M. Haliassos - Academia.edu (original) (raw)
Papers by M. Haliassos
Tax Progressivity and Income Inequality, 1994
SSRN Electronic Journal, 2000
Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset... more Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset accumulation by retirement, and (ii) low-rate liquid assets. Hyperbolic discounting can resolve only the former puzzle (Laibson et al., 2003). Bertaut and Haliassos (2002) proposed an "accountant-shopper" framework for the latter. The current paper builds, solves, and simulates a fully-specified accountant-shopper model, to show that this framework can actually generate both types of co-existence, as well as target credit card utilization rates consistent with Gross and Souleles (2002). The benchmark model is compared to setups without self-control problems, with alternative mechanisms, and with impatient but fully rational shoppers.
SSRN Electronic Journal, 2000
An expansion of the stockholder base, such as the continuous one recorded in the US between the l... more An expansion of the stockholder base, such as the continuous one recorded in the US between the late 1980s and 2001, creates challenges especially for small investors with limited financial sophistication and has unclear implications for the distribution of wealth. Our findings, ...
SSRN Electronic Journal, 2000
The Economic Journal, 2001
Existing findings suggest that standard, frictionless, expected-utility models have difficulty ac... more Existing findings suggest that standard, frictionless, expected-utility models have difficulty accounting for average and for median holdings of wealth and of risky assets, partly as a result of the largely unexplained limited proportion of stockholders among households. We analyze life-cycle wealth accumulation and portfolio choice under career uncertainty and quantifiable departures from expected utility maximization. Our specification nests expected utility and three types of non-expected utility: (i) Kreps-Porteus preferences that disentangle risk aversion from elasticity of substitution, (ii) Yaari's Dual Theory of Choice, and (iii) Quiggin's Rank-dependent Utility. Specifications (ii) and (iii) exhibit "first-order" risk aversion and kinked indifference curves. Solution of such models under multiple sources of risk presents conceptual and computational difficulties. We introduce a notion of equilibrium and a computational algorithm appropriate for such setups. Computed wealth and stockholding, based on calibrated income processes for three education categories, are compared to the 1992 Survey of Consumer Finances. Rank-dependent utility enhances the importance of precautionary effects. Contrary to priors in the literature, solutions are not typically at kinks; neither kinks nor actual solutions involve zero stockholding when income risk is recognized; and yet predictions about average wealth and risky assets tend to improve for all education categories. Mere disentangling of risk aversion from elasticity has small effects, while dual theory predictions are farther from the data and the signs of precautionary effects are reversed.
International Economic Review, 2003
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... the SCF to questions about access to and attitudes to-ward credit and debit cards, and explor... more ... the SCF to questions about access to and attitudes to-ward credit and debit cards, and explore portfolios of households with and without credit card balances. Our analysis of the data, presented in sections 6.16.8, illustrates several puzzling features of credit card usage by US ...
Tax Progressivity and Income Inequality, 1994
SSRN Electronic Journal, 2000
Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset... more Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset accumulation by retirement, and (ii) low-rate liquid assets. Hyperbolic discounting can resolve only the former puzzle (Laibson et al., 2003). Bertaut and Haliassos (2002) proposed an "accountant-shopper" framework for the latter. The current paper builds, solves, and simulates a fully-specified accountant-shopper model, to show that this framework can actually generate both types of co-existence, as well as target credit card utilization rates consistent with Gross and Souleles (2002). The benchmark model is compared to setups without self-control problems, with alternative mechanisms, and with impatient but fully rational shoppers.
SSRN Electronic Journal, 2000
An expansion of the stockholder base, such as the continuous one recorded in the US between the l... more An expansion of the stockholder base, such as the continuous one recorded in the US between the late 1980s and 2001, creates challenges especially for small investors with limited financial sophistication and has unclear implications for the distribution of wealth. Our findings, ...
