Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103738
Authors: 
Hubar, Sylwia
Koulovatianos, Christos
Li, Jian
Year of Publication: 
2014
Series/Report no.: 
CFS Working Paper Series 489
Abstract: 
US data and new stockholding data from fifteen European countries and China exhibit a common pattern: stockholding shares increase in household income and wealth. Yet, there is a multitude of numbers to match through models. Using a single utility function across households (parsimony), we suggest a strategy for fitting stockholding numbers, while replicating that saving rates increase in wealth, too. The key is introducing subsistence consumption to an Epstein-Zin-Weil utility function, creating endogenous risk-aversion differences across rich and poor. A closed-form solution for the model with insurable labor-income risk serves as calibration guide for numerical simulations with uninsurable labor-income risk.
Subjects: 
Epstein-Zin-Weil recursive preferences
subsistence consumption
household-portfolio shares
business equity
wealth inequality
JEL: 
G11
D91
D81
D14
D11
E21
Document Type: 
Working Paper

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