Consumption and stock markets in Greater China
This study investigates the causal links between stock market performance and consumption for Greater China using a VECM framework. Bi-directional causality between stock prices and consumption is found for Hong Kong and Taiwan. This indicates that the previous studies may have overestimated the wealth effect of stock markets without taking account of the reverse causation from consumption to the stock markets. Only one-way causality running from consumption to stock prices has been established for Mainland China.
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Volume (Year): 11 (2004)
Issue (Month): 6 ()
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References listed on IDEAS
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- 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, .
- Flint Brayton & Peter A. Tinsley, 1996. "A guide to FRB/US: a macroeconomic model of the United States," Finance and Economics Discussion Series 96-42, Board of Governors of the Federal Reserve System (U.S.).
- Martha Starr-McCluer, 2002.
"Stock Market Wealth and Consumer Spending,"
Western Economic Association International, vol. 40(1), pages 69-79, January.
- 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.).
- Karen E. Dynan & Dean M. Maki, 2001. "Does stock market wealth matter for consumption?," Finance and Economics Discussion Series 2001-23, Board of Governors of the Federal Reserve System (U.S.).
- Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September. Full references (including those not matched with items on IDEAS)
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