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Household Portfolios in a Secular Stagnation World: Evidence from Japan

Author

Listed:
  • Kosuke Aoki

    (University of Tokyo)

  • Alexander Michaelides

    (Imperial College Business School, CEPR, CFS and NETSPAR)

  • Kalin Nikolov

    (European Central Bank)

Abstract
We document low stock market participation rates and high proportions of money in Japanese household portfolios. To replicate these facts, we introduce a money demand motive in a life-cycle portfolio choice model and calibrate the model's structural parameters to match Japanese household financial data. Using counterfactual analysis we find that low expected stock returns, low expected inflation and high fixed costs of stock market participation are the main determinants of Japanese household portfolios.

Suggested Citation

  • Kosuke Aoki & Alexander Michaelides & Kalin Nikolov, 2016. "Household Portfolios in a Secular Stagnation World: Evidence from Japan," Bank of Japan Working Paper Series 16-E-4, Bank of Japan.
    • Handle: RePEc:boj:bojwps:wp16e04
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    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2016/data/wp16e04.pdf
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    References listed on IDEAS

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    Cited by:

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    2. Mitsuru Katagiri & Koji Takahashi, 2017. "Do Term Premiums Matter? Transmission via Exchange Rate Dynamics," Bank of Japan Working Paper Series 17-E-7, Bank of Japan.
    3. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
    4. Yuichiro Ito & Yasutaka Takizuka & Shigeaki Fujiwara, 2017. "Portfolio Selection by Households: An Empirical Analysis Using Dynamic Panel Data Models," Bank of Japan Working Paper Series 17-E-6, Bank of Japan.
    5. Nicholas Apergis & Tasawar Hayat & Tareq Saeed, 2019. "The Role of Happiness in Financial Decisions: Evidence from Financial Portfolio Choice and Five European Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(3), pages 343-360, September.
    6. Shuhei Aoki & Makoto Nirei & Kazufumi Yamana, 2018. "Risk-Taking, Inequality and Output in the Long-Run," Bank of Japan Working Paper Series 18-E-4, Bank of Japan.

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    More about this item

    Keywords

    Life Cycle Models; Portfolio Choice; Inflation; Money Demand; Stock Market Participation; Uninsurable Labor Income Risk; Japanese portfolios;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

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