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Inflation and Portfolio Choice

W. R. M. Perraudin
Staff Papers (International Monetary Fund)
Vol. 34, No. 4 (Dec., 1987), pp. 739-759
DOI: 10.2307/3867196
Stable URL: http://www.jstor.org/stable/3867196
Page Count: 21
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Inflation and Portfolio Choice
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Abstract

To examine the impact of inflation on portfolio choice, this paper estimates a complete system of asset and liability demands for the U.K. nonbank private sector from 1976 through 1985. Among other results, it is found that higher inflation induces investors to take on more debt and to invest the proceeds in financial assets. In general, the pattern of substitution implied by the estimates seems intuitive and reasonable.

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