通货膨胀、资产选择和家庭财务杠杆

管理评论 ›› 2021, Vol. 33 ›› Issue (1): 13-22.

通货膨胀、资产选择和家庭财务杠杆

余湄, 李志勇

对外经济贸易大学金融学院, 北京 100029

收稿日期:2018-10-10 出版日期:2021-01-28 发布日期:2021-02-03
通讯作者: 李志勇(通讯作者),对外经济贸易大学金融学院博士研究生
作者简介:余湄,对外经济贸易大学金融学院教授,博士生导师,博士。
基金资助:
国家自然科学基金项目（71871062；72071046）；北京市社会科学基金重大项目（15ZDA46）；教育部人文社会科学规划基金项目（14YJA790075）。

Inflation, Portfolio Selection and Household Leverage

Yu Mei, Li Zhiyong

School of Banking and Finance, University of International Business and Economics, Beijing 100029

Received:2018-10-10 Online:2021-01-28 Published:2021-02-03

摘要/Abstract

摘要： 本文推导了一个两期模型来研究通货膨胀对家庭资产的选择问题，并首次基于微观调查的数据实证分析了通胀和通胀预期对家庭资产选择行为的影响。本文发现当年的通货膨胀和通胀预期会降低家庭现金存款类资产，而对风险资产没有影响。由于相对价格变化带来的替代效应，家庭增加了耐用品的消费，短期通胀对家庭住房投资的影响为负。由于住房负债以长期债务为主，长期通货膨胀显著增加了家庭负债和财务杠杆，进而增加了财产性收入。本文的研究结果厘清了通胀对家庭投资组合的影响机制，也为政府建立合理的宏观调控机制提供决策参考的依据。

关键词: 通货膨胀, 通胀预期, 资产选择, 家庭财务杠杆

Abstract: Based on a two-period model, we use data from China Family Panel Studies(CFPS) to study the impact of inflation on household portfolio and financial leverage. The study finds that inflation and inflation expectations would reduce household cash deposit but have no influence on risky assets. Due to the substitution effect caused by relative price changes, households have increased consumption of durable goods, and short-term inflation has a negative impact on housing investment. As housing debt is dominated by long-term debt, long-term inflation significantly increases household debt and financial leverage, which in turn increases property income. Our findings can be used as a microscopic mechanism for inflation welfare costs.

Key words: inflation, inflation expectation, portfolio choice, financial leverage

余湄, 李志勇. 通货膨胀、资产选择和家庭财务杠杆[J]. 管理评论, 2021, 33(1): 13-22.

Yu Mei, Li Zhiyong. Inflation, Portfolio Selection and Household Leverage[J]. Management Review, 2021, 33(1): 13-22.

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