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

FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,AreRealAssetsOwnersLessAversetoInlation?EvidencefromConsumerSentimentsandInlationExpectationsGengLi;NitishRanjanSinha2023-058Li,Geng,andNitishRanjanSinha(2023).“AreRealAssetsOwnersLessAversetoIn-lation?EvidencefromConsumerSentimentsandInlationExpectations,”FinanceandReserveSystem,/10.17016/FEDS.2023.058.NOTE:StafworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstafortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.*AbstractUsingdatafromtheUniversityofMichiganSurveysofConsumers,wedocumesigniicantnegativeassociationbetweenconsumersentimentandinlationexpectations,controllingforprevailinginlationintheeconomy.Wefurthershowthatconsumersenti-mentsofhomeownersandstockownersaremoresensitivetoexpectedinlationthanthoseofotherconsumers,adisparityatoddswiththenotionthatowningsuchassetsprovideshedgesagainstinlation.LeveragingdatafromtheSurveyofConsumerExpectations,weindthreefactorsthathelpaccountforthisdiference.First,assetsowners’outlookforthebroadeconomyseemstobemoresensitivetotheirinlationexpectationsthanotheringgrowthbyawidermarginthanotherconsumersandthatmarginwidenswithinlationexpectations.Third,homeowners’inlationexpectationstendtobelessvariableandlessvolatilethanthoseofrenters,whichmayallowtheformertohaveagreaterbearingonrationalinattention,inlationtargeting*WethankOlivierCoibion,RupalKamdar,MichaelWeber,ourcolleaguesattheFederalReserveandpar-ticipantsatthe2022MidwestMacroMeetingforhelpfulcomments.TheviewspresentedinthispaperarethoseoftheauthorsanddonotnecessarilyrelectthoseoftheFederalReserveBoardoritsstaf.†FederalReserveBoard,Washington,DC20551.E-mai‡FederalReserveBoard,Washington,DC20551.E-mail:Nitish.R.Sinha@.11IntroductioninlationdatesbackatleasttoIrvingFisher,andmodernformulationsareduetoBodie(1976)regardingtheattitudetowardinlationbyassetownershipstatus.Thispaperattemptstobridgethisgapinthelitinlationhedge.Inaddition,homeownersanincomeandconsumption.Adeeperunderstandingofhowtheirofthedislikeofinlation.Inlationexperiencedbyconsumerscanvarysigniicantlybecauseofeconomy-wideinlationindexwillmaskthisimportantheterogeneity.ReceninWeberetal.(2022)highlighinlationexpectations.1Inaddition,Axelrodetal.(2018)showthatconsumers’inlationex-pectationslargelyrelectperceptionsoftheinlationtheyexperienced.Accordingly,westudyinlationintheeconomy.consumersentiment.2Consistentwiththeconventionalwisdomthatconsumersdislikeinlation,weindapronouncednegativeassociationbetweenanindividual’sinlationexpectationandhersentimentevenwhenaccountingfortheefectoftheobservedcurrentinlation.Inthesimple1Forexample,D’Acuntoetal.(2021a)documentdiferentpricesignalexposuresbygender,andD’Acuntoetal.(2021b)explorethelinkbetweenconsumers’grocerybundlesandtheirperceptiononinlation.2Somerecentpapersalsoexploredtherelationshipbetweeninlationexpectationsandotheraspectsofcon-sumerexpectations(forexample,Candiaetal.,2020;Kamdar,2019).211 ICSt=α-3.68***Eπ=α-2.06***πt =α-3.50***Eπ-0.13πt.3conditionsbroughtbyhighinlation.Moreover,CarvalhoandNechio(2014)showthatthecouldharbingertightermonetarypolicyasthecentralbankattemptstocurbinlation.Totheextentthatsuchpolicytendstodisproport(1997)describedasa“sortofsticky-wagemodel”—andthemarginwidenswiththeirinlationdiminishwithhigherinlationexpectations,theefectsareconsistentlymorepronouncedforlationexpectationsweighontheirsentiments,takingintoaccounttheself-perceivedreliability4rinlationexpectationshaveampeople’sattitudestowardsinlation.Inaseminalpaper,Shillrinlation.Consistentwithhisresults,wetoinlationtendtoexpecttheirincometogrowatalowerratethaninlation(andexpensestoatafasterratethanincome).OurresultsaresomrrDoepkeandSchneider(2006)documenttheredistributionefectofinlationthatshiftswealthfromixed-incomeassetholderstohomeownerswithmortgagedebt.Weindthatborrowerswhodislikeinlationmorethanrenters.ofersprotectionagainstinlation(seedentingstocks’potentialasahowsupply-anddemand-driveninlationmayhavediferentimplicationsonassetreturns,andFangetal.