European Central Bank - eurosystem
Search Options
Home Publication Explainers Statistics Payments Career Monetary Policy
Suggestions
Sort by
Níl an t-ábhar seo ar fáil i nGaeilge.

Fred Ramb

14 June 2011
WORKING PAPER SERIES - No. 1355
Details
Abstract
Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interestrate elasticities were calculated using a unique new quarterly financial accounts macrodata set which covers the period from 1959 to 2009 and contains a portfolio of eight different financial assets. Descriptive analysis shows that all financial assets were characterized by substantial volatility of their weight in the portfolio of households. We found that portfolio shifts in the long run are determined significantly by changes in interest rates. The estimated model provides evidence that currency (and transferable deposits) is mainly a substitute for other assets and time deposits are typically a complement. Wealth elasticity is for most assets around unity.
JEL Code
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes