Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37317 
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dc.contributor.authorBremus, Franziska M.en
dc.contributor.authorKuzin, Vladimir N.en
dc.date.accessioned2010-08-11T09:12:11Z-
dc.date.available2010-08-11T09:12:11Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aVerein für Socialpolitik |cFrankfurt a. M.en
dc.relation.ispartofseries|aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Labor Markets and the Macroeconomy |xC7-V2en
dc.subject.jelD91en
dc.subject.jelE21en
dc.subject.jelH31en
dc.subject.ddc330en
dc.subject.keywordprecautionary savingsen
dc.subject.keywordunemployment insuranceen
dc.subject.keywordlong-term unemploymenten
dc.subject.keywordincome uncertaintyen
dc.titleUnemployment and Portfolio Choice: Does Persistence Matter?-
dc.typeConference Paperen
dc.identifier.ppn654570558en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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