| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3908 |
| DP3908 Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run | |
| Andreas Fischer; Ricarda Demarmels | |
| 发表日期 | 2003-04-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Motivated by the success of internal habit formation preferences in explaining asset-pricing puzzles, we introduce these preferences in a life-cycle model of consumption and portfolio choice with liquidity constraints, undiversifiable labour income risk and stock-market participation costs. In contrast to the initial motivation, we find that the model is not able to simultaneously match two very important stylized facts: a low stock market participation rate, and moderate equity holdings for those households that do invest in stocks. Habit formation increases wealth accumulation because the intertemporal consumption-smoothing motive is stronger. As a result, households start participating in the stock market very early in life, and invest their portfolios almost fully in stocks. Therefore, we conclude that, with respect to its ability to match the empirical evidence on asset allocation behaviour, the internal habit formation model is dominated by its time-separable utility counterpart. |
| 主题 | Financial Economics |
| 关键词 | Life-cycle asset allocation Habit formation Liquidity constraints Stock market participation costs Uninsurable labour income risk |
| URL | https://cepr.org/publications/dp3908 |
| 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/532865 |
| 推荐引用方式 GB/T 7714 | Andreas Fischer,Ricarda Demarmels. DP3908 Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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