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dc.contributor.authorBremus, Franziska M.en_US
dc.contributor.authorKuzin, Vladimir N.en_US
dc.date.accessioned2010-08-11T09:12:11Z-
dc.date.available2010-08-11T09:12:11Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37317-
dc.description.abstractWe use a realistically calibrated life cycle model of consumption and portfolio choice to study the effects of social security on the investment decisions of households for the European case. Our model is mainly based on the one developed by Cocco, Gomes and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states. In contrast to most models in the life cycle literature, our model allows for three different states, namely employment, short-term as well as long-term unemployment. This allows us to examine the effects of persistence in the unemployment process on portfolio choice. Our main findings are, first, that in case of short-term unemployment only, social security systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio-share invested in risky assets. Second, the simulation results reveal that when allowing for long-term unemployment the equity-share is suppressed, especially for young investors. We show that this negative effect of unemployment is mainly driven by its persistence.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Labor Markets and the Macroeconomy C7-V2en_US
dc.subject.jelD91en_US
dc.subject.jelE21en_US
dc.subject.jelH31en_US
dc.subject.ddc330en_US
dc.subject.keywordprecautionary savingsen_US
dc.subject.keywordunemployment insuranceen_US
dc.subject.keywordlong-term unemploymenten_US
dc.subject.keywordincome uncertaintyen_US
dc.titleUnemployment and Portfolio Choice: Does Persistence Matter?en_US
dc.typeConference Paperen_US
dc.identifier.ppn654570558-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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