주가의 부의 효과(wealth effect)에 대한 실증분석 : 환율과 사치재 소비품목을 중심으로 = Empirical analysis of wealth effect with stock price fluctuations

다국어 초록 (Multilingual Abstract)

The standard textbook treatment of aggregate consumption holds that consumption depends on labor income and financial wealth. The marginal propensity to consume out of wealth is typically taken to be approximately 0.04-.0.05 per year. In this framework, the wealth effect of a stock marker change should have an important stimulative effect on consumption.
Although this view neglects some potentially important factors that might also affect consumption directly many economic forecasters embrace the textbook view. For Example, a recent Wall Street research report explains that "as long as asset price are rising, the risk of a significant drop in consumer spending is small" and notes that the rising number of stock holders has "made real economic activity more tried to the performance of financial assets than ever before"
So this paper presents another evidence on the association between share price movements and consumption. In summarizes the changes in consumption that have typically followed substantial changes in stock market value, and presents several tests directed at solving the leading indicator and wealth effect views.
This paper documents the relationship between the stock market and consumption in Korea using of Johansen's cointegration analysis followed by vector error correction(VECM) and impulse response functions.
I find clear evidence that changes in real exchange rate affect growth in consumer spending, and particularly large growth in outlays on consumer durables.
I investigate the effect of stock returns on the share of consumption that is devoted to luxury goods, I do not find any pronounced effects of stock price fluctuations on the luxury goods consumption. This evidence cases doubt on the short-run importance of wealth effects associated with stock price movement.
In conclusion, I don't find any evidence the relationship between stock market fluctuations and consumption.

목차 (Table of Contents)

• 목차
• 제1장 서론
• 제2장 부의 효과 (wealth effect)
• 제3장 주가의 부의 효과에 대한 기존의 연구
• 제1절 가계서베이 자료를 이용한 연구
• 제2절 패널 자료를 이용한 연구
• 제3절 거시경제변수를 이용한 계량분석적 연구
• 제4장 최근의 가계 소비, 소득 및 주가변동 추이
• 제1절 최근 가계의 소비동향
• 제2절 최근 가계의 소득 동향
• 제3절 최근 주식관련 지수동향
• 제5장 실증분석
• 제1절 추정에 이용된 자료
• 제2절 자료의 사전검정
• 1. Phillips-Perron 단위근 검정
• 2. Johansen(1988)의 공적분 검정
• 제3절 모형의 설정 및 실증분석 결과
• 1. 주식가격 변동이 사치품목 및 목적별 소비에 미치는 영향
• 제4절 오차수정모형(VECM)을 이용한 동태반응 분석
• 제6장 결론
• 부록