The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects
研究股票价格、波动性与消费者情绪之间的关系，基于一个允许变量间同期关系且混合权重具有阈值结构的新多元模型，发现消费者情绪显著影响S&P 500价格-股息比和市场波动。
ABSTRACT We consider the relationship between stock prices, volatility and consumer sentiment. The analysis is based on a new multivariate model defined as a time‐varying mixture of dynamic models in which contemporaneous relationships among variables are allowed and the mixing weights have a threshold‐type structure. We discuss issues related to the stability of the model and the estimation of its parameters. Our empirical results show that consumer sentiment significantly affects the S&P 500 price–dividend ratio and market volatility in at least one of the model's two regimes, which are associated with endogenously determined low and high consumer sentiment.