Income volatility and portfolio choices

被引：9

作者：

Chang, Yongsung ^{[1
]}

Hong, Jay H. ^{[1
]}

Karabarbounis, Marios ^{[2
]}

Wang, Yicheng ^{[3
]}

Zhang, Tao ^{[4
]}

机构：

[1] Seoul Natl Univ, Seoul, South Korea

[2] FRB Richmond, Richmond, VA USA

[3] Peking Univ, HSBC Business Sch, Shenzhen 518055, Peoples R China

[4] Ragnar Frisch Ctr Econ Res, Oslo, Norway

来源：

REVIEW OF ECONOMIC DYNAMICS | 2022年 / 44卷

基金：

欧洲研究理事会;

关键词：

Income volatility; Portfolio choice; Risky share; PARTIAL INSURANCE; RISK; CONSUMPTION; VARIANCE; DYNAMICS;

D O I：

10.1016/j.red.2021.04.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Based on administrative data from Statistics Norway, we find economically significant shifts in households' financial portfolios around individual structural breaks in labor-income volatility. According to our estimates, when income risk doubles, households reduce their risky share of financial assets by 5 percentage points, thus tempering their overall risk exposure. We show that our estimated risky share response is consistent with a standard portfolio choice model augmented with idiosyncratic, time-varying income volatility. (c) 2021 Elsevier Inc. All rights reserved.

引用

页码：65 / 90

页数：26

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