Choudhry, Taufiq (2003) Stock market volatility and the US consumer expenditures. Journal of Macroeconomics, 25 (3), 367-385. (doi:10.1016/S0164-0704(03)00043-0).
Abstract
This paper provides an empirical investigation of effects of stock market volatility on the US consumer expenditure. Four different series of consumer expenditures are investigated; total real expenditure, real expenditure on durable goods, real expenditure on non-durable goods and real expenditure on services. The empirical investigation is conducted by means of the Johansen multivariate cointegration procedure and the error correction method. Results in all four cases indicate a long-run relationship between the consumer expenditure and its determinants (including stock market volatility). Error corrections results indicate causality between the consumer expenditure and its determinants. There is evidence of causality from stock market volatility to consumer expenditure but not the other way around. This is true in all four cases.
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