Inflation, Monetary Policy, and Portfolio Decisions of US Households

被引：2

作者：

Bonaparte, Yosef ^{[1
]}

Korniotis, George M. ^{[2
]}

Kumar, Alok ^{[2
]}

Vosse, Melina ^{[3
]}

机构：

[1] Univ Colorado Denver, Denver, CO 80204 USA

[2] Miami Herbert Business Sch, Coral Gables, FL 33146 USA

[3] Univ San Diego, San Diego, CA 92110 USA

来源：

MANAGEMENT SCIENCE | 2024年 / 70卷 / 09期

关键词：

interest rates; market participation; asset allocation; inflation hedging; experienced inflation; household portfolios; ASSET ALLOCATION; STOCK; LIQUIDITY; RETURNS; SURPRISES; FINANCE; WEALTH; COSTS;

D O I：

10.1287/mnsc.2023.02197

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We study the impact of monetary policy changes on portfolio decisions of U.S. households. Contrary to the predictions of canonical portfolio choice models, interest rate increases are related to increased equity ownership and larger wealth allocations to risky assets. Inflation hedging is a likely explanation for these findings. Interest rates have a stronger impact on the equity exposure of households that experience higher inflation, especially those with greater inflation awareness and potentially stronger hedging motives. Using household portfolios at a large discount brokerage house, we provide direct evidence that investors with greater inflation sensitivity overweight stocks with high hedging potential.

引用

页码：6438 / 6460

页数：23

共 60 条

[1] Political Sentiment and Predictable Returns [J].