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Stock Market Volatility, Consumption and Investment; An Evaluation of the Uncertainty Hypothesis Using Post-War U.S. Data

We estimate the effects of stock market volatility on the growth rates of durable consumption, non-durable consumption and invest- ment using post-war US data. Our results indicate that high levels of stock market volatility exert large adverse effects on the growth rates of investment and durable consumption, whereas the in uence on non-durable consumption growth is rather limited. The ordering of the magnitudes of the effects of stock market volatility across the three components of aggregate demand supports the idea that stock mar- ket volatility is closely related to uncertainty about future economic developments.

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File URL: https://www.oenb.at/dms/oenb/Publikationen/Volkswirtschaft/Working-Papers/2011/Working-Paper-168/fullversion/wp168_tcm16-232941.pdf
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Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 168.

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Length: 43
Date of creation: 11 May 2011
Date of revision:
Handle: RePEc:onb:oenbwp:168
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