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Modelling the composition of personal sector wealth in the UK

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  • David Blake

Abstract

The allocation of UK personal sector wealth across five broad asset categories (net financial wealth, housing (and durable assets) wealth, state pension wealth, private pension wealth, and human capital) is investigated using the FAIDS (financial AIDS) model. Apart from total wealth and returns, additional variables relating to capital market imperfections, and demographic, labour market and cross-sector spillover effects turn out to be significant. The adjustment of portfolio weights to shocks is very slow, taking up to 21 years for some asset categories.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233395
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 9 ()
Pages: 611-630

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:611-630

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  1. Barro, Robert J, 1974. "Are Government Bonds Net Wealth?," Journal of Political Economy, University of Chicago Press, vol. 82(6), pages 1095-1117, Nov.-Dec..
  2. Joyce M. Manchester & James M. Poterba, 1989. "Second Mortgages and Household Saving," NBER Working Papers 2853, National Bureau of Economic Research, Inc.
  3. Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-71, November.
  4. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  5. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
  6. Campbell, John Y. & Mankiw, N. Gregory, 1991. "The response of consumption to income : A cross-country investigation," European Economic Review, Elsevier, vol. 35(4), pages 723-756, May.
  7. M. Hashem Pesaran & Yongcheol Shin, 2002. "Long-Run Structural Modelling," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 49-87.
  8. Hendry, David F, 1994. "HUS Revisited," Oxford Review of Economic Policy, Oxford University Press, vol. 10(2), pages 86-106, Summer.
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Cited by:
  1. John Duca & John Muellbauer, 2013. "Tobin lives: integrating evolving credit market architecture into flow of funds based macro-models," Working Papers 1307, Federal Reserve Bank of Dallas.
  2. Richard Ochmann, 2010. "Differential Income Taxation and Household Asset Allocation," Discussion Papers of DIW Berlin 1058, DIW Berlin, German Institute for Economic Research.

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