The external shocks’ effect on tax burden in Turkey is investigated in this study. First, the tax burden concept is explained by conducting empirical literature and responses to tax burden is discussed in the frame of some revolts. In the empirical part of this study, the external shocks’ effects on tax burden in Turkey are investigated via unit root tests. First, the stationarity of series is tested by unit root tests which are not considering linearity. The obtained results are showing that series are containing unit root. Later, the linearity of series is researched and the unit root tests which are developed for nonlinear series and taking into account linearity are applied to series since our series are not linear. Similarly, KSS unit root test as one of unit root tests for nonlinear series is showing that series are still having unit root. Since series have unit root, it can be interpreted that external shocks’ effects are not temporary and sustainable. Therefore, it is concluded form the results that the intervention for tax burden will be effective and implemented policies will be permanent.