Article ID Journal Published Year Pages File Type
967173 Journal of Monetary Economics 2012 18 Pages PDF
Abstract
► We study household dynamic choice problem when portfolio adjustment is costly. ► Our model generates a demand for both risky and riskless assets. ► There are adjustment costs for changes in holdings of the risky asset. ► We estimate parameters using simulated method of moments. ► The household's response to shocks is nonlinear and asymmetric.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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