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Consumption Asymmetry and the Stock Market: Further Evidence

  • Nicholas Apergis

    (University of Macedonia)

  • Stephen M. Miller

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

This paper investigates the presence of asymmetric effects of stock returns on real consumption in the US. After identifying the asymmetric behavior for consumption as well as the wealth effect, the results confirm that stock returns have an asymmetric effect on real consumption, with negative 'news' affecting consumption more than positive 'news'.

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File URL: http://web2.uconn.edu/economics/working/2004-19.pdf
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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2004-19.

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Length: 13 pages
Date of creation: Apr 2004
Date of revision:
Handle: RePEc:uct:uconnp:2004-19
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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  19. 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 301-20, July.
  20. Horioka, Charles Yuji, 1996. "Capital Gains in Japan: Their Magnitude and Impact on Consumption," Economic Journal, Royal Economic Society, vol. 106(436), pages 560-77, May.
  21. Karras, Georgios, 1996. "Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or "pushing on a string"?," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 605-619.
  22. 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.
  23. Alan Carruth & Andrew Dickerson, 2003. "An asymmetric error correction model of UK consumer spending," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 619-630.
  24. Morris A. Davis & Michael G. Palumbo, 2001. "A primer on the economics and time series econometrics of wealth effects," Finance and Economics Discussion Series 2001-09, Board of Governors of the Federal Reserve System (U.S.).
  25. Edison, Hali & Slok, Torsten, 2002. "Stock Market Wealth Effects and the New Economy: A Cross-Country Study," International Finance, Wiley Blackwell, vol. 5(1), pages 1-22, Spring.
  26. Laurence Boone & Claude Giorno & Pete Richardson, 1998. "Stock Market Fluctuations and Consumption Behaviour: Some Recent Evidence," OECD Economics Department Working Papers 208, OECD Publishing.
  27. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
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