Just clarifying, what was pointed out by Parst with a working example of a custom taxonomy registration code:
$labels = array(
'name' => _x( 'Issue numbers', 'taxonomy general name', 'sascha_setup_post_type' ),
'singular_name' => _x( 'Issue number', 'taxonomy singular name', 'sascha_setup_post_type' ),
'search_items' => __( 'Search issues', 'sascha_setup_post_type' ),
'all_items' => __( 'All issue numbers', 'sascha_setup_post_type' ),
'parent_item' => __( 'Year of publication', 'sascha_setup_post_type' ),
'parent_item_colon' => __( 'Year of publication:', 'sascha_setup_post_type' ),
'edit_item' => __( 'Edit issue number', 'sascha_setup_post_type' ),
'update_item' => __( 'Update issue number', 'sascha_setup_post_type' ),
'add_new_item' => __( 'Add new issue number', 'sascha_setup_post_type' ),
'new_item_name' => __( 'New issue number', 'sascha_setup_post_type' ),
'menu_name' => __( 'Issue numbers', 'sascha_setup_post_type' ),
);
$args = array(
'hierarchical' => true,
'labels' => $labels,
'show_ui' => true,
'show_admin_column' => true,
'query_var' => true,
'rewrite' => array( 'slug' => 'issues', 'hierarchical' => true ),
);
register_taxonomy( 'issue_number', array( 'post', 'issue' ), $args );
The result gives a url like www.yourdomain.com/issues/2016/04/ - just as you wanted it to be.
And! Don't forget to flush your permalink rules after implementing this, not to get 404 for your custom taxonomy urls. The easiest way - go to Admin / Permalinks and just hit the "save" button, without changing anything.