Habit formation and persistence in individual assest portfolio holdings : the case of Italy / / [prepared by] Sonia Munoz

• Autore: Munoz Sonia <1970->
• Pubblicazione: [Washington, D.C.], : International Monetary Fund, African Dept., 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (44 p.)
• Soggetto topico: Portfolio management - Italy - Econometric models; Asset allocation - Italy - Econometric models
• 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.
• Titolo autorizzato: Habit formation and persistence in individual assest portfolio holdings
• ISBN: 1-4623-7504-9; 1-4519-9441-9; 1-283-51660-8; 9786613829054; 1-4519-0825-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910811443303321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/06/29.