Asset Holding and Consumption Volatility / Orazio Attanasio, James Banks, Sarah Tanner.

Format:

Book

Author/Creator:

Attanasio, Orazio.

Contributor:

National Bureau of Economic Research.

Banks, James.

Tanner, Sarah.

Series:

Working Paper Series (National Bureau of Economic Research) no. w6567.

NBER working paper series no. w6567

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1998.

Summary:

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.

Notes:

Print version record

May 1998.