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Stochastische Analysis und Stochastik der Finanzmärkte
HU Berlin, TU Berlin, DFG-FS Matheon
Holger Kraft (Goethe Universität Frankfurt am Main)
The Joint Dynamics of Labor Income, Stock Prices, and House Prices and the Implications for Household Decisions
Programm / Abstract:
We show that in the 1953-2010 U.S. data stock prices, house prices, and
labor income have time-varying expected growth rates. These drift rates are correlated
with shocks to stock prices, house prices, and income so that these quantities tend to
move together in the longer run in spite of low contemporaneous correlations. Incorporating
these long-run relations into a life-cycle household optimization problem affects
the optimal consumption, housing, and investment decisions. The optimal portfolio of
young households is dominated by investments in housing (physical real estate or house
price linked fi nancial assets), whereas nothing or little is invested in the stock market
in line with observed behavior.
Zeit:
am Donnerstag den 23. Mai 2013 um 16:00
Ort:
Technische Universität Berlin, Institut für Mathematik
Strasse des 17. Juni 136
10623 Berlin
MA 041 Erdgeschoss
eingetragen von Jean Downes(downes@math.tu-berlin.de, )