نوسانات بازار سهام و مصارف مصرف کنندگان آمریکایی

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.

The traditional economic theory implies that household consumption depends upon wealth and on current and future income. According to Modigliani and Brumberg (1954)’s life-cycle hypothesis, the household plans its present and future consumption based on expected lifetime resources.1 The households lifetime resources include its current and future labour income, its current financial assets and its non-financial assets. Thus along with current and future income, the value of financial assets also influence current and future consumption. The life-cycle hypothesis implies that a decline in stock prices has a negative effect on current household consumption (Garner, 1990). A decline in stock prices reduces the financial wealth available to the household for consumption and bequest, forcing a reduction in planned consumption over the life cycle.2 According to Garner along with stocks the consumer wealth also includes money, government bonds, real estate and tangible assets. And, yet over time, stock market fluctuations account for much of the variation in household wealth because stock prices are so volatile. The effects of stock price on consumer expenditure as been well documented (see Garner, 1990; Romer, 1990; Poterba and Samwick, 1995; Shirvani and Wilbrattie, 2000). This paper investigates the effects of stock market volatility (uncertainty) on the US consumer expenditure. Shirvani and Wilbrattie (2000) claim that the frequency and severity of recent stock market declines provide grounds for concern that stock market volatility remains a significant potential source of instability to the real economy. Extreme stock market volatility may make economic agents temporarily uncertain about the level of future income (Romer, 1990). This uncertainty in turn causes consumers to postpone consumption or purchase of goods and services. To our knowledge no other study investigates the effects of stock market volatility on US consumer expenditure. Empirical investigation is conducted for real consumer expenditure on all goods and services, on durable goods only, on non-durables only and on services only. The empirical tests are conducted by means of multivariate Johansen cointegration procedure and error correction method.

This paper empirically investigates the effects of stock market volatility on the US consumption expenditure. The investigation is conducted by means of the Johansen multivariate cointegration method and error correction method using monthly data ranging from 1978 to 2000. Four different series of the consumption expenditure are studied; total real consumer expenditure, real expenditure on durable goods, real expenditure on non-durable goods and real expenditure on services. Along with stock market volatility, the consumption function employed also includes real income and consumer confidence index regarding the future of the economy as dependent variables. The conditional variance from the GARCH(1,1) model is applied as the stock market volatility. Cointegration results indicate a long-run equilibrium relationship between the consumption expenditure and its determinants (including stock market volatility). This is true for all four series of expenditures. Stock market volatility is found to have a significant (but small size) effect in all cases except services. Stock market volatility imposes a negative effect on the consumption of durable goods and a positive effect on non-durable goods and total expenditure. The error correction tests results indicate causality from all the expenditure determinants to all four series of consumer expenditure. Results seem to indicate a unidirectional causality from stock market volatility to consumer expenditures. This is true for all four series of consumer expenditures. Only consumer confidence index seem to impose an effect on stock market volatility. Results presented clearly show that stock market volatility imposes a significant effect on the US consumer expenditure of goods and services. The size and direction of the volatility effect depends upon the tangibility of the goods and services: durable goods, non-durable goods and services. Results presented also advocate further research in this field, maybe applying data from other countries and/or a different period of time.