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Ambiguity, Ambiguity Aversion and Reserve of Value in Argentina

Author

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  • Eduardo Ariel Corso

    (Central Bank of Argentina, UBA)

Abstract

In this paper we studied the effects of ambiguity and ambiguity aversion on the demand for store of value assets in Argentina. Applying the approach of preferences for ambiguity in its static version (Klibanoff et al., 2005) to a conventional portfolio selection problem, two features of the demands of reserve assets in Argentina are rationalized: first, the dollarization of the demand for reserve assets of the private non-financial sector; second, the bias to demand real estate assets as a non-financial option to preserve the real value of wealth. We found that ambiguity can be a relevant factor to explain portfolio dollarization. Additionally, ambiguity aversion lowers the demand for assets denominated in US dollars and increases the demand for real estate as a store of value. From a methodological perspective, this paper seeks to promote the integration of preferences representation approaches which include ambiguity to study financial behavior in economies repeatedly exposed to volatile macroeconomic and financial contexts.

Suggested Citation

  • Eduardo Ariel Corso, 2015. "Ambiguity, Ambiguity Aversion and Reserve of Value in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(73), pages 91-115, December.
    • Handle: RePEc:bcr:ensayo:v:1:y:2015:i:73:p:91-115
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    File URL: http://www.bcra.gov.ar/Pdfs/Investigaciones/73_corso.pdf
    File Function: Spanish version (versión en Español)
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    More about this item

    Keywords

    ambiguity; ambiguity aversión; dollarization; real estate demand; store of value;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance

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