This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions.
| Published in |
Applied and Computational Mathematics (Volume 5, Issue 1-1)
This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics |
| DOI | 10.11648/j.acm.s.2016050101.12 |
| Page(s) | 14-20 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Insurance, Demand Motives, Asset Structure, Private Households, Interest Rate
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APA Style
Tim Linderkamp. (2015). Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Applied and Computational Mathematics, 5(1-1), 14-20. https://doi.org/10.11648/j.acm.s.2016050101.12
ACS Style
Tim Linderkamp. Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Appl. Comput. Math. 2015, 5(1-1), 14-20. doi: 10.11648/j.acm.s.2016050101.12
AMA Style
Tim Linderkamp. Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Appl Comput Math. 2015;5(1-1):14-20. doi: 10.11648/j.acm.s.2016050101.12
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Download@article{10.11648/j.acm.s.2016050101.12,
author = {Tim Linderkamp},
title = {Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance},
journal = {Applied and Computational Mathematics},
volume = {5},
number = {1-1},
pages = {14-20},
doi = {10.11648/j.acm.s.2016050101.12},
url = {https://doi.org/10.11648/j.acm.s.2016050101.12},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.acm.s.2016050101.12},
abstract = {This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions.},
year = {2015}
}
TY - JOUR T1 - Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance AU - Tim Linderkamp Y1 - 2015/06/10 PY - 2015 N1 - https://doi.org/10.11648/j.acm.s.2016050101.12 DO - 10.11648/j.acm.s.2016050101.12 T2 - Applied and Computational Mathematics JF - Applied and Computational Mathematics JO - Applied and Computational Mathematics SP - 14 EP - 20 PB - Science Publishing Group SN - 2328-5613 UR - https://doi.org/10.11648/j.acm.s.2016050101.12 AB - This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions. VL - 5 IS - 1-1 ER -
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