Consumption smoothing and portfolio rebalancing: The effects of adjustment costs
成果类型：
Article
署名作者：
Bonaparte, Yosef; Cooper, Russell; Zhu, Guozhong
署名单位：
University of British Columbia; University of British Columbia Okanagan; European University Institute; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Peking University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.10.012
发表日期：
2012
页码：
751-768
关键词：
摘要：
A household's response to income and return shocks depends on the costs of portfolio adjustment. In particular, the extent of portfolio rebalancing and consumption smoothing are influenced by the presence of non-convex portfolio adjustment costs. Suppose bonds can be adjusted costlessly while adjustments to stock accounts entail adjustment costs. Due to these portfolio adjustment costs, the household demands both stocks and bonds. A household can buffer some income fluctuations without incurring adjustment costs and engage in costly portfolio rebalancing less frequently. Using the estimated preference parameters and portfolio adjustment costs, the response to income and return shocks is nonlinear and reflects the interaction of portfolio rebalancing and consumption smoothing. (C) 2012 Elsevier B.V. All rights reserved.
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