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Holdings of financial assets: A Markov chain analysis |
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| Authors: | John S. Anderson Kenneth W. Clements |
| Affiliation: | Reserve Bank of Australia, Sydney, N.S.W. 2000, Australia;Department of Economics, The University of Western Australia, Nedlands, W.A. 6009, Australia |
| Abstract: | This paper introduces the Markov chain model as a simple tool for analyzing the pattern of financial asset holdings over time. The model is based on transition probabilities which give the probability of switching $1 of wealth from one asset to another. An illustrative application is provided. |
| Keywords: | Financial asset holdings Markov chain maximum likelihood estimation of transition probabilities with aggregate time series data multivariate stock adjustment model |
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