He’s lived in expensive California, low-cost Wisconsin and the capital of ’Taxachusetts.’ But Andy Shin said his tax bill wasn’t part of any of his decisions to move in the last six years. “Taxes were never a consideration,” Shin said. “I never thought about it.“

That’s put the Boston-based municipal-bond analyst at Mellon on one side of a debate raging in his corner of Wall Street over whether higher state taxes cause residents to move, creating financial problems for local governments. The issue, which has long been discussed in the $3.8 trillion municipal-bond market, was given new life by the...