(2022)showthatstockshedgeagainstcoreinlationbutnotoverallinlation.Inaddition,Bhamraetal.(2023)introduceamodelthatpredictshigherexpectedinlationbeingshowsthathouseholdswithhigherinlationexpectationsaremorelikelytoinvestinmarkets.3Bycontrast,Vellekoop(2023)sho5f44DatafromtheConsumerExpenditureSurveysuggestthathomeownersaccountfornearly80percentoftotalconsumptionexpenditures.Dataonstockownersarehardtocomeby,butfromtheSurveyofConsumerFinances,weknowthatroughly50percentofU.S.householdsholdstocksandaccountforroughly60percentoffoodconsumption.6sponsesandtheirinlationexpectationsrelectedsomecommonunderlyingfatheunderlyingsentimentsinKamdar(2019).rr2DataDescription2.1UniversityofMichiganSurveysofConsumersconditions.Regardinginlationexpectations,Ang,Bakaert,andWei(2007)indthatthemeaninlationprojectionofthesurveyoutperformsstatisticaltimeseriesandtermstructureforecast(morethan600inrecentyears),themajoritofdata.Thelongsam7usedinestimatingtheICS,ofwhichtwoareaboutpersonalinancesituationsandoutlook,two1.PAGO.“Wouldyousaythatyou(andyourfamilylivingthere)arebetteroforworseofinanciallythanyouwereayearago?”2.PEXP.“Nowlookingahead–doyouthinkthatayearfromnowyou(andyourfamilylivingthere)willbebetterofinancially,orworseof,orjustaboutthesameasnow?”3.BUS12.“Nowturningtobusinessconditionsinthecountryasawhole—doyouthinkthatduringthenexttwelvemonthswe’llhavegoodtimesinancially,orbadtimes,orwhat?”4.BUS5.“Lookingahead,whichwouldyousayismorelikely—thatinthecountryasawholewe’llhavecontinuousgoodtimesduringthenextiveyearsorso,orthatwewillhaveperiodsofwidespreadunemploymentordepression,orwhat?”5.DUR.“Aboutthebigthingspeoplebuyfortheirhomes–suchasfurniture,arefrigerator,stove,television,andthingslikethat,generallyspeaking,doyouthinknowisagoodorbadtimeforpeopletobuymajorhouseholditems?”Speciically,PAGOandDURareusedtoconstructtheindexofcurrenteconomicconditi(ICC),whereasPEXP,BUS12,andBUS5areingredientsoftheindexofconsumerexpecta-tions(ICE).TheheadlineICScombinestheICCandtheICE.5Inaddition,thesurveycollectsinformationonone-andive-year-aheadinlationexpecta-rtactedagaininsixmonths,oferingashortlongitudinalstructurethatallowforcontrollingforindividualixedefects.2.2SurveyofConsumerExpectations5SeeLudvigson(2004)foradetaileddiscussionontheconstructionoftheMichiganICS.8widerangeofdataonconsumerexpectatiRegardinginlationexpectations,besidesthestandardquestionontheinlationrate,thevaluesofinlation,fromwhichaparametricdensityfunctionisderived,thevarianceofwhichillustratesthedegreeofuncertaintyconsumershaveoverthefutureinlationoutlook.caninferhowmuchindividualinlaSCEdatanotonlyprovidecentraltendencyestimatesofinlationexpectations,butalsotheirtothoseconsumerswithvalidinlation,incomegrowth,andspendinggrowthexpectations,andfAccordingly,ouranalysisusesobservationswithinlationexpectationInaddition,igure1plotsthestandarddeviationsofthemonthlycross-consumerdistribu-6TheSCEaddedaive-yearaheadinlationexpectationamidheightenedinlationin2022,butthesampleiscurrentlytooshortforouranalysis.9f3InlationExpectationsandConsumerSentimentsSentimenti=α+βEπi+γπ+θZi+Agei+Year