Working Paper: NBER ID: w0903
Authors: Louis Dicksmireaux; Mervyn A. King
Abstract: There has been very little study of the consequences of pension wealth for the composition of household portfolios. Using individual data for 10,118 Canadian households we estimate the portfolio effect of pension wealth. Because most households do not own all of the assets which we are able to distinguish, we model asset demands as a mixed discrete-continuous portfolio choice problem. We find that whereas there is an identifiable effect of pension wealth on total private savings, the effect on portfolio choice is less significant. Moreover, within the area of portfolio composition the main effect is in terms of the particular number and combination of assets held rather than the amount of any given asset as a proportion of total wealth.
Keywords: Pension Wealth; Household Portfolios; Econometric Modeling
JEL Codes: D14; E21; H55
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| pension wealth (H55) | total private savings (D14) |
| pension wealth (H55) | portfolio choice (G11) |
| pension wealth (H55) | likelihood of holding various asset types (G11) |
| social security wealth (H55) | probability of holding certain assets (G11) |
| marginal tax rate (H21) | portfolio choice (G11) |
| permanent income (D31) | portfolio choice (G11) |