Inflation, Money Demand, and Portfolio Choice

Published Online:https://doi.org/10.1287/mnsc.2022.02007

References

  • Adam K, Zhu J (2016) Price-level changes and the redistribution of nominal wealth across the Euro Area. J. Eur. Econom. Assoc. 14(4):871–906.CrossrefGoogle Scholar
  • Alan S (2006) Entry costs and stock market participation over the life cycle. Rev. Econom. Dynam. 9(4):588–611.CrossrefGoogle Scholar
  • Alvarez F, Guiso L, Lippi F (2012) Durable consumption and asset management with transaction and observation costs. Amer. Econom. Rev. 102(5):2272–2300.CrossrefGoogle Scholar
  • Attanasio O, Guiso L, Jappelli T (2002) The demand for money, financial innovation, and the welfare cost of inflation: An analysis with household data. J. Political Econom. 110(2):317–351.CrossrefGoogle Scholar
  • Auclert A (2019) Monetary policy and the redistribution channel. Amer. Econom. Rev. 109(6):2333–2367.CrossrefGoogle Scholar
  • Barro RJ (2006) Rare disasters and asset markets in the twentieth century. Quart. J. Econom. 121(3):823–866.CrossrefGoogle Scholar
  • Baumol WJ (1952) The transactions demand for cash: An inventory theoretic approach. Quart. J. Econom. 66(4):545–556.CrossrefGoogle Scholar
  • Bogan V (2008) Stock market participation and the internet. J. Financial Quant. Anal. 43(1):191–211.CrossrefGoogle Scholar
  • Bonaparte Y, Cooper R, Zhu G (2012) Consumption smoothing and portfolio rebalancing: The effects of adjustment costs. J. Monetary Econom. 59(8):751–768.CrossrefGoogle Scholar
  • Calvet LE, Campbell JY, Gomes FJ, Sodini P (2021) The cross-section of household preferences. NBER Working Paper No. 28788, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Campanale C, Fugazza C, Gomes F (2015) Life-cycle portfolio choice with liquid and illiquid financial assets. J. Monetary Econom. 71:67–83.CrossrefGoogle Scholar
  • Campbell JY, Pflueger C, Viceira LM (2020) Macroeconomic drivers of bond and equity risks. J. Political Econom. 128(8):3148–3185.CrossrefGoogle Scholar
  • Cao S, Meh CA, Ríos-Rull J-V, Terajima Y (2021) The welfare cost of inflation revisited: The role of financial innovation and household heterogeneity. J. Monetary Econom. 118:366–380.CrossrefGoogle Scholar
  • Cocco JF (2005) Portfolio choice in the presence of housing. Rev. Financial Stud. 18(2):535–567.CrossrefGoogle Scholar
  • Cocco JF, Lopes P (2020) Aging in place, housing maintenance, and reverse mortgages. Rev. Econom. Stud. 87(4):1799–1836.CrossrefGoogle Scholar
  • Cocco JF, Gomes FJ, Maenhout PJ (2005) Consumption and portfolio choice over the life cycle. Rev. Financial Stud. 18(2):491–533.CrossrefGoogle Scholar
  • Cooper R, Zhu G (2016) Household finance over the life-cycle: What does education contribute? Rev. Econom. Dynam. 20:63–89.CrossrefGoogle Scholar
  • Dahlquist M, Setty O, Vestman R (2018) On the asset allocation of a default pension fund. J. Finance 73(4):1893–1936.CrossrefGoogle Scholar
  • De Nardi M, French E, Jones JB (2010) Why do the elderly save? The role of medical expenses. J. Political Econom. 118(1):39–75.CrossrefGoogle Scholar
  • Doepke M, Schneider M (2006) Inflation and the redistribution of nominal wealth. J. Political Econom. 114(6):1069–1097.CrossrefGoogle Scholar
  • Drechsler I, Savov A, Schnabl P (2017) The deposits channel of monetary policy. Quart. J. Econom. 132(4):1819–1876.CrossrefGoogle Scholar
  • Drechsler I, Savov A, Schnabl P (2020) The financial origins of the rise and fall of American inflation. New York University mimeo, New York.Google Scholar
  • Duffie D, Singleton K (1993) Simulated moments estimation of Markov models of asset prices. Econometrica 61(4):929–952.CrossrefGoogle Scholar
  • Epstein LG, Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.CrossrefGoogle Scholar
  • Erosa A, Ventura G (2002) On inflation as a regressive consumption tax. J. Monetary Econom. 49(4):761–795.CrossrefGoogle Scholar
