Labor income dynamics at business-cycle frequencies: implications for portfolio choice
"A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S. d...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2004
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11010 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S. data, these papers obtain three results not found empirically for U.S. households: young agents choose a higher stock allocation than old agents; young agents choose a higher stock allocation when poor than when rich; and, young agents always hold some stock. This paper asks whether allowing the conditional joint distribution to depend on the business cycle can allow the model to generate equity holdings that better match those of U.S. households, while keeping the unconditional distribution the same as in the data. Calibrating the business-cycle variation in the first two moments of labor income growth to U.S. data leads to large reductions in stock holdings by young agents with low wealth-income ratios. The reductions are so large that young, poor agents now hold less stock than both young, rich agents and old agents, and also hold no stock a large fraction of the time. Our results suggest that the predictability of labor-income growth at a business-cycle frequency plays an important role in a young agent's decision-making about her portfolio's stock holding"--National Bureau of Economic Research web site. |
| Beschreibung: | 29, [25] S. graph. Darst. |
Internformat
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| indexdate | 2024-07-09T20:08:21Z |
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| language | English |
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| publishDate | 2004 |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
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| spelling | Lynch, Anthony W. Verfasser (DE-588)12970959X aut Labor income dynamics at business-cycle frequencies implications for portfolio choice Anthony W. Lynch ; Sinan Tan Cambridge, Mass. National Bureau of Economic Research 2004 29, [25] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11010 "A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S. data, these papers obtain three results not found empirically for U.S. households: young agents choose a higher stock allocation than old agents; young agents choose a higher stock allocation when poor than when rich; and, young agents always hold some stock. This paper asks whether allowing the conditional joint distribution to depend on the business cycle can allow the model to generate equity holdings that better match those of U.S. households, while keeping the unconditional distribution the same as in the data. Calibrating the business-cycle variation in the first two moments of labor income growth to U.S. data leads to large reductions in stock holdings by young agents with low wealth-income ratios. The reductions are so large that young, poor agents now hold less stock than both young, rich agents and old agents, and also hold no stock a large fraction of the time. Our results suggest that the predictability of labor-income growth at a business-cycle frequency plays an important role in a young agent's decision-making about her portfolio's stock holding"--National Bureau of Economic Research web site. Ökonometrisches Modell Finance, Personal United States Econometric models Portfolio management United States Econometric models USA Tan, Sinan Verfasser (DE-588)129709603 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11010 (DE-604)BV002801238 11010 http://papers.nber.org/papers/w11010.pdf kostenfrei Volltext |
| spellingShingle | Lynch, Anthony W. Tan, Sinan Labor income dynamics at business-cycle frequencies implications for portfolio choice National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Finance, Personal United States Econometric models Portfolio management United States Econometric models |
| title | Labor income dynamics at business-cycle frequencies implications for portfolio choice |
| title_auth | Labor income dynamics at business-cycle frequencies implications for portfolio choice |
| title_exact_search | Labor income dynamics at business-cycle frequencies implications for portfolio choice |
| title_full | Labor income dynamics at business-cycle frequencies implications for portfolio choice Anthony W. Lynch ; Sinan Tan |
| title_fullStr | Labor income dynamics at business-cycle frequencies implications for portfolio choice Anthony W. Lynch ; Sinan Tan |
| title_full_unstemmed | Labor income dynamics at business-cycle frequencies implications for portfolio choice Anthony W. Lynch ; Sinan Tan |
| title_short | Labor income dynamics at business-cycle frequencies |
| title_sort | labor income dynamics at business cycle frequencies implications for portfolio choice |
| title_sub | implications for portfolio choice |
| topic | Ökonometrisches Modell Finance, Personal United States Econometric models Portfolio management United States Econometric models |
| topic_facet | Ökonometrisches Modell Finance, Personal United States Econometric models Portfolio management United States Econometric models USA |
| url | http://papers.nber.org/papers/w11010.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT lynchanthonyw laborincomedynamicsatbusinesscyclefrequenciesimplicationsforportfoliochoice AT tansinan laborincomedynamicsatbusinesscyclefrequenciesimplicationsforportfoliochoice |