In Capital in the Twenty-First Century, Thomas Piketty writes:
In addition, there are serious lacunae in German tax records, owing in large part to the country's turbulent history in the twentieth century, so that it is difficult to be sure about certain developments or to make sharp comparisons with other countries. Prussia, Saxony, and most other German states imposed an income tax relatively early, between 1880 and 1890, but there were no national laws or tax records until after World War I. There were frequent breaks in the statistical record during the 1920s, and then the records for 1938 to 1950 are missing altogether, so it is impossible to study how the income distribution evolved during World War II and its immediate aftermath.
This distinguishes Germany from other countries deeply involved in the conflict, especially Japan and France, whose tax administrations continued to compile statistics during the war years without interruption, as if nothing were amiss.
I can understand the incomplete records from the mid-1940s on, with Germany being invaded, divided into occupation zones, the non-Russian parts being merged into Bizonia and Trizonia, etc.
However, it seems remarkable to me that records would be missing from 1938, when France (Vichy? Occupied? Both?) was able to continue to collect tax records throughout.
Was this a result of some sort of policy change by the Nazi government to cease publication of tax data? A change in tax laws which no longer lead to collection of said data? (E.g., a switch from income taxation to something like a VAT.)
So, by all indications, these records did exist at some point (at least up to 1945, 1945 to 1949 is something I'll discuss below):
The German Federal Archive contains the files of the Reich Finance Ministry and that in turn contain e.g. R 2/21073 "Survey of how the War Surcharge will effect persons paying income tax" from 1943 as well as in R 2/20446 ff. several volumes specifically dealing with the income tax. Descriptions of these items in the general listing are vague but it is a reasonable assumption that they deal with statistical data on income taxes in the Reich.
Plus, there still exist archival material from individual Finanzämter (like IRS field and state offices) that were charged with collecting taxation data and taxes from single districts or whole states, which is for example where we have the files of Jews who had to fill out declarations about their possessions before their deportation from.
While for the time in between 1945 and 1949 there existed no central German state and it was the federal states of Germany whom the Allies charged with implementing tax collection thus making a central and all encompassing income tax distribution difficult, for the time between 1938 and 1945 (and somewhat also possible for stuff from the 1920s), it is my strong suspicion that these records were destroyed in some form or the other during the war.
One problem historians of the Third Reich frequently encounter is that not only did the Nazis destroy sensitive files at the end of the war but also that e.g. Allied bombing attacks destroyed whole archives. The Army archive for example was hist twice by bombs, which is why Wehrmacht files have very sensitive gaps in them. For example in my research one of the major problems is that Regimental files from individual Wehrmacht divisions have almost all been destroyed during the fire following one of these Allied bombing hits. It's my strong suspicion that the same is likely true for the central tax collection and the Reich Finance Ministry, which was indeed bombed at least once.
So, while these files existed in Germany, they most likely have been destroyed by the war. That is also the reason why they still exist in France – being stored there, both from the occupied and unoccupied area, they simply were not burned down in the aftermath of Allied bombing.