Optimal Life Cycle Portfolio Choice with Housing Market Cycles

• 成果类型: Article
• 署名作者: Fischer, Marcel; Stamos, Michael Z.
• 署名单位: Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht010
• 发表日期: 2013
• 页码: 2311
• 关键词: OPTIMAL CONSUMPTION; INVESTMENT; RISK; prices; WEALTH

摘要

In recent decades U.S. households have experienced residential house prices moving persistently, that is, returns being positively serially correlated. We set up a realistically calibrated life cycle model with slow-moving time variation in expected housing returns, showing that not only age, labor income, and pre-existing housing wealth but also the state of the housing market significantly affect household decisions. Consistently with the data, the model predicts that in good states of housing market cycles (1) homeownership rates increase, (2) households buying homes invest a larger share of their net worth in their home, and (3) these households lever up more.