SSRN Electronic Journal, 2000
The Economic Journal, 2001
Existing findings suggest that standard, frictionless, expected-utility models have difficulty ac... more Existing findings suggest that standard, frictionless, expected-utility models have difficulty accounting for average and for median holdings of wealth and of risky assets, partly as a result of the largely unexplained limited proportion of stockholders among households. We analyze life-cycle wealth accumulation and portfolio choice under career uncertainty and quantifiable departures from expected utility maximization. Our specification nests expected utility and three types of non-expected utility: (i) Kreps-Porteus preferences that disentangle risk aversion from elasticity of substitution, (ii) Yaari's Dual Theory of Choice, and (iii) Quiggin's Rank-dependent Utility. Specifications (ii) and (iii) exhibit "first-order" risk aversion and kinked indifference curves. Solution of such models under multiple sources of risk presents conceptual and computational difficulties. We introduce a notion of equilibrium and a computational algorithm appropriate for such setups. Computed wealth and stockholding, based on calibrated income processes for three education categories, are compared to the 1992 Survey of Consumer Finances. Rank-dependent utility enhances the importance of precautionary effects. Contrary to priors in the literature, solutions are not typically at kinks; neither kinks nor actual solutions involve zero stockholding when income risk is recognized; and yet predictions about average wealth and risky assets tend to improve for all education categories. Mere disentangling of risk aversion from elasticity has small effects, while dual theory predictions are farther from the data and the signs of precautionary effects are reversed.
International Economic Review, 2003
Xqlyhuvlw| ri F|suxv Iluvw gudiw= Mxqh 48/ 4<<< Rfwrehu 59/ 4<<< AE Zh duh judwhixo wr Mrh Dowrqm... more Xqlyhuvlw| ri F|suxv Iluvw gudiw= Mxqh 48/ 4<<< Rfwrehu 59/ 4<<< AE Zh duh judwhixo wr Mrh Dowrqml/ Mdphv Edqnv/ Fkulvwrskhu Fduuroo/ Dqjxv Ghdwrq/ Gherudk Oxfdv/ V|gqh| Oxgyljvrq/ Vwhyh Slvfknh/ Qlfn Vrxohohv/ Vwhyh ]hoghv/ Mrvh Ylfwru Ulrv0Uxoo/ dqg frqihuhqfh sduwlflsdqwv dw wkh 4<<< QEHU Vxpphu Lqvwlwxwh Zrunvkrs rq wkh Djjuhjdwh Lpsolfdwlrqv ri Plfurhfrqrplf Frqvxpswlrq Ehkdylru iru yhu| khosixo frpphqwv dqg vxjjhvwlrqv1 Zh zrxog dovr olnh wr wkdqn sduwlflsdqwv dw wkh 4<<< DV1V1H1W1 phhwlqjv dw Who Dyly Xqlyhuvlw|/ dqg dw wkh WPU phhwlqjv rq Vdylqjv dqg Shqvlrqv lq Yhqlfh/ dv zhoo dv vhplqdu sduwlflsdqwv dw LQVHDG dqg wkh Xqlyhuvlw| ri F|suxv iru pdq| khosixo frpphqwv1 Dq| huuruv ru rplvvlrqv duh wkh uhvsrqvlelolw| ri wkh dxwkruv1 | Dgguhvv= Ghsduwphqw ri Hfrqrplfv/ Xqlyhuvlw| ri F|suxv/ SR ER[ 5386:/ 49:;/ Qlfrvld/ F|suxv1 Hpdlo= KdoldvvrvCd|d1|doh1hgx1 } Dgguhvv= Ghsduwphqw ri Hfrqrplfv/ Xqlyhuvlw| ri F|suxv/ SR ER[ 5386:/ 49:;/ Qlfrvld/ F|suxv1 Hpdlo= doh{pCxf|1df1f|1
... the SCF to questions about access to and attitudes to-ward credit and debit cards, and explor... more ... the SCF to questions about access to and attitudes to-ward credit and debit cards, and explore portfolios of households with and without credit card balances. Our analysis of the data, presented in sections 6.16.8, illustrates several puzzling features of credit card usage by US ...