Wealth and portfolio composition: Theory and evidence

被引:121
作者
King, MA
Leape, JI
机构
[1] Univ London London Sch Econ & Polit Sci, London WC2A 2AE, England
[2] Bank England, London, England
基金
美国国家科学基金会;
关键词
portfolio choice; wealth; taxation; incomplete portfolios; wealth elasticities; switching regressions model;
D O I
10.1016/S0047-2727(98)00027-9
中图分类号
F [经济];
学科分类号
02 [经济学];
摘要
We examine a survey of 6010 U.S. households and estimate a model for household portfolio allocation. We extend the conventional portfolio choice model in order to capture the observed incompleteness of household portfolios. We show that the empirical specification of the joint discrete and continuous choice that characterizes household portfolio behavior is a switching regressions model with endogenous switching. We go on to examine the impact of taxes on portfolio composition, using detailed survey data to calculate precisely the marginal tax rate facing each household. Finally, we estimate wealth elasticities of demand for a range of assets and liabilities. (C) 1998 Elsevier Science S.A.
引用
收藏
页码:155 / 193
页数:39
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