Fitting parsimonious household-portfolio models to data
- 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.
Author: | Sylwia Hubar, Christos Koulovatianos, Jian Li |
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URN: | urn:nbn:de:hebis:30:3-343710 |
URL: | http://ssrn.com/abstract=2523360 |
DOI: | https://doi.org/10.2139/ssrn.2523360 |
Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 489 |
Series (Serial Number): | CFS working paper series (489) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2014 |
Year of first Publication: | 2014 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2014/11/25 |
Tag: | Epstein-Zin-Weil recursive preferences; business equity; household-portfolio shares; subsistence consumption; wealth inequality |
Issue: | November 11, 2014 |
Page Number: | 101 |
HeBIS-PPN: | 351114211 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |