Intertemporal consumption choices, transaction costs and limited participation to financial markets: reconciling data and theory
This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implicatio...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2006
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
12412 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets. |
| Beschreibung: | Literaturverz. S. 18 - 19 |
| Beschreibung: | 22, [2] S. 22 cm |
Internformat
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| 245 | 1 | 0 | |a Intertemporal consumption choices, transaction costs and limited participation to financial markets |b reconciling data and theory |c Orazio P. Attanasio ; Monica Paiella |
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| 520 | |a This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets. | ||
| 700 | 1 | |a Paiella, Monica |e Verfasser |0 (DE-588)132335085 |4 aut | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-02T22:41:30Z |
| indexdate | 2024-07-09T21:25:12Z |
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| language | English |
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| spelling | Attanasio, Orazio P. 1959- Verfasser (DE-588)129180084 aut Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory Orazio P. Attanasio ; Monica Paiella Cambridge, Mass. National Bureau of Economic Research 2006 22, [2] S. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12412 Literaturverz. S. 18 - 19 This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets. Paiella, Monica Verfasser (DE-588)132335085 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12412 (DE-604)BV002801238 12412 http://papers.nber.org/papers/w12412.pdf kostenfrei Volltext |
| spellingShingle | Attanasio, Orazio P. 1959- Paiella, Monica Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory |
| title | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory |
| title_auth | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory |
| title_exact_search | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory |
| title_exact_search_txtP | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory |
| title_full | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory Orazio P. Attanasio ; Monica Paiella |
| title_fullStr | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory Orazio P. Attanasio ; Monica Paiella |
| title_full_unstemmed | Intertemporal consumption choices, transaction costs and limited participation to financial markets reconciling data and theory Orazio P. Attanasio ; Monica Paiella |
| title_short | Intertemporal consumption choices, transaction costs and limited participation to financial markets |
| title_sort | intertemporal consumption choices transaction costs and limited participation to financial markets reconciling data and theory |
| title_sub | reconciling data and theory |
| url | http://papers.nber.org/papers/w12412.pdf |
| volume_link | (DE-604)BV002801238 |
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