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A Model of UK Personal Sector Holdings of Capital Uncertain Assets

A Model of UK Personal Sector Holdings of Capital Uncertain Assets A systems approach is applied to UK personal sector holdings ofunit trusts, UK company securities, publicsector longterm debt andoverseas securities. In the long run, asset holdings are determinedprimarily by hedging considerations but in the short run there isevidence of speculative activity. Asset shares are influenced byrelative yields including capital gains, inflation, and realexpenditure. A twostep estimation procedure is used a set ofcointegration vectors are estimated for asset shares and dynamics arerepresented by a systems error feedback model. The four equation systemis broadly consonant with the data and coefficient estimates areintuitively acceptable. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Studies Emerald Publishing

A Model of UK Personal Sector Holdings of Capital Uncertain Assets

Journal of Economic Studies , Volume 18 (4) – Apr 1, 1991

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0144-3585
DOI
10.1108/EUM0000000000154
Publisher site
See Article on Publisher Site

Abstract

A systems approach is applied to UK personal sector holdings ofunit trusts, UK company securities, publicsector longterm debt andoverseas securities. In the long run, asset holdings are determinedprimarily by hedging considerations but in the short run there isevidence of speculative activity. Asset shares are influenced byrelative yields including capital gains, inflation, and realexpenditure. A twostep estimation procedure is used a set ofcointegration vectors are estimated for asset shares and dynamics arerepresented by a systems error feedback model. The four equation systemis broadly consonant with the data and coefficient estimates areintuitively acceptable.

Journal

Journal of Economic StudiesEmerald Publishing

Published: Apr 1, 1991

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