+Month+εi,(1)3.1Thebaselineresults7Throughoutthepaper,wereportstandarderrorsclusteredattheyear-monthlevel.Thestandarderrorestimatesarenotparticularlysensitivetothelevelofclustering.153.2Decomposinginlationexpectations1t一ttis一Sentimenti=α-3.18***Eπt-1.30***resb+controls,Sentimenti=α-1.22***π+12-1.22***resf+controls.3.3Subperiodanalysis3.4Anonlinearrelationship8SCAinlationexpectationstakeintegervalues.Thesebinsareconstructedas<-5%,[-5%,-1%],1%,2%,4WhoseSentimentsAreMoreSensitivetoInlationEx-pectations?4.1Theroleofassetownership9Sentimenti=α+β1Eπi+β2Eπi根Homeowneri(Stockowneri)(4)+θZi+Agei+Year+Month+εi,2usecoarserbinsinthenegativeterritory.Numberofconsumersgenerallydiminisheswiththelevelofinlationexpectation,with10%beinganexceptionlikelybecauseofbundling.9Thehomeownershipandstockownershipdataareavailablefromthe1990s.Inaddition,tokeepthemodelparsimonious,wedonotincludeobservedinlationasacontrolinthebaselinemodel.Includingitdoesnotqualitativelychangetheresults.4.2Thisisarobustrelationship10 10Becauseoftheavailabilityofhomeownershipandstockownershipdata,thesamplesiz2ΔICSi=α+β1ΔEπi+β2ΔEπi根Homeowneri(Stockowneri)(5)+ΔZi+Agei+Year+Month+εi,4.3HavingamortgagedoesnotlowerthesensitivityfSentimenti=α-1.707***Eπi-0.673*EπiRefii+1.823Refi+controls.5FactorsThatLeadtoDiferentLevelsofSentimentSensitivity5.1ThisisnotmerelyaselectionefectSentimenti=α+β1Eπi+β2Eπ根Buyeri+θZi+Agei+Year+Month+εi,5.2Thisisnotonlydrivenbyage,education,andincomediferences11TheSCAasks“Whatdoyouthinkthechancesarethat(whenyouretire,)yourincomefromSocialSecurityandjobpensionswillbeadequatetomaintainyourlivingstandards?”(PSSA)5.3ThisisnotanassetreturnefectLocalindi-13As13TheSCAaskshomeowners“Byaboutwhatpercentdoyouexpectpricesofhomeslikeyoursinyocommunitytogo(up/down),onaverage,overthenext12months?”5.4Viewsofthebroadeconomyfff5.5HouseholdspendingandincomegrowthEΔC%i,t—EΔY%i,t=α+β1Eπi,t+β2Eπi,t根Homeowneri+θZi+Agei+Yeart+Montht+εi,t,finHajdinietal.(2018),whouseadiferentsurveyandestimatethattherateofpas5.6The(self-perceived)reliabilityofinlationexpectationsWenowexplorewhetherinlationexpectationsofhomeownersandrlevelsofuncertaintyinagivenmonthandgreaterdynFermandetal.(2018),weusethedistributionvarianceandtheinner-quartilerange(75th-25th)diferencebetweentheexpectedinlationrateandthemeanofderived-inlationexpectationasviewontheinlationoutlookoraskeweddistributionoffutureinlation.Regardingthesecondpossibility,usingthemodalexpectationinsteadofthedistributionmeanyieldsqualitativelysimilarresults.abilityoftheirinlationexpectations.Asshownintable12,ourestimatesconsistentlyindicatehemaximum–minimumdiferenceofinlationexpectationsreportedbythesamecorsigniicantextent.Wethenshowthatthemoresubduedvariabilityininlationexpectationsofhomeownersinancialconcepts(probabideineaconsumerashavinghighinancialliteracyiftheindividualhasallivecorrectanswersnotqualitativelychangeourresults.Whilethehigh-literacyindicatorisapotentpredictorforinlationexpectationvariability,homeownerscontinuetohavesigniicantlylowerintra-andinter-temporalvariationsintheirexpectations.ffeconomicexpectations,includinginlationexpectoftheirownexpectationsandletthemweighontheirsentimentstodiferentextentaccordingly.6ConcludingRemarksoutlook.Forexample,homeownersappeartoexpecttheirincomegrowthtodriftfurtherbehindexpendituregrowthwithhigherinlationexpectations.Moreover,inlationexpectationsgivenAnimportantcaveataboutinterpretingourresultsisthatbothsentimentsandinlationex-acausalrelationshipinthiscontext.Inaddition,ourworkshouldoinunderstandinghowinlationexpectationsmayinluencesentimentsandconidencediferentlyReferencesAdelino,Manuel,AntoinetteSchoar,andFelipeSeverino,“PerceptionofhousepriceAhn,HieJoo,ShihanXie,andChoongryulYang,“EfectsofMonetaryPolicyonHouse-Axelrod,Sandor,DavidLebow,andEkaterinaPeneva,“PerceptionsandExpectationsBarsky,RobertBandEricRSims,“Information,animalspirits,andthemeaningofBernanke,Ben,“Information,animalspirits,andthemeaningofinnovationsinconsumerBhamra,Harjoat,ChristianDorion,AlexandreJeanneret,andMichaelWeber,“HighInlation:LowDefaultRiskandLowEquityValuation,”ReviewofFinancialStudies,Bodie,Zvi,“CommonStocksasaHedgeagainstInlation,”JCandia,Bernado,OlivierCoibion,andYuriyGorodnichenko,“CommunicationandCarvalho,CarlosandFernandaNechio,“Dopeopleunderstandmonetarypolicy?,”Jour-Cieslak,AnnaandCarolinPlueger,“InlationandAssetReturns,”Workingpaper,2023.Coibion,Olivier,DimitrisGeorgarakos,YuriyGorodnichenko,andMaartenvanRooij,“HowDoesConsumptionRespondtoNewsaboutInlation?FieldEvidencefromaRandomizedControlTrial,”AmericanEconomicJournal:Macroeconomics,July2023,15 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andMirkoWiederhold,“InlationExpectationsandChoicesofHouseholds,”WorkingWeber,Michael,FrancescoD’Acunto,YuriyGorodnichenko,andOlivierCoibion,“TheSubjectiveInlationExpectationsofHouseholdsandFirms:Measurement,Determi-nants,andImplications,”JournalofEconomicPerspectives,2022,36(3),157–184.Yang,Qingyuan,“InlationExpectationsandHouseholdsPortfolioChoice,”AvailableatSSRN4137431,2022.Figure1:DispersionofInlationExpectationsandConsumerSentiments86420One-yearinflationexp.(PX1)Consumersentiment(ICS)4543413937353331292725Jan-93Jan-96Jan-99Jan-02Jan-05Jan-08Jan-11Jan-14Jan-17Jan-20Jan-23Note:Standarddeviationsofmonthlysampleofone-yearinlationexpectations(PX1)andOne-yearinflationexpectationsFive-yearinflationexpectations8400Five-yearaverageinflation0One-yearexpectationswholesampleFive-yearexpectationsWholesample05-15-25-35One-yearexpectations1992-20112013-2022Five-yearexpectations1992-20112013-202219931998200320081993199820032008201320182022-0.3-0.6-0.9-1.2-1.5Homeowners,one-yearexpectationsHomeowners,five-yearexpectations00Stockowners,one-yearexpectationsStockowners,five-yearexpectations2Table1:SummaryStatisticsUniversityofMichiganFederalReserveBankofNewYorkSurveysofConsumersSurveysofConsumerExpectationsJan.1978–Jun.2022Jun.2013–Jun.2022MeanMedianStd.Dev.MeanMedianStd.Dev.(1)(2)(3)(4)(5)(6)InationexpectationsEπ1(%)4.123.004.834.974.006.82MeanofEπ1Dist.(%)4.193.005.49VarianceofEπ1Dist.20.693.3143.17Eπ5(%)3.673.003.83ConsumersentimentindexesOverallsentiment(ICS)84.790.838.9Expectations(ICE)77.174.945.9Currentconditions(ICC)96.6115.548.7Age51.1Realincome(2021$)87,58868,00385,82362,953Assetsownershipanddemographics(%)HomeownerStockowner61.1White(%)82.085.5Male(%)46.251.3Married(%)61.463.5Belowhighschool(%)3.0Highschool(%)28.631.6Somecollege(%)24.331.1College(%)35.534.3Note:TheUniversityofMichiganSurveysofConsumerssamplecoversJanuary1978–December2022.Theive-yearinlationexpectationsmeasureEπ5began1980,butonaconsistentmonthlybasisonlyafter1990.Thehomeandstockownershipdatabegan1990and1997andwerecollectedonaconsistentmonthlybasisafter1993and1999,respectively.TheFederalReserveBankSurveyofConsumerExpectationssamplecoversJune2013–June2022.MeanandvarianceofEπ1Dist.referstothestatisticsofthesurveystaf-imputedbeta-distributionofexpectedinlationusingtheself-reportedprobabilityassociatedwitheachscenarioofexpectedinlation.Table2:InlationExpectationsandConsumerSentimeone-yearinlationexpectationsive-yearinlationexpectationsICSICEICCICSICEICC(1)(2)(3)(4)(5)(6)(7)