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Household's portfolio structure in Germany - analysis of financial accounts data 1959-2009

Author

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  • Ramb, Fred
  • Scharnagl, Michael

Abstract

Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interestrate elasticities were calculated using a unique new quarterly financial accounts macrodata set which covers the period from 1959 to 2009 and contains a portfolio of eight different financial assets. Descriptive analysis shows that all financial assets were characterized by substantial volatility of their weight in the portfolio of households. We found that portfolio shifts in the long run are determined significantly by changes in interest rates. The estimated model provides evidence that currency (and transferable deposits) is mainly a substitute for other assets and time deposits are typically a complement. Wealth elasticity is for most assets around unity. JEL Classification: E21, G11, C32

Suggested Citation

  • Ramb, Fred & Scharnagl, Michael, 2011. "Household's portfolio structure in Germany - analysis of financial accounts data 1959-2009," Working Paper Series 1355, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20111355
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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1355.pdf
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    Citations

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    Cited by:

    1. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
    2. Bonizzi, Bruno, 2017. "Institutional investors’ allocation to emerging markets: A panel approach to asset demand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 47-64.
    3. Aliu, Florin & Mulaj, Isa, 2020. "A nation’s mission of housing and food consumption: An analysis of household budget survey expenditures in Kosovo," MPRA Paper 107850, University Library of Munich, Germany.

    More about this item

    Keywords

    financial wealth; household; portfolio structure;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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