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

Principal Investigator(s): View help for Principal Investigator(s) Markus K. Brunnermeier; Stefan Nagel

Name	File Type	Size	Last Modified
IndivAlloc_AER.do	text/plain	24.7 KB	12/07/2019 07:49:AM
LICENSE.txt	text/plain	14.6 KB	12/07/2019 07:49:AM
PSID_base_AER.sas	text/plain	91 KB	12/07/2019 07:48:AM
Readme.pdf	application/pdf	79.1 KB	11/25/2024 03:51:PM
changes.txt	text/plain	77 bytes	11/25/2024 04:47:PM
cpi.sas7bdat	application/octet-stream	13 KB	12/07/2019 07:49:AM

Project Citation:

Brunnermeier, Markus K., and Nagel, Stefan. Replication data for: Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-11-27. https://doi.org/10.3886/E116300V2

Project Description

Summary: 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.

Scope of Project

JEL Classification:
      D14 Household Saving; Personal Finance
      D31 Personal Income, Wealth, and Their Distributions
      G11 Portfolio Choice; Investment Decisions

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Published Versions

V2 [2024-11-27]

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