Are "risky assets" substitutes for "monetary assets"?

Research output: Contribution to journalArticlepeer-review

Authors

External organisations

  • University of California System

Abstract

The paper uses an asymptotically ideal model to estimate substitution elasticities between financial assets held by the U.K. personal sector. An important innovation is to extend the range of assets to include "risky" assets as well as capital certain "monetary" assets. The most significant result is the evidence of substitution between "risky" assets and "cash" assets. Also, as risk aversion increases substitution between "risky" assets and "cash" assets generally falls.

Details

Original languageEnglish
Pages (from-to)510-526
Number of pages17
JournalEconomic Inquiry
Volume37
Issue number3
Publication statusPublished - 1 Jan 1999