Macroeconomic environment, money demand and portfolio choice

Abraham Lioui, Andrea Tarelli

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

2 Citazioni (Scopus)


We solve the portfolio choice problem of a long-term investor holding real balances, a stock index, multiple bonds and a remunerated money market account. We relate the factors driving the term structure and the equity premium to macroeconomic variables. When expected inflation decreases, the investor allocates more to the stock market, long-term bonds and unrewarded real balances, reducing short-maturity deposits. The optimal money demand: i) entails time variations in risk aversion; ii) reduces bond market positions when the importance of money in preferences increases, with little impact on the stock market participation; and iii) has quantitative implications in terms of horizon effects.
Lingua originaleEnglish
pagine (da-a)357-374
Numero di pagine18
RivistaEuropean Journal of Operational Research
Stato di pubblicazionePubblicato - 2019


  • Finance
  • Money demand
  • Portfolio choice
  • Term structure of interest rates


Entra nei temi di ricerca di 'Macroeconomic environment, money demand and portfolio choice'. Insieme formano una fingerprint unica.

Cita questo