| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP43
|
| DP43 Wealth and Portfolio Composition: Theory and Evidence |
| Mervyn King
|
| 发表日期 | 1985
|
| 出版年 | 1985
|
| 语种 | 英语
|
| 摘要 | In this paper, we examine a new survey of 6,010 United States households and estimate a model for the allocation of total net worth among different assets. The paper has three main aims. The first is to investigate the extent to which a conventional portfolio choice model can explain the differences in portfolio composition among households. Our survey data show that most households hold only a subset of the available assets. Hence we analyze a model in which investors choose to hold incomplete portfolios. We show that the empirical specification of the joint discrete and continuous choice that characterizes household portfolio behaviour is a switching regressions model with endogenous switching. The second aim is to examine the impact of taxes on portfolio composition. The survey contains a great deal of information on taxable incomes and deductions which enable us to calculate rather precisely the marginal tax rate facing each household. The third aim is to estimate wealth elasticities of demand for a range of assets and liabilities. We test the frequently made assumption of constant relative risk aversion. |
| 关键词 | Continuous choice models
Discrete choice models
Portfolio behaviour
Saving
Wealth
|
| URL | https://cepr.org/publications/dp43
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529199
|
推荐引用方式
GB/T 7714 |
Mervyn King. DP43 Wealth and Portfolio Composition: Theory and Evidence. 1985.
|
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