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Structural Household Finance

Author

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  • Kazufumi Yamana

    (Policy Research Institute, Ministry of Finance,Japan)

Abstract
The analysis of household nance has non-negligible implications in asset pricing literature and other areas, but empirical research on this topic is a challenging task. I construct the model to consider two kinds of heterogeneity: incomplete market and limited participation, and implement the density matching approximate Bayesian computation algorithm with the cross-sectional household portfolio survey data. I nd that the estimate of relative risk aversion parameter takes a plausible value. This outcome implies that the equity premium puzzle can be due to upward bias from a speci cation error associated with the representative agent economy.

Suggested Citation

  • Kazufumi Yamana, 2016. "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
    • Handle: RePEc:mof:wpaper:ron279
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    File URL: http://www.mof.go.jp/pri/research/discussion_paper/ron279.pdf
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    References listed on IDEAS

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    Cited by:

    1. 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

    Approximate Bayesian Computation; Sequential Monte Carlo; Structural Estimation; Household Portfolio;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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