EconPapers    
Economics at your fingertips  
 

Asset holding and consumption volatility

Orazio Attanasio, James Banks and Tanner, Tanner
Additional contact information
Tanner, Tanner: Institute for Fiscal Studies

Authors registered in the RePEc Author Service: Sarah Smith

No W98/08, IFS Working Papers from Institute for Fiscal Studies

Abstract: Recent studies have explored the possibility that limited participation in asset markets, and the stock market in particular, might explain the lack of correspondence between the sample moments of the Intertemporal Marginal Rate of Substitution and asset returns. We estimate ownership probabilities to separate ?ikely' shareholders from onshareholders, enabling us to control for changing composition effects as well as selection into the group. We then construct estimates of the IMRS for each of these different groups and consider their time series properties. We find that the consumption growth of shareholders is more volatile than that of non-shareholders, and more highly correlated with excess returns to shares. In particular, one cannot reject the predictions of the Consumption CAPM for the group of households predicted to own both assets. This is in contrast to the failure of the model when estimated on data for all households.

JEL-codes: E21 G12 (search for similar items in EconPapers)
Pages: 31 pp.
Date: 1998-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.ifs.org.uk (application/pdf)

Related works:
Journal Article: Asset Holding and Consumption Volatility (2002) Downloads
Working Paper: Asset Holding and Consumption Volatility (1998) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:ifsewp:98/08

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
mailbox@ifs.org.uk

Access Statistics for this paper

More papers in IFS Working Papers from Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman (emma_h@ifs.org.uk).

 
Page updated 2025-03-31
Handle: RePEc:ifs:ifsewp:98/08