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Author/Editor:
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Muñoz, Sònia
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Publication Date:
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January 01, 2006
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an endogenous switching model with bivariate switching to overcome two important obstacles in this line of research, namely, the consumption Capital Asset Pricing Model Puzzle and the excess sensitivity puzzle. The results show that there are wealth effects in both countries. I find some evidence of liquidity constraints only in Italy and habit formation exclusively in the United Kingdom.
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Order a print copy
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Series:
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Working Paper No. 06/30
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Subject(s):
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Income distribution | Italy | United Kingdom | Financial assets | Capital markets | Economic models
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Author's Keyword(s):
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Wealth Effects | consumption behaviour | household portfolio | switching regressions | selectivity models | European capital markets |
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English
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Publication Date:
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January 01, 2006
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ISBN/ISSN:
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1934-7073
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Format:
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Paper
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Stock No:
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WPIEA2006030
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Pages:
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53
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Price:
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US$15.00 )
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Please address any questions about this title to
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