Consumption asymmetry and the stock market: Empirical evidence
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'.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Martha Starr-McCluer, 1998.
"Stock market wealth and consumer spending,"
Finance and Economics Discussion Series
1998-20, Board of Governors of the Federal Reserve System (U.S.).
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Perron, Pierre & Vogelsang, Timothy J, 1992.
"Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 301-320, July.
- Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
- Poterba, J.M. & Samwick, A.A., 1996.
"Stock Ownership Patterns, Stock Market Fluctuations, and Consumption,"
96-2, Massachusetts Institute of Technology (MIT), Department of Economics.
- James M. Poterba & Andrew A. Samwick, 1995. "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 295-372.
- Shea, John, 1995.
"Myopia, Liquidity Constraints, and Aggregate Consumption: A Simple Test,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 27(3), pages 798-805, August.
- Shea, J., 1993. "Myopia, Liquidity Constraints, and Aggregate Consumption: A Simple Test," Working papers 9305, Wisconsin Madison - Social Systems.
- Speight, A E H & McMillan, D G, 1998. "Testing for Asymmetries in UK Macroeconomic Time Series," Scottish Journal of Political Economy, Scottish Economic Society, vol. 45(2), pages 158-170, May.
- Jonathan A. Parker, 2000.
"Spendthrift in America? On Two Decades of Decline in the U.S. Saving Rate,"
in: NBER Macroeconomics Annual 1999, Volume 14, pages 317-387
National Bureau of Economic Research, Inc.
- Jonathan A. Parker, 1999. "Spendthrift in America? On Two Decades of Decline in the U.S. Saving Rate," NBER Working Papers 7238, National Bureau of Economic Research, Inc.
- Christopher D. Carroll & Miles S. Kimball, 1995.
"On the concavity of the consumption function,"
Finance and Economics Discussion Series
95-10, Board of Governors of the Federal Reserve System (U.S.).
- James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
- Laurence Boone & Claude Giorno & Pete Richardson, 1998. "Stock Market Fluctuations and Consumption Behaviour: Some Recent Evidence," OECD Economics Department Working Papers 208, OECD Publishing.
- Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,"
Econometric Society, vol. 55(3), pages 703-708, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Yash P. Mehra, 2001. "The wealth effect in empirical life-cycle aggregate consumption equations," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 45-67.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Randall Morck & Andrei Shleifer & Robert W. Vishny, 1990. "The Stock Market and Investment: Is the Market a Sideshow?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 157-216.
- Christina D. Romer, 1990. "The Great Crash and the Onset of the Great Depression," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 597-624.
- Shirvani Hassan & Wilbrate Barry, 2000. "Does Consumption Respond More Strongly to Stock Market Declines Than to Increases?," International Economic Journal, Taylor & Francis Journals, vol. 14(3), pages 41-49.
- Alexander Ludwig & Torsten M Sloek, 2002. "The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries," IMF Working Papers 02/1, International Monetary Fund.
- Sichel, Daniel E, 1993.
"Business Cycle Asymmetry: A Deeper Look,"
Western Economic Association International, vol. 31(2), pages 224-236, April.
- Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers 85, Princeton, Department of Economics - Financial Research Center.
- Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:93:y:2006:i:3:p:337-342. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.