国际清算银行-通货膨胀对家庭资产负债表的异质性影响（英）-2023.12_市场营销策划_重点报告20.docx

OBISBISWorkingPapersNo1152TheHeterogeneousImpactOfInfIationonHouseholds7BalanceSheetsbyClodomiroFerreira,JoseMiguelLeiva,GaloNuho,AlvaroOrtiz,TomasaRodrigo,andSireniaVazquezMonetaryandEconomicDepartmentDecember2023JELclassification:G51,D31,E31Keywords:inflationinequality,netnominalpositions,nominalwagerigiditiesBISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS.ThispublicationisavailableontheBISwebsite(www.bis.org).©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISSN1020-0959(print)ISSN1682-7678(online)TheHeterogeneousImpactofInflationonHouseholds7BalanceSheetsWe are especially grateful to Klaus Adamz Riccardo Cioffiz Cesaire Mehz Gonzalo Paz-Pardo, Anna Rogantini-Piccoz and GilIes Saint-Paul for their suggestions/ as well as participants at several seminars and conferences. The opinions and analysis are the responsibility of the authors, and therefore, do not necessarily coincide with those of BBVA, Banco de Espana, the BIS or the Eurosystem. All errors are our own.ClodomiroFerreira2,JoseMiguelLeivaSee Ross Sorkin (2022).,GaloNuno2z3,4,AlvaroOrtiz1,TomasaRodrigo1landSireniaVazquez11BBVAResearch2BancodeEspana3BIS4CEMFIDecember2023AbstractWeidentifyandstudyanalyticallythreekeychannelsthatshapehowinflationaffectswealthinequality:(i)thetraditionalwealth(Fisher)channelthroughwhichinflationredistributesfromlenderstoborrowers;(ii)anincomechannelthroughwhichinflationreducestherealvalueofstickywagesandbenefits;and(iii)arelativeconsumptionchannelthroughwhichheterogeneousincreasesinthepriceofdifferentgoodsaffectpeopledifferentlydependingontheirconsumptionbaskets.Wethenquantifythesechannelsduringthe2021inflationsurgeinSpainusingdetailedandhigh-frequencyclient-leveldatafromoneofthemaincommercialbanks.Theunexpectednatureandtemporaryperceptionoftheinflationshockinthisparticularperiodcloselymapsontotheassumptionsbehindourtheoreticaldecomposition.Resultsshowthatthewealthandincomechannelsareoneorderofmagnitudelargerthantheconsumptionchannel.Middle-agedindividualswerelargelyunaffectedbyinflation,whileolderonessufferedthemost.Wefindsimilarresultswhenusingrepresentativesurveysonhouseholdszwealth,income,andconsumption.Keyzuords:inflationinequality,netnominalpositions,nominalwagerigidities.JELclassification:G51,D31,E31.1 IntroductionBenBemanke,formerChairmanofFederalReserve,statedthatzzThedifferencebetweeninflationandunemploymentisthatinflationaffectsjusteverybody.Inflationhasasocial-widekindofimpact."IWhileinflationmayaffecteveryone,itdoesnotaffecteveryoneinthesameway.Differencesinwealthcomposition,salaryorconsumptionpatternsmayleadtoquitedifferentoutcomesfordifferentindividuals.Theaimofthispaperistocastsomelightonthedifferentchannelsthroughwhichinflationaffectswealthinequality.Thepaperleveragestheunexpectednatureofthe2021surgeinaggregateinflationinSpain(andtheEuro-Areamorebroadly),aswellasthebroadperceptionofitsshort-liveddynamics,inordertoanalyticallycharacterizeshowashocktoinflationimpactsaperson'swealthintheshortrun.Wederiveananalyticalexpressiondecomposingtheimpactofinflationonindividualwealthintothreedifferentchannels,inthespiritofthesufficientstatisticsapproachofAuclert(2019).Tothisend,weconsiderasurpriseone-offincreaseingdsandservices'prices,whichisheterogeneousacrosssectorsbutdoesnottriggeraresponseofassetpricesorinterestratesonimpact.First,thezzwealth(Fisher)channel“captureshowinflationredistributesrealwealthfromlenderstoborrowersbychangingthevalueofnominalassetsandliabilities.ThischannelhasalreadybeenstudiedbyDoepkeandSchncider(2006),Mehetal.(2010)AdamandZhu(2016),Auclert(2019),Caoetal.(2021)orPallotti(2022).Theimpactofinflationonwealthisfullycapturedbythenetnominalposition(NNP),definedasthedifferencebetweennominalassetsandnominalliabilities.Second,inflationreducestherealvalueofnominalincome,inwhatwecallthezyincomechannel,z.Nominalincomesourcessuchaswages,pensions,orunemploymentbenefitsareoftensticky.WagesinSpain,forinstance,aretypicallyupdatedatannualfrequencyorevenlowerthanthat.1This is in line with the evidence presented by Bihan et al. (2012) and Barattieri et al. (2014)z who find that the pattern of nominal wage changes appears to be in line with the staggered contracting model of Taylor (1980), with the hazard for wage contracts peaking at 12 months both in France and the US.Whileinflationreducestherealincomeandwealthofallagentsinthesameproportionrelativetotheirpre-shocklevels,theabsoluteimpactwillnaturallybehigherthehigherthenominalincomeis.Third,inflationdoesnottypicallyaffectallpriceshomogeneously.Thepricesofsomegoodsorservicesrisemorethanthoseofothers.GiventhatindividualsconsumedifferentbasketsOfgoodsands