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Consumption Asymmetry and the Stock Market: Further Evidence

Author

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  • Nicholas Apergis

    (University of Macedonia)

  • Stephen M. Miller

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

Abstract

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'.

Suggested Citation

  • Nicholas Apergis & Stephen M. Miller, 2004. "Consumption Asymmetry and the Stock Market: Further Evidence," Working papers 2004-19, University of Connecticut, Department of Economics.
    • 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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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mauro Mastrogiacomo, 2006. "Testing consumers' asymmetric reaction to wealth changes," CPB Discussion Paper 53.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    3. Robert-Paul Berben & Kerstin Bernoth & Mauro Mastrogiacomo, 2007. "Households' response to wealth changes: do gains or losses make a difference?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring the financial position of the household sector", Basel, 30-31 August 2006 - Volume 1, volume 25, pages 145-160, Bank for International Settlements.
    4. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
    5. Garry MacDonald & Andy Mullineux & Rudra Sensarma, 2011. "Asymmetric effects of interest rate changes: the role of the consumption-wealth channel," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1991-2001.
    6. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2015. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 176-196, August.

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    More about this item

    Keywords

    Consumption; Stock market; Wealth effect; Asymmetry;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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