| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16957 |
| 来源ID | Working Paper 16957 |
| Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs | |
| Yosef Bonaparte; Russell Cooper; Guozhong Zhu | |
| 发表日期 | 2011-04-14 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper studies the dynamics of portfolio rebalancing and consumption smoothing in the presence of non-convex portfolio adjustment costs. The goal is to understand a household's response to income and return shocks. The model includes the choice of two assets: one riskless without adjustment costs and a second risky asset with adjustment costs. With these multiple assets, a household can buffer some income fluctuations through the asset without adjustment costs and engage in costly portfolio rebalancing less frequently. We estimate both preference parameters and portfolio adjustment costs. The estimates are used for evaluating consumption smoothing and portfolio adjustment in the face of income and return shocks. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16957 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574632 |
| 推荐引用方式 GB/T 7714 | Yosef Bonaparte,Russell Cooper,Guozhong Zhu. Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16957.pdf（288KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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