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
收藏
页码：65 / 90
页数：26
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