Inflation, Money Demand, and Portfolio Choice
构建了一个包含住房和购物成本的结构性生命周期投资组合模型，发现房主和租房者因净债券头寸不同而对通胀风险反应各异，通胀与债券收益的负相关性会促使房主更多投资股市，而较穷的租房者则转向持有货币。
We estimate a structural, nominal, life-cycle portfolio choice model with exogenous housing tenure and use shopping costs to generate money demand. Homeowners (renters) with negative (positive) net bond positions react differently to changing inflation risks. The correlation between real bond and real stock returns emerges as the strongest inflation risk quantitatively and generates large increases in stock market demand for homeowners in a 1970s counterfactual. Higher expected inflation encourages stock market participation but affects negatively poorer households without access to that adjustment. A more negative inflation-bond return correlation pushes homeowners more into the stock market, whereas poorer renters move into money. This paper was accepted by David Sraer, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02007 .