Inflation, Monetary Policy, and Portfolio Decisions of US Households

• 成果类型: Article
• 署名作者: Bonaparte, Yosef; Korniotis, George M.; Kumar, Alok; Vosse, Melina
• 署名单位: University of Colorado System; University of Colorado Anschutz Medical Campus; Children's Hospital Colorado; University of Colorado Denver; University of San Diego
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.02197
• 发表日期: 2024
• 页码: 6438-6460
• 关键词: Interest rates; market participation; asset allocation; Inflation hedging; experienced inflation; household portfolios

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.