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Replication data for: Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals

Version
V0
Resource Type
Dataset
Creator
  • Brunnermeier, Markus K.
  • Nagel, Stefan
Publication Date
2008-06-01
Description
  • Abstract

    We use data from the Panel Study of Income Dynamics to investigate how households portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of household portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.98.3.713 (Text)
Publications
  • Brunnermeier, Markus K, and Stefan Nagel. “Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation.” American Economic Review 98, no. 3 (May 2008): 713–36. https://doi.org/10.1257/aer.98.3.713.
    • ID: 10.1257/aer.98.3.713 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Brunnermeier, Markus K.; Nagel, Stefan (2008): Replication data for: Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116300