주가지수 변동성과 소비 변동성의 선도-지연 관계

This paper examines the relationship between stock price index volatility and consumption volatility. There are several explanations for the relationship between stock market prices and consumption. First, wealth effect means that an increase in stock market prices raises households’ wealth. Second, liquidity constraint effect means that an increase in stock market prices increases the value of the collateral. Third, stock price has the role of the leading indicator. This study uses KOSPI as a proxy to stock market prices and WRSI(Wholesale and Retail Sale Index) as a proxy to consumption. Earlier studies on this subject investigate mainly on the relationship between stock market prices in level and consumption in level. The uniqueness of this study arises from investigating the relationship between stock price index volatility and consumption volatility. Monthly data of KOSPI and WRSI are used in this paper. To examine the lead-lag relationship between KOSPI volatility and WRSI volatility, Granger causality test is conducted. Empirical evidence from Granger causality test indicates there is unidirectional Granger causality from differenced KOSPI observed volatility to differenced WRSI observed volatility. This suggests that stock market volatility precedes consumption volatility. The distinguishing features from earlier papers are as follows. In the case of permanent volatility, namely, the trend component of observed volatility, there is one-way Granger causality from the KOSPI permanent volatility to WRSI permanent volatility. In the case of transitory volatility caused by noise trading, the cyclical component of KOSPI volatility precedes that of WRSI. These findings of this paper suggest that uncertainty of stock market may influence the uncertainty of consumption. That is, stabilizing stock market is important for consumer sentiment.