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A Model of UK Personal Sector Holdings of Capital Uncertain Assets

Journal of Economic Studies

ISSN: 0144-3585

Article publication date: 1 April 1991

Abstract

A systems approach is applied to UK personal sector holdings of unit trusts, UK company securities, public‐sector long‐term debt and overseas securities. In the long run, asset holdings are determined primarily by hedging considerations but in the short run there is evidence of speculative activity. Asset shares are influenced by relative yields (including capital gains), inflation, and real expenditure. A two‐step estimation procedure is used: a set of cointegration vectors are estimated for asset shares and dynamics are represented by a systems error feedback model. The four equation system is broadly consonant with the data and coefficient estimates are intuitively acceptable.

Keywords

Citation

Barr, D.G. and Cuthbertson, K. (1991), "A Model of UK Personal Sector Holdings of Capital Uncertain Assets", Journal of Economic Studies, Vol. 18 No. 4. https://doi.org/10.1108/EUM0000000000154

Publisher

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MCB UP Ltd

Copyright © 1991, MCB UP Limited