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Consumption Asymmetry and the Stock Market: Empirical Evidence

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  • Nicholas Apergis

    (University of Macedonia, Greece)

  • Stephen M. Miller

    (University of Connecticut and University of Nevada, Las Vegas)

Abstract

This paper examines whether U.S. stock-market wealth asymmetrically affects consumption. After identifying asymmetric behavior for consumption and stock market wealth, the results confirm that stock-market wealth asymmetrically affects real per capita consumption. Negative 'news' affects consumption more than positive 'news'.

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File URL: http://web2.uconn.edu/economics/working/2004-43r.pdf
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Bibliographic Info

Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2004-43.

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Length: 14 pages
Date of creation: Oct 2004
Date of revision: Apr 2006
Publication status: Published in Economics Letters, December 2006
Handle: RePEc:uct:uconnp:2004-43

Note: The authors express special thanks to Angelos Antzoulatos, Georgios Karras, and Plutarchos Sakellaris for their comments on an earlier draft. Nonetheless, the usual disclaimer applies.
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Keywords: Consumption; Stock market; Wealth effect; Asymmetry;

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References

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  1. Martha Starr-McCluer, 2002. "Stock Market Wealth and Consumer Spending," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 69-79, January.
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  17. Alexander Ludwig & Torsten Sløk, 2002. "The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries," IMF Working Papers 02/1, International Monetary Fund.
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Citations

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Cited by:
  1. Márquez, Elena & Martínez-Cañete, Ana R. & Pérez-Soba, Inés, 2013. "Wealth shocks, credit conditions and asymmetric consumption response: Empirical evidence for the UK," Economic Modelling, Elsevier, vol. 33(C), pages 357-366.
  2. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  3. Casadio, Paolo & Paradiso, Antonio, 2010. "Inflation and consumption in a long term perspective with level shift," MPRA Paper 25980, University Library of Munich, Germany.
  4. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2010. "House prices, collateral constraint, and the asymmetric effect on consumption," Journal of Housing Economics, Elsevier, vol. 19(1), pages 26-37, March.
  5. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201224, University of Pretoria, Department of Economics.
  6. Kitamura, Yoshihiro, 2009. "The current account and stock returns," Research in International Business and Finance, Elsevier, vol. 23(3), pages 302-321, September.
  7. Mansor H. Ibrahim & Muzafar Shah Habibullah, 2010. "Stock market and aggregate consumption asymmetry: evidence from Malaysia," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(1), pages 19-29, March.
  8. Mohsen Bahmani-oskooee & Hadise Fariditavana, 2014. "Do Exchange Rate Changes have Symmetric Effect on the S-Curve?," Economics Bulletin, AccessEcon, vol. 34(1), pages 164-173.
  9. Mauro Mastrogiacomo, 2006. "Testing consumers' asymmetric reaction to wealth changes," CPB Discussion Paper 53, CPB Netherlands Bureau for Economic Policy Analysis.
  10. Holmes, Mark J. & Shen, Xin, 2013. "A note on the average propensity to consume, wealth and threshold adjustment," Economic Modelling, Elsevier, vol. 35(C), pages 309-313.
  11. Ravn, Søren Hove, 2014. "Asymmetric monetary policy towards the stock market: A DSGE approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 24-41.

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