05941oam 22014894 450 991096462910332120251116183859.0978661382905497814623750421462375049978145199441414519944199781283516600128351660897814519082511451908253(CKB)3360000000443831(EBL)3014321(SSID)ssj0000941203(PQKBManifestationID)11509883(PQKBTitleCode)TC0000941203(PQKBWorkID)10956375(PQKB)10375870(OCoLC)698585506(MiAaPQ)EBC3014321(IMF)WPIEE2006029(IMF)WPIEA2006029WPIEA2006029(EXLCZ)99336000000044383120020129d2006 uf 0engur|n|---|||||txtccrHabit Formation and Persistence in Individual Asset Portfolio Holdings : The Case of Italy /Sònia Muñoz1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (44 p.)IMF Working Papers"January 2006."9781451862898 145186289X 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 modelsAsset allocationimfAsset and liability managementimfAsset-liability managementimfBondsimfDiscrete Regression and Qualitative Choice ModelsimfDiscrete RegressorsimfEconometric analysisimfEconometric modelsimfEconometrics & economic statisticsimfEconometricsimfFinanceimfFinance: GeneralimfFinancial institutionsimfFinancial InstrumentsimfFinancial marketsimfFinancial Risk ManagementimfGeneral Financial Markets: General (includes Measurement and Data)imfInstitutional InvestorsimfInternational Financial MarketsimfInvestment & securitiesimfInvestment DecisionsimfInvestments: BondsimfInvestments: StocksimfLogit modelsimfNon-bank Financial InstitutionsimfPension FundsimfPersonal Income, Wealth, and Their DistributionsimfPortfolio ChoiceimfProportionsimfSingle Equation ModelsimfSingle Variables: Discrete Regression and Qualitative Choice ModelsimfStock exchangesimfStock marketsimfStocksimfUnited StatesimfPortfolio managementEconometric models.Asset allocationEconometric models.Asset allocationAsset and liability managementAsset-liability managementBondsDiscrete Regression and Qualitative Choice ModelsDiscrete RegressorsEconometric analysisEconometric modelsEconometrics & economic statisticsEconometricsFinanceFinance: GeneralFinancial institutionsFinancial InstrumentsFinancial marketsFinancial Risk ManagementGeneral Financial Markets: General (includes Measurement and Data)Institutional InvestorsInternational Financial MarketsInvestment & securitiesInvestment DecisionsInvestments: BondsInvestments: StocksLogit modelsNon-bank Financial InstitutionsPension FundsPersonal Income, Wealth, and Their DistributionsPortfolio ChoiceProportionsSingle Equation ModelsSingle Variables: Discrete Regression and Qualitative Choice ModelsStock exchangesStock marketsStocksMuñoz Sònia1815672International Monetary Fund.African Department.DcWaIMFBOOK9910964629103321Habit Formation and Persistence in Individual Asset Portfolio Holdings4371139UNINA