  • Fagereng A, Gottlieb C, Guiso L (2017) Asset market participation and portfolio choice over the life-cycle. J. Finance 72(2):705–750.CrossrefGoogle Scholar
  • Faig M, Shum P (2002) Portfolio choice in the presence of personal illiquid projects. J. Finance 57(1):303–328.CrossrefGoogle Scholar
  • Favilukis J (2013) Inequality, stock market participation, and the equity premium. J. Financial Econom. 107(3):740–759.CrossrefGoogle Scholar
  • Gomes F, Michaelides A (2005) Optimal life-cycle asset allocation: Understanding the empirical evidence. J. Finance 60(2):869–904.CrossrefGoogle Scholar
  • Gomes F, Michaelides A, Polkovnichenko V (2009) Optimal savings with taxable and tax-deferred accounts. Rev. Econom. Dynam. 12(4):718–735.CrossrefGoogle Scholar
  • Guvenen F (2009) A parsimonious macroeconomic model for asset pricing. Econometrica 77(6):1711–1750.CrossrefGoogle Scholar
  • Haliassos M, Michaelides A (2003) Portfolio choice and liquidity constraints. Internat. Econom. Rev. 44(1):143–177.CrossrefGoogle Scholar
  • Jordà Ò, Knoll K, Kuvshinov D, Schularick M, Taylor AM (2019) The rate of return on everything, 1870–2015. Quart. J. Econom. 134(3):1225–1298.Google Scholar
  • Kaplan G, Violante GL (2014) A model of the consumption response to fiscal stimulus payments. Econometrica 82(4):1199–1239.CrossrefGoogle Scholar
  • Kaplan G, Moll B, Violante GL (2018) Monetary policy according to HANK. Amer. Econom. Rev. 108(3):697–743.CrossrefGoogle Scholar
  • Leombroni M, Piazzesi M, Schneider M, Rogers C (2020) Inflation and the price of real assets. NBER Working Paper No. 26740, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Lucas RE (2000) Inflation and welfare. Econometrica 68(2):247–274.CrossrefGoogle Scholar
  • Malmendier U, Nagel S (2011) Depression babies: Do macroeconomic experiences affect risk taking? Quart. J. Econom. 126(1):373–416.CrossrefGoogle Scholar
  • Malmendier U, Nagel S (2015) Learning from inflation experiences. Quart. J. Econom. 131(1):53–87.CrossrefGoogle Scholar
  • Meh CA, Ríos-Rull J-V, Terajima Y (2010) Aggregate and welfare effects of redistribution of wealth under inflation and price-level targeting. J. Monetary Econom. 57(6):637–652.CrossrefGoogle Scholar
  • Michaelides A, Ng S (2000) Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators. J. Econometrics 96(2):231–266.CrossrefGoogle Scholar
  • Mulligan CB, Sala-i-Martin X (2000) Extensive margins and the demand for money at low interest rates. J. Political Econom. 108(5):961–991.CrossrefGoogle Scholar
  • Paiella M (2007) The foregone gains of incomplete portfolios. Rev. Financial Stud. 20(5):1623–1646.CrossrefGoogle Scholar
  • Polkovnichenko V (2007) Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk. Rev. Financial Stud. 20(1):83–124.CrossrefGoogle Scholar
  • Reynard S (2004) Financial market participation and the apparent instability of money demand. J. Monetary Econom. 51(6):1297–1317.CrossrefGoogle Scholar
  • Rietz TA (1988) The equity risk premium: A solution. J. Monetary Econom. 22(1):117–131.CrossrefGoogle Scholar
  • Scharfstein D (2018) Presidential address: Pension policy and the financial system. J. Finance 73(4):1463–1512.CrossrefGoogle Scholar
  • Tobin J (1956) The interest-elasticity of transactions demand for cash. Rev. Econom. Statist. 38(3):241–247.CrossrefGoogle Scholar
  • Vestman R (2019) Limited stock market participation among renters and homeowners. Rev. Financial Stud. 32(4):1494–1535.CrossrefGoogle Scholar
  • Vissing-Jorgensen A (2002) Limited asset market participation and the elasticity of intertemporal substitution. J. Political Econom. 110(4):825–853.CrossrefGoogle Scholar
  • Wachter J, Yogo M (2010) Why do household portfolio shares rise in wealth? Rev. Financial Stud. 23(11):3929–3965.CrossrefGoogle Scholar
  • Walsh CE (2017) Monetary Theory and Policy (MIT Press, Cambridge, MA).Google Scholar
  • Weil P (1990) Nonexpected utility in macroeconomics. Quart. J. Econom. 105(1):29–42.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.