Abstract
The aim of this study is to identify and analyse the risk profiles of household financial asset portfolios and their determinants in 15 euro area countries. Financial assets relate to deposits, managed accounts, mutual fund units, bonds, shares, private lending, voluntary pension plans and whole life insurance contracts, private businesses, and others. The study uses a fractional multinomial logit model to recognise the importance of safe, relatively safe, and risky components of portfolios for households assigned to 5 wealth classes. The main results prove the primary importance of deposits for households in almost all the member states. Moreover, the features influencing the structure of portfolios lead to conclusions about the greater exposure to financial risks of wealthier respondents than those less affluent. However, the study identifies the countries where contrary preferences characterise households with real assets of high values.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
It allows recovering the regression function for the fractional variable even with data at the extreme values of zero and one.
- 2.
The changes in the predicted structure of a portfolio (in p.p.) caused by increasing NW from class 1 to 5: S: −10, −17, −23, −35; RS—6, 8, 11, 14; R—4, 9, 12, 21.
- 3.
Average increase (in p.p.) of RS by: 5, 6, 6, 5, while of R by: 1, 1, 1, 2.
References
Bilias Y, Georgarakos D, Haliassos M (2008) Equity culture and the distribution of wealth. Netspar DP 2008–010, pp 1–43
Buis ML (2008) Fmlogit: stata module fitting a fractional multinomial logit model by quasi maximum likelihood. Statistical software components. Boston College Department of Economics, Boston
Christelis D, Georgarakos D, Haliassos M (2011) Differences in portfolios across countries: economic environment versus household characteristics http://ssrn.com/abstract=1089802. Accessed 1 Feb 2016
Cocco JF (2005) Portfolio choice in the presence of housing. Rev Financ Stud 18(2):535–567
Du Caju P (2013) Structure and distribution of household wealth: an analysis based on the HFCS. NBB Econ Rev 9:41–62
ECB (2013) The eurosystem household finance and consumption survey—results from the first wave. ECB Stat Pap Ser 2:1–112
Guiso L, Paiella M (2008) Risk aversion, wealth, and background risk. J Eur Econ Assoc 6(6):1109–1150
Guiso L, Haliassos M, Jappelli T (2002) Household portfolios: an international comparison. In: Guiso L, Haliassos M, Jappelli T (eds) Household portfolios. MIT Press, Cambridge, pp 1–24
Haliassos M (2002) Stockholding: recent lessons from theory and computations. In: Guiso L, Haliassos M, Jappelli T (eds) Stockholding in Europe. Palgrave Macmillan Publishers, London, pp 30–51
Kukk M (forthcoming) How does household debt affect financial asset holdings? Evidence from euro area countries. Stud Econ Financ
Mullahy J (2011) Multivariate fractional regression estimation of econometric share models. UCD Geary Institute Discussion Paper Series WP2011/33, pp 1–45
Murteira JM, Ramalho JJ (2013) Regression analysis of multivariate fractional data. CEFAGE-UE Working Paper, 2013/05, pp 1–43
Teppa F, Porpiglia A, Ziegelmeyer M, Le Blanc J, Zhu J (2015) Household saving behaviour and credit constraints in the euro area. ECB WP 1790, pp 1–62
Acknowledgements
The paper presents the results of a study carried out under a research project financially supported by the National Science Centre in Poland (grant number: DEC-2013/11/D/HS4/04056). The analysis is based on data provided by the Eurosystem Household Finance and Consumption Survey.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2017 Springer International Publishing AG
About this paper
Cite this paper
Kochaniak, K. (2017). Does a Household’s Wealth Determine the Risk Profile of Its Financial Asset Portfolio?. In: Jajuga, K., Orlowski, L., Staehr, K. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-54885-2_27
Download citation
DOI: https://doi.org/10.1007/978-3-319-54885-2_27
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-54884-5
Online ISBN: 978-3-319-54885-2
eBook Packages: Economics and FinanceEconomics and Finance (R0)