Fabio Braggion (Tilburg University): “Systematic Income Risk and Households’ Portfolios”

Date: Thursday, 25 May 2023, at 12:00 pm

Location: Seminar Room Bruguier Pacini, DEM

Speaker: Fabio Braggion (Tilburg University)

Title: “Systematic Income Risk and Households’ Portfolios”


We develop a methodology to estimate households’ exposure to systematic income risk and its causal effect on portfolio decisions. The identification strategy relies on house-hold fixed effects and a novel instrument based on major corporate events.

We apply it to a Dutch administrative panel dataset that covers the Dutch population between 2005 and 2020. Our dataset includes employer-employee matches, detailed decomposition of income and wealth, and income expectations. We document substantial cross-sectional variation in systematic income risk.

We find that households more exposed to business cycle fluctuations perceive their income as cyclical and hold safer portfolios.

Seminar organizers: Caterina Giannetti

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