.0034
RIND? 1.857684 0.526766 3.526581 0.0005
LOG_SALARIATI? -0.003493 0.001616 -2.161286 0.0311
SIZE? 0.009447 0.001840 5.132854 0.0000
Fixed Effects (Cross)
_ARS--C -0.013777
_ALR--C -0.015339
_ALT--C 0.005057
_ALU--C -0.023404
_AMO--C -0.000946
_ATB--C 0.006699
_ARM--C 0.001289
_ARTE--C -0.024486
_BRM--C -0.010518
_BIO--C -0.005360
_SPCU--C 0.003655
_CAOR--C 0.006278
_CBC--C 0.014455
_BCM--C 0.024020
_CEON--C 0.012216
_CMCM--C 0.016665
_CMF--C -0.003415
_CMP--C 0.005340
_COMI--C -0.006316
_CNTE--C -0.001141
_CGC--C 0.025579
_DAFR--C 0.001892
_ELJ--C -0.000489
_ELGS--C -0.039704
_ECT--C 0.012314
_ELMA--C -0.008780
_EPT--C 0.016159
_ENP--C 0.016732
_RMAH--C 0.001161
_MECF--C -0.005054
_COS--C 0.002831
_MEF--C 0.037559
30
_MJM--C 0.021002
_OIL--C 0.007128
_OLT--C 0.000550
_PEI--C -0.009980
_SNP--C 0.006362
_PREH--C -0.030782
_PPL--C -0.017650
_RTRA--C -0.002681
_ROCE--C -0.001410
_RRC--C 0.012320
_PTR--C -0.018732
_RPH--C -0.005264
_SNO--C -0.011851
_COFI--C -0.049416
_STZ--C 0.001072
_SRT--C -0.003328
_SOCP--C 0.002812
_STIB--C -0.025365
_TRP--C 0.004900
_MPN--C 0.003280
_ART--C -0.006262
_COTR--C -0.005737
_TBM--C 0.008727
_TUFE--C 0.004318
_UAM--C 0.005131
_UZT--C 0.007159
_APC--C -0.002272
_VESY--C 0.003624
_VNC--C -0.003954
_SCD--C -0.003623 Effects Specification Cross-section fixed (dummy variables) R-squared 0.575796 Mean dependent var 0.018882
Adjusted R-squared 0.524377 S.D. dependent var 0.023766
S.E. of regression 0.016391 Akaike info criterion -5.281238
Sum squared resid 0.159579 Schwarz criterion -4.788429
Log likelihood 1834.293 Hannan-Quinn criter. -5.090314
F-statistic 11.19819 Durbin-Watson stat 1.288366
Prob(F-statistic) 0.000000
31
Tabel 10 : Redundant Fixed Effects Tests, model ETRa
Redundant Fixed Effects Tests
Pool: POOL01
Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 2.891495 (61,594) 0.0000
Cross-section Chi-square 173.424092 61 0.0000
Cross-section fixed effects test equation:
Dependent Variable: ETRA?
Method: Panel Least Squares
Date: 06/01/13 Time: 20:51
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 667 Variable Coefficient Std. Error t-Statistic Prob. C -1.238618 0.334061 -3.707762 0.0002
IPC -0.005295 0.002715 -1.950523 0.0515
INFL 0.060150 0.008881 6.772685 0.0000
YEAR -0.005509 0.002638 -2.088788 0.0371
ROAL? 3.688711 0.750712 4.913617 0.0000
ROEL? -2.137768 0.380751 -5.614608 0.0000
LEVERAGE? -0.028558 0.039896 -0.715804 0.4744
INVINTL? -0.062723 0.045361 -1.382771 0.1672
CINTL? -0.339943 0.105599 -3.219176 0.0013
RIND? 3.440878 0.649740 5.295780 0.0000
LOG_SALARIATI? -0.001617 0.001287 -1.256932 0.2092
SIZE? 0.002038 0.001210 1.685174 0.0924 R-squared 0.484106 Mean dependent var 0.023666
Adjusted R-squared 0.475442 S.D. dependent var 0.032754
S.E. of regression 0.023722 Akaike info criterion -4.626985
Sum squared resid 0.368596 Schwarz criterion -4.545975
Log likelihood 1555.099 Hannan-Quinn criter. -4.595600
F-statistic 55.87637 Durbin-Watson stat 1.037274
Prob(F-statistic) 0.000000
32
Tabel 11 : Redundant Fixed Effects Tests, model ETRb
Redundant Fixed Effects Tests
Pool: POOL01
Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 2.993925 (61,594) 0.0000
Cross-section Chi-square 178.812039 61 0.0000
Cross-section fixed effects test equation:
Dependent Variable: ETRB?
Method: Panel Least Squares
Date: 06/01/13 Time: 20:53
Sample: 1999 2011
Included observations: 13
Cross-sections included: 62
Total pool (unbalanced) observations: 667 Variable Coefficient Std. Error t-Statistic Prob. C -0.814402 0.251334 -3.240311 0.0013
IPC -0.003795 0.002042 -1.858271 0.0636
INFL 0.047350 0.006682 7.086345 0.0000
YEAR -0.004832 0.001984 -2.435077 0.0152
ROAL? 2.533010 0.564807 4.484738 0.0000
ROEL? -1.467515 0.286462 -5.122888 0.0000
LEVERAGE? -0.016834 0.030016 -0.560811 0.5751
INVINTL? -0.054167 0.034128 -1.587177 0.1130
CINTL? -0.267172 0.079449 -3.362818 0.0008
RIND? 2.330103 0.488839 4.766607 0.0000
LOG_SALARIATI? -0.001141 0.000968 -1.178425 0.2391
SIZE? 0.001481 0.000910 1.627056 0.1042 R-squared 0.445372 Mean dependent var 0.018882
Adjusted R-squared 0.436057 S.D. dependent var 0.023766
S.E. of regression 0.017848 Akaike info criterion -5.196062
Sum squared resid 0.208643 Schwarz criterion -5.115052
Log likelihood 1744.887 Hannan-Quinn criter. -5.164678
F-statistic 47.81553 Durbin-Watson stat 1.015299
Prob(F-statistic) 0.000000
33
Tabel 12 : Wald test results, basic model ETRa
Wald Test:
Pool: POOL01 Test Statistic Value df Probability t-statistic 1.658132 594 0.0978
F-statistic 2.749400 (1, 594) 0.0978
Chi-square 2.749400 1 0.0973
Null Hypothesis: -1 + C(1) + C(2) + C(3) + C(4) + C(5) + C(6)
+ C(7) + C(8) + C(9) + C(10)+C(11)=0
Null Hypothesis Summary: Normalized Restriction (= 0) Value Std. Err. -1 + C(1) + C(2) + C(3) + C(4) +
C(5) + C(6) + C(7) + C(8) + C(9) + C(10) + C(11) 1.278078 0.770794
Restrictions are linear in coefficients.
Tabel 13 : Wald test results, basic model ETRb
Wald Test:
Pool: POOL01 Test Statistic Value df Probability t-statistic 0.983926 594 0.3256
F-statistic 0.968110 (1, 594) 0.3256
Chi-square 0.968110 1 0.3252
Null Hypothesis: -1 + C(1) + C(2) + C(3) + C(4) + C(5) + C(6)
+ C(7) + C(8) + C(9) + C(10)+C(11)=0
Null Hypothesis Summary: Normalized Restriction (= 0) Value Std. Err. -1 + C(1) + C(2) + C(3) + C(4) +
C(5) + C(6) + C(7) + C(8) + C(9) + C(10) + C(11) 0.568294 0.577578
Restrictions are linear in coefficients.