Structural Household Finance

Kazufumi Yamana

Discussion papers from Policy Research Institute, Ministry of Finance Japan

Abstract: The analysis of household nance has non-negligible implications in asset pricing literature and other areas, but empirical research on this topic is a challenging task. I construct the model to consider two kinds of heterogeneity: incomplete market and limited participation, and implement the density matching approximate Bayesian computation algorithm with the cross-sectional household portfolio survey data. I nd that the estimate of relative risk aversion parameter takes a plausible value. This outcome implies that the equity premium puzzle can be due to upward bias from a speci cation error associated with the representative agent economy.

Keywords: Approximate Bayesian Computation; Sequential Monte Carlo; Structural Estimation; Household Portfolio (search for similar items in EconPapers)
JEL-codes: C10 C80 G11 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2016-05
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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