Richer earnings dynamics, consumption and portfolio choice over the life cycle

• 成果类型: Article
• 署名作者: Galvez, Julio; Paz-Pardo, Gonzalo
• 署名单位: CUNEF Universidad; European Central Bank
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104206
• 发表日期: 2026-02
• 页码: 104206
• 关键词: portfolio choice; life cycle; earnings dynamics; household finance; simulated method of moments; health-risk; income risk; STOCK; COSTS; MODEL

摘要

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited stock market participation and the low risky asset holdings of households. Because people are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk aversion and lower stock market participation costs. Older workers and higher earners are exposed to negatively skewed risk and choose lower stock exposures.