EconPapers    
Economics at your fingertips  
 

Asset Holding and Consumption Volatility

Orazio Attanasio, James Banks and Sarah Tanner
Authors registered in the RePEc Author Service: Sarah Smith

No 6567, NBER Working Papers from National Bureau of Economic Research, Inc

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 likely' shareholders from non-shareholders, 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)
Date: 1998-05
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Published as Journal of Political Economy, Vol. 110, no. 4 (August 2002): 771-792

Downloads: (external link)
http://www.nber.org/papers/w6567.pdf (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:nbr:nberwo:6567

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w6567

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-31
Handle: RePEc:nbr:nberwo:6567