【市场报告】美联储-房地产所有者对通货膨胀的厌恶程度降低了吗？来自消费者情绪和通胀预期的证据（英）-.docx

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1、FinanceandEconomicsDiscussionSeriesFedera1ReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(On1ine)AreRea1AssetsOwners1essAversetoInf1ation?EvidencefromConsumerSentimentsandInf1ationExpectationsGeng1i;NitishRanjanSinha2023-058P1easecitethispaperas:1i,Geng,andNitishRanjanSinha(2023).AreRe

2、a1AssetsOwners1essAversetoInf1ation?EvidencefromConsumerSentimentsandInf1ationExpectations/FinanceandEconomicsDiscussionSeries2023-058.Washington:BoardofGovernorsoftheFedera1ReserveSystem,https:/doi.org/10.17016/FEDS.2023.058.NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepr

3、e1iminarymateria1scircu1atedtostimu1atediscussionandcritica1comment.Theana1ysisandconc1usionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.Referencesinpub1icationstotheFinanceandEconomicsDiscussionSeries(otherthanacknow1edgement)shou1dbe

4、c1earedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.AreRea1AssetOwners1essAversetoInf1ation?EvidencefromConsumerSentimentsandInf1ationExpectationsWe thank OIivier Coibion, Rupal Kamdar, Michael Weber, our colleagues at the Federal Reserve and participants at the 2022 Midwest Macro Mee

5、ting Ibr helpful comments. The views presented in this paper are those of the authors and do not necessarily reflect those of the Federal Reserve Board or its staff.+Federal Reserve Board, Washington, DC 20551. E-mail: Geng.Lifrb.gov.Federal Reserve Board, Washington, DC 20551. E-mail: Nitish.R.Sinh

6、afrb.gov.Geng1itNitishSinha*Federa1ReserveBoardFedera1ReserveBoardJu1y21,2023AbstractUsingdatafromtheUniversityofMichiganSurveysofConsumers,wedocumentasignificantnegativeassociationbetweenconsumersentimentandinf1ationexpectations,contro11ingforprevai1inginf1ationintheeconomy.Wefurthershowthatconsume

7、rsentimentsofhomeownersandstockownersaremoresensitivetoexpectedinf1ationthanthoseofotherconsumers,adisparityatoddswiththenotionthatowningsuchassetsprovideshedgesagainstinf1ation.1everagingdatafromtheSurveyofConsumerExpectations,Wefindthreefactorsthathe1paccountforthisdifference.First,assetsowners,ou

8、t1ookforthebroadeconomyseemstobemoresensitivetotheirinf1ationexpectationsthanotherconsumers,out1ook.Second,assetsownersappeartoexpectincomegrowthto1agspendinggrowthbyawidermarginthanotherconsumersandthatmarginwidenswithinf1ationexpectations.Third,homeowners,inf1ationexpectationstendtobe1essvariab1ea

9、nd1essvo1ati1ethanthoseofrenters,whichmaya11owtheformertohaveagreaterbearingonconsumersentiments.Keywords:Inf1ationexpectations,consumersentiments,homeownership,stockownership,rationa1inattention,inf1ationtargetingJE1Codes:D84,E31,E52,E58,Gi1,G41,R211 IntroductionThenotionthatowningrea1assets(homesa

10、ndstocksforexamp1e)providesahedgeagainstinationdatesbackat1easttoIrvingFisher,andmodernformu1ationsareduetoBodie(1976)andFamaandSchwert(1977).Insofarasinf1ationiswide1ydis1iked(e.g.Shi11er,1997),rea1assetOwnerSmaybe1essaversetoinf1ationbecauseofthishedge.Whi1etheempirica1meritofrea1assetsasaninf1ati

11、onhedgehasbeenasubjectofactiveresearch,much1essisknownregardingtheattitudetowardinf1ationbyassetownershipstatus.Thispaperattemptstobridgethisgapinthe1iteratureandcomparethedis1ikeofinf1ationbetweenrea1assetownersandotherconsumers.Theresu1tswi11inturnshed1ightontheperceivedeffectivenessofrea1assetsas

12、aninf1ationhedge.Inaddition,homeownersandstockownersaccountforthemajorityofaggregateincomeandconsumption.Adeeperunderstandingofhowtheirsentimentsreacttoinf1ationexpectationsmayinformarangeofmonetaryandeconomicpo1icies.Ourana1ysisusestheUniversityofMichiganSurveysofConsumersandfo11owstheextant1iterat

13、ure(e.g.Mishkin,1978;Throop,1992)inusingconsumersentimentsasameasureofthedis1ikeofinf1ation.Inf1ationexperiencedbyconsumerscanvarysignificant1ybecauseoftheirdifferent1ocations,expenditurebaskets,andshoppingbehaviors.Focusingon1yontheeconomy-wideinf1ationindexwi11maskthisimportantheterogeneity.Recent

14、worksurveyedinWebereta1.(2023)high1ightshowexposuretodifferentpricesigna1smay1eadtodistinctinf1ationexpectations.For example, D,Acunto et al. (2021 a) document different price signal exposures by gender, and D,Acunto et al. (202lb) explore the link between consumers, grocery bundles and their percep

15、tion on inflation.Inaddition,Axe1rodeta1.(2018)showthatconsumers,inf1ationexpectations1arge1yref1ectperceptionsoftheinf1ationtheyexperienced.According1y,westudyhowconsumers,sentimentscomovewiththeirowninf1ationexpectations,aswe11aswiththeinf1ationintheeconomy.Webeginwithanana1ysisofthegenera1re1atio

16、nshipbetweeninf1ationexpectationsandconsumersentiment.Some recent papers also explored the relationship between inflation expectations and other aspects of consumer expectations (for example, Candia et al., 2020; Kamdar, 2019).Consistentwiththeconventiona1wisdomthatconsumersdis1ikeinf1ation,wefindapronouncednegativeassociationbetweenanindividua1inf1ationexpectationandhersentimentevenwhenaccountingfortheeffectoftheobservedcu