Habit Formation and Persistence in Individual Asset Portfolio Holdings : : The Case of Italy / / Sònia Muñoz

• Record Nr.: UNINA9910788699103321
• Autore: Muñoz Sònia
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2006
• ISBN: 1-4623-7504-9; 1-4519-9441-9; 1-283-51660-8; 9786613829054; 1-4519-0825-3
• Descrizione fisica: 1 online resource (44 p.)
• Collana: IMF Working Papers
• Soggetti: Portfolio management - Italy - Econometric models; Asset allocation - Italy - Econometric models; Econometrics; Finance: General; Financial Risk Management; Investments: Bonds; Investments: Stocks; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Personal Income, Wealth, and Their Distributions; Portfolio Choice; Investment Decisions; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; General Financial Markets: General (includes Measurement and Data); International Financial Markets; Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Investment & securities; Finance; Econometrics & economic statistics; Stocks; Bonds; Asset allocation; Stock markets; Logit models; Financial institutions; Asset and liability management; Financial markets; Econometric analysis; Asset-liability management; Stock exchanges; Econometric models; United States
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: "January 2006."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""Contents""; ""I. Introduction""; ""II. Habit Formation in Household Portfolios""; ""III. The Model: Multiperiod Multinomial Probit with Autocorrelated Errors and Unobserved Heterogeneity""; ""IV. Empirical Results""; ""V. Conclusion""; ""Appendix: Data and Statistics""; ""References""
• Sommario/riassunto: 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.