Fitting parsimonious household- portfolio models to data

Arbeitspapier

US data and new stockholding data from fifteen European countries and China exhibit a common pattern: stockholding shares increase in household income and wealth. Yet, there is a multitude of numbers to match through models. Using a single utility function across households (parsimony), we suggest a strategy for fitting stockholding numbers, while replicating that saving rates increase in wealth, too. The key is introducing subsistence consumption to an Epstein-Zin-Weil utility function, creating endogenous risk-aversion differences across rich and poor. A closed-form solution for the model with insurable labor-income risk serves as calibration guide for numerical simulations with uninsurable labor-income risk.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFS Working Paper Series ; No. 489

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡ ; Criteria for Decision-Making under Risk and Uncertainty ; Household Saving; Personal Finance ; Consumer Economics: Theory ; Macroeconomics: Consumption; Saving; Wealth
• Thema: Epstein-Zin-Weil recursive preferences ; subsistence consumption ; household-portfolio shares ; business equity ; wealth inequality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hubar, Sylwia ; Koulovatianos, Christos ; Li, Jian
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (wo): Frankfurt a. M.
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/103738
• URN: urn:nbn:de:hebis:30:3-343710
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