Which economic uncertainty measure matters for households' portfolio decision?

In this study, we address two research questions: Do recently developed economic uncertainty measures matter for household portfolio choices? If so, which measure is most important? Using household data, we compare 16 uncertainty measures in our unified framework. We find that the economic policy un...

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Veröffentlicht in:The Journal of financial research 2021-06, Vol.44 (2), p.343-369
Hauptverfasser: Lee, Kiryoung, Jeon, Yoontae, Kim, Insik
Format: Artikel
Sprache:eng
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Zusammenfassung:In this study, we address two research questions: Do recently developed economic uncertainty measures matter for household portfolio choices? If so, which measure is most important? Using household data, we compare 16 uncertainty measures in our unified framework. We find that the economic policy uncertainty (EPU) measure is the most important for household portfolios. We further find that married, more educated, older, and wealthier households are more sensitive to EPU. Finally, our findings highlight the importance of labor income in the sensitivity of households' portfolio decisions to uncertainty.
ISSN:0270-2592
1475-6803
DOI:10.1111/jfir.12243