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The Effects of Stock Returns on Consumption : Evidence from Nonlinearities(Vol.9 No.1)

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연구조정실 (Tel:82-2-759-5407) 2006.08.08 5551

The Effects of Stock Returns on Consumption : Evidence from Nonlinearities(Vol.9 No.1)

This study explains nonlinearities and cyclical movements of Korean stock returns and consumption using a STAR (Smooth Transition Autoregressive) model. According to nonlinear tests, both time series do not reject nonlinearities and show cyclical movements. Also a nonlinear Granger causality test finds that stock returns affect consumption. 

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