پژوهشهای برنامه و توسعه (Feb 2023)
Investigating the Change of Investment in Assets in Response to Change in Economic Growth
Abstract
This study attempts to investigate how the change in the economic growth rate results in the change in people’s asset portfolios with various degrees of risk-taking behavior. For this purpose, price information of seven classes of assets, such as land, housing, stocks, bank deposits, currency, bonds, and gold, was extracted from the Central Bank website and Statistics Center for the period 1991-2021. To review how to form the optimal portfolio for people with various degrees of risk-taking behavior, the optimal mix for the whole cycle was extracted using the mean-variance model (Markowitz model) and by Matlab software after calculating the return, expected return, asset risk, and correlation coefficients between their returns. To select the asset mix, investment goals, and personality traits of a person such as risk-taking behavior, it is necessary to consider the boom and bust cycles for different assets and their relationship with one another. The economic growth rate in two cycles (high and low economic growth rates) and people in three levels of risk-taking (low, medium, and high) were classified to review the change in the asset mix as a result of the change in economic growth, and the asset mix was calculated in the abovementioned cycles. The results from model estimation and statistical analysis indicate that land, bank deposits, and currency do not have a share in the optimal portfolio during the whole cycle. For people with low, medium, and high levels of risk-taking behavior, bonds, housing, and stocks had the largest volume in the optimal asset portfolio with 69%, 35%, and 68%, respectively. Also, the statistical analysis for various cycles of growth represented that the highest coefficient of importance for people with the low, medium, and high level of risk-taking behavior was for bonds with 65%, and 62% and housing with 64% for the cycle with high economic growth rate. As for the cycle of low economic growth rate, people with low, medium, and high levels of risk-taking behavior have bonds at 76%, and 34% and stocks at 65% as the largest share in the asset portfolio. Comparing the asset mix and their weight represents the lack of assets' stickiness and their importance coefficient in the optimal portfolio in various cycles of economic growth. Asset portfolio risk for people with various degrees of risk-taking behavior is lower in the cycle of high economic growth.
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