Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208304
Authors: 
Bekhtiar, Karim
Fessler, Pirmin
Lindner, Peter
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2270
Abstract: 
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive as well as the intensive margin of risky assets, European households differ substantially from US households; but also inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share of households holding risky assets across countries. We decompose the observed differences into two parts. A part explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part resulting from our microeconometric decomposition analysis together with country-level variables on the economic environment to relate observed differences in risky asset holdings to institutional ones. We find that institutional differences such as shareholder protection are strongly correlated with the unexplainable differences with regard to holdings of risky assets.
Subjects: 
household finance
portfolio choice
background risk
HFCS
SCF
JEL: 
D12
D14
D31
G11
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3532-6
Document Type: 
Working Paper

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