05716oam 22013934 450 991078869910332120230828235745.01-4623-7504-91-4519-9441-91-283-51660-897866138290541-4519-0825-3(CKB)3360000000443831(EBL)3014321(SSID)ssj0000941203(PQKBManifestationID)11509883(PQKBTitleCode)TC0000941203(PQKBWorkID)10956375(PQKB)10375870(OCoLC)698585506(MiAaPQ)EBC3014321(IMF)WPIEE2006029(EXLCZ)99336000000044383120020129d2006 uf 0engur|n|---|||||txtccrHabit Formation and Persistence in Individual Asset Portfolio Holdings : The Case of Italy /Sònia MuñozWashington, D.C. :International Monetary Fund,2006.1 online resource (44 p.)IMF Working Papers"January 2006."1-4518-6289-X Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/029Portfolio managementItalyEconometric modelsAsset allocationItalyEconometric modelsEconometricsimfFinance: GeneralimfFinancial Risk ManagementimfInvestments: BondsimfInvestments: StocksimfSingle Equation ModelsimfSingle Variables: Discrete Regression and Qualitative Choice ModelsimfPersonal Income, Wealth, and Their DistributionsimfPortfolio ChoiceimfInvestment DecisionsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfGeneral Financial Markets: General (includes Measurement and Data)imfInternational Financial MarketsimfDiscrete Regression and Qualitative Choice ModelsimfDiscrete RegressorsimfProportionsimfInvestment & securitiesimfFinanceimfEconometrics & economic statisticsimfStocksimfBondsimfAsset allocationimfStock marketsimfLogit modelsimfFinancial institutionsimfAsset and liability managementimfFinancial marketsimfEconometric analysisimfAsset-liability managementimfStock exchangesimfEconometric modelsimfUnited StatesimfPortfolio managementEconometric models.Asset allocationEconometric models.EconometricsFinance: GeneralFinancial Risk ManagementInvestments: BondsInvestments: StocksSingle Equation ModelsSingle Variables: Discrete Regression and Qualitative Choice ModelsPersonal Income, Wealth, and Their DistributionsPortfolio ChoiceInvestment DecisionsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsGeneral Financial Markets: General (includes Measurement and Data)International Financial MarketsDiscrete Regression and Qualitative Choice ModelsDiscrete RegressorsProportionsInvestment & securitiesFinanceEconometrics & economic statisticsStocksBondsAsset allocationStock marketsLogit modelsFinancial institutionsAsset and liability managementFinancial marketsEconometric analysisAsset-liability managementStock exchangesEconometric modelsMuñoz Sònia1462064International Monetary Fund.African Dept.DcWaIMFBOOK9910788699103321Habit Formation and Persistence in Individual Asset Portfolio Holdings3673699UNINA