You're technically correct. If we subscribe to a morality based on causal links of one's actions, then you'd partially responsible for the actions of your government, when paying any taxes to them. If they're involved in a war, so are you.

However, even in "peaceful" countries you'd have a hard time avoiding that, as most of them have some sort of mandatory pensions system, who in turn most likely fund arms production, which will then sometimes be sold to be used for war.