Faced with a new Colorado law aimed at getting out-of-state online retailers to collect sales tax, Amazon.com Inc. cut its ties with online affiliates in the state. Other states are considering similar moves to raise additional sales tax revenue and help fill gaping budget holes. To help explain what's happening and what's at stake, CNBC's "Closing Bell" turned to KPMG's Ann Holley.

In the interview, Holley, a partner with Washington National Tax's State and Local Tax group, talked about moves taken or being contemplated by several states - including New York, California, North Carolina, and Rhode Island - to raise additional tax revenue from online shopping.

She also talked about how much money states might be able to raise through such actions, whether the additional tax revenue might help close their budget shortfalls, the risks of pursuing such a strategy, and what the future may hold in this brewing battle between certain states and online retailers.

Click here to see a replay of the CNBC interview with Ann Holley.