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Stock market volatility and the US consumer expenditures

Stock market volatility and the US consumer expenditures
Stock market volatility and the US consumer expenditures
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.
cointegration, volatility, unit roots, GARCH, causality
0164-0704
367-385
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728

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).

Record type: Article

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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More information

Published date: 2003
Keywords: cointegration, volatility, unit roots, GARCH, causality

Identifiers

Local EPrints ID: 37452
URI: https://eprints.soton.ac.uk/id/eprint/37452
ISSN: 0164-0704
PURE UUID: 3a4581a8-9e98-483c-bf21-f20782ec58b8

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Date deposited: 23 May 2006
Last modified: 17 Jul 2017 15:42

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Author: Taufiq Choudhry

University divisions

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