Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264760 
Year of Publication: 
2011
Series/Report no.: 
Working Paper No. 168
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
We estimate the effects of stock market volatility on the growth rates of durable consumption, non-durable consumption and invest- ment using post-war US data. Our results indicate that high levels of stock market volatility exert large adverse effects on the growth rates of investment and durable consumption, whereas the in uence on non-durable consumption growth is rather limited. The ordering of the magnitudes of the effects of stock market volatility across the three components of aggregate demand supports the idea that stock mar- ket volatility is closely related to uncertainty about future economic developments.
Subjects: 
uncertainty hypothesis
stock market volatility
consumption
investment
JEL: 
E44
E20
E30
Document Type: 
Working Paper

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