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Habit formation and persistence in individual asset portfolio holdings : the case of Italy /
This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a particularly im...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, African Dept.,
2006.
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| Colección: | IMF working paper ;
WP/06/29. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a particularly important feature of household portfolio behavior: the infrequency of portfolio allocation changes. I find evidence of strong unobserved heterogeneity through time-varying error components, which I interpret as taste persistence in both the risky and safe asset participation decisions. I estimate the model using the method of maximum smoothly simulated likelihood. |
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| Descripción Física: | 1 online resource (42 pages) : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1283516608 9781283516600 1451908253 9781451908251 |
| ISSN: | 2227-8885 ; |