Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Friedman, Milton, 1988. "Money and the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 221-245, April.
- Mark Gertler & Simon Gilchrist, 1994.
"Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(2), pages 309-340.
- Mark Gertler & Simon Gilchrist, 1991. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," NBER Working Papers 3892, National Bureau of Economic Research, Inc.
- Gertler, M. & Gilchrist, S., 1992. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," Working Papers 92-08, C.V. Starr Center for Applied Economics, New York University.
- Gertler, M. & Gilchrist, S., 1993. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," Working Papers 93-02, C.V. Starr Center for Applied Economics, New York University.
- Mark Gertler & Simon Gilchrist, 1993. "Monetary policy, business cycles and the behavior of small manufacturing firms," Finance and Economics Discussion Series 93-4, Board of Governors of the Federal Reserve System (U.S.).
- Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 117-133.
- Lucas, Robert E., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 137-167, January.
- 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.).
- Ben S. Bernanke & Mark Gertler, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission,"
Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
- Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
- Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
- Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
- Campbell, John Y., 1999.
"Asset prices, consumption, and the business cycle,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 19, pages 1231-1303,
Elsevier.
- John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
- John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- Davis, Steven J. & Haltiwanger, John, 2001.
"Sectoral job creation and destruction responses to oil price changes,"
Journal of Monetary Economics, Elsevier, vol. 48(3), pages 465-512, December.
- Steven J. Davis & John Haltiwanger, 1999. "Sectoral Job Creation and Destruction Responses to Oil Price Changes," NBER Working Papers 7095, National Bureau of Economic Research, Inc.
- Hamilton, James D, 2001.
"A Parametric Approach to Flexible Nonlinear Inference,"
Econometrica, Econometric Society, vol. 69(3), pages 537-573, May.
- Hamilton, James D., 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series qt68s8157x, Department of Economics, UC San Diego.
- Hall, Robert E, 1988.
"Intertemporal Substitution in Consumption,"
Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-357, April.
- Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
- Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-335, July.
- Francis X. Diebold & Glenn D. Rudebusch, 1999. "Business Cycles: Durations, Dynamics, and Forecasting," Economics Books, Princeton University Press, edition 1, number 6636.
- Sydney C. Ludvigson & Charles Steindel, 1999.
"How important is the stock market effect on consumption?,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 5(Jul), pages 29-51.
- Sydney C. Ludvigson & Charles Steindel, 1998. "How important is the stock market effect on consumption?," Research Paper 9821, Federal Reserve Bank of New York.
- Hamilton, James D., 2003.
"What is an oil shock?,"
Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
- James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
- Bernanke, Ben & Gertler, Mark, 1989.
"Agency Costs, Net Worth, and Business Fluctuations,"
American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
- Bernanke, Ben & Gertler, Mark, 1988. "Agency Costs, Net Worth, And Business Fluctuations," SSRI Workshop Series 292693, University of Wisconsin-Madison, Social Systems Research Institute.
- Boldin Michael D., 1999. "Should Policy Makers Worry about Asymmetries in the Business Cycle?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-20, January.
- John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(1), pages 241-265.
- Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(2), pages 222-259, April.
- Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October.
- King, Robert G., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 169-172, January.
- Nathan S. Balke & Stephen P.A. Brown & Mine K. Yucel, 2002.
"Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 27-52.
- Nathan S. Balke & Stephen P.A. Brown & Mine K. Yücel, 2002. "Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?," The Energy Journal, , vol. 23(3), pages 27-52, July.
- Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 1999. "Oil price shocks and the U.S. economy: where does the asymmetry originate?," Working Papers 9911, Federal Reserve Bank of Dallas.
- Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
- Mork, Knut Anton, 1989. "Oil and Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 740-744, June.
- James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
- N/A, 1996. "Events," Psychology and Developing Societies, , vol. 8(2), pages 287-288, September.
- Bresnahan, Timothy F & Ramey, Valerie A, 1993. "Segment Shifts and Capacity Utilization in the U.S. Automobile Industry," American Economic Review, American Economic Association, vol. 83(2), pages 213-218, May.
- Sakellaris, Plutarchos, 1997. "Irreversible Capital and the Stock Market Response to Shocks in Profitability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 351-379, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hamilton, James D., 2003.
"What is an oil shock?,"
Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
- James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
- Lescaroux, François, 2008. "Une revue interprétée des élasticités entre le PIB et le prix du pétrole," L'Actualité Economique, Société Canadienne de Science Economique, vol. 84(4), pages 415-447, Décembre.
- Odusami, Babatunde Olatunji, 2010. "To consume or not: How oil prices affect the comovement of consumption and aggregate wealth," Energy Economics, Elsevier, vol. 32(4), pages 857-867, July.
- Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Lutz Kilian, 2008.
"The Economic Effects of Energy Price Shocks,"
Journal of Economic Literature, American Economic Association, vol. 46(4), pages 871-909, December.
- Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018.
"Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?,"
QBS Working Paper Series
2018/03, Queen's University Belfast, Queen's Business School.
- Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance 1816, University of St. Gallen, School of Finance.
- Virjinia Jeliazkova, 2010. "Effects of the Dynamics of the Oil Price – Theoretical and Empirical Bases," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 127-165.
- Rebeca Jiménez-Rodríguez, 2015. "Oil price shocks and stock markets: testing for non-linearity," Empirical Economics, Springer, vol. 48(3), pages 1079-1102, May.
- Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
- Awerbuch, Shimon & Sauter, Raphael, 2006.
"Exploiting the oil-GDP effect to support renewables deployment,"
Energy Policy, Elsevier, vol. 34(17), pages 2805-2819, November.
- Shimon Awerbuch & Raphael Sauter, 2005. "Exploiting the Oil-GDP Effect to Support Renewables Deployment," SPRU Working Paper Series 129, SPRU - Science Policy Research Unit, University of Sussex Business School.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Kilian, Lutz & Edelstein, Paul, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers.
- Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
- Sousa, Ricardo M., 2009.
"Wealth effects on consumption: evidence from the euro area,"
Working Paper Series
1050, European Central Bank.
- Ricardo M. Sousa, 2009. "Wealth Effetcs on Consumption: Evidence from the euro area," NIPE Working Papers 12/2009, NIPE - Universidade do Minho.
- Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
- Bunce, Alan & Carrillo-Maldonado, Paul, 2023. "Asymmetric effect of the oil price in the ecuadorian economy," Energy Economics, Elsevier, vol. 124(C).
- Sousa, Ricardo M., 2010.
"Consumption, (dis)aggregate wealth, and asset returns,"
Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
- Ricardo M. Sousa, 2005. "Consumption, (Dis) Aggregate Wealth and Asset Returns," NIPE Working Papers 9/2005, NIPE - Universidade do Minho.
- Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
More about this item
Keywords
consumption; stock wealth; asymmetric effect; structural change;All these keywords.
JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2004-10-30 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:feam04:690. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/essssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.