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Household Portfolios in Italy

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  • Guiso, Luigi
  • Jappelli, Tullio

Abstract

We provide a detailed account of the portfolio of Italian households and its evolution, using repeated cross-sectional and panel data drawn from the 1989-95 Bank of Italy Survey of Household Income and Wealth. We offer an in-depth description of the lifetime pattern of asset holdings and their composition, the degree of asset diversification, and the propensity to invest in risky assets. The data also allow us to address some more fundamental issues on the determinants of household portfolios. We look at portfolio mobility and elaborate on the relevance of entry and exit costs. We also provide new evidence on the effect of income risk and information acquisition on portfolio choice.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 2549.

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Date of creation: Sep 2000
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Handle: RePEc:cpr:ceprdp:2549

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Keywords: Diversification; Information; Portfolio Choice; Portfolio Mobility;

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References

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  1. Orazio Attanasio & Luigi Guiso & Tuillo Jappelli, 1998. "The Demand for Money, Financial Innovation, and the Welfare Cost of Inflation: An Analysis with Household Data," NBER Working Papers 6593, National Bureau of Economic Research, Inc.
  2. Paxson, Christina, 1990. "Borrowing Constraints and Portfolio Choice," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 105(2), pages 535-43, May.
  3. Bertaut, Carol C. & Haliassos, Michael, 1997. "Precautionary portfolio behavior from a life-cycle perspective," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1511-1542, June.
  4. Gollier, Christian & John W. PRATT, 1993. "Weak Proper Risk Aversion And The Tempering Effect of Background Risk," Working Papers, Risk and Insurance Archive 018, Risk and Insurance Archive.
  5. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "The Role of Social Capital in Financial Development," American Economic Review, American Economic Association, vol. 94(3), pages 526-556, June.
  6. Andrea Brandolini, 1999. "The Distribution of Personal Income in Post-War Italy: Source Description, Data Quality, and the Time Pattern of Income Inequality," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 58(2), pages 183-239, September.
  7. Guiso, L. & Jappelli, T. & Terlizzese, D., 1992. "Why is Italy Saving Rate so High?," Papers, Banca Italia - Servizio di Studi 167, Banca Italia - Servizio di Studi.
  8. Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1996. "Income Risk, Borrowing Constraints, and Portfolio Choice," American Economic Review, American Economic Association, vol. 86(1), pages 158-72, March.
  9. Luigi Guiso & Tullio Jappelli & Luigi Pistaferri, 1998. "What Determines Earnings and Employment Risk?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 08, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  10. Michael Haliassos and Alexander Michaelides, 2001. "Calibration and Computation of Household Portfolio Models," Computing in Economics and Finance 2001, Society for Computational Economics 194, Society for Computational Economics.
  11. Angus S. Deaton & Christina Paxson, 1994. "Saving, Growth, and Aging in Taiwan," NBER Chapters, in: Studies in the Economics of Aging, pages 331-362 National Bureau of Economic Research, Inc.
  12. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
  13. Gollier, Christian & Zeckhauser, Richard J, 2002. " Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, Springer, vol. 24(3), pages 195-212, May.
  14. Paxson, Christina, 1996. "Saving and growth: Evidence from micro data," European Economic Review, Elsevier, vol. 40(2), pages 255-288, February.
  15. João Cocco & Francisco Gomes & Pascal Maenhout, 1998. "Consumption and Portfolio Choice over the Life-Cycle," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces9805, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  16. Guiso, Luigi & Jappelli, Tullio, 2000. "Household Portfolios in Italy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2549, C.E.P.R. Discussion Papers.
  17. Miles S. Kimball, 1991. "Standard Risk Aversion," NBER Technical Working Papers 0099, National Bureau of Economic Research, Inc.
  18. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 353, Bank of Italy, Economic Research and International Relations Area.
  19. James M. Poterba & Andrew Samwick, 2001. "Household Portfolio Allocation over the Life Cycle," NBER Chapters, in: Aging Issues in the United States and Japan, pages 65-104 National Bureau of Economic Research, Inc.
  20. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 325, Bank of Italy, Economic Research and International Relations Area.
  21. Tullio Jappelli & Luigi Pistaferri, 2001. "Tax Incentives and the Demand for Life Insurance: Evidence from Italy," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 52, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  22. Stephen G. Cecchetti, 1999. "Legal Structure, Financial Structure, and the Monetary Policy Transmission Mechanism," NBER Working Papers 7151, National Bureau of Economic Research, Inc.
  23. Barsky, Robert B, et al, 1997. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 112(2), pages 537-79, May.
  24. Mervyn A. King & Jonathan I. Leape, 1987. "Asset Accumulation, Information, and the Life Cycle," NBER Working Papers 2392, National Bureau of Economic Research, Inc.
  25. Robert B. Barsky & Miles S. Kimball & F. Thomas Juster & Matthew D. Shapiro, 1995. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey," NBER Working Papers 5213, National Bureau of Economic Research, Inc.
  26. Miles S. Kimball, 1991. "Precautionary Motives for Holding Assets," NBER Working Papers 3586, National Bureau of Economic Research, Inc.
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