The Interaction between the Stock Market and Consumption: A S tochastic Factor Model. Moawia Alghalith & Tracy Polius. Introduction. The relationship between the financial sector and the real sector has been the subject of great discussion in economics
The Interaction between the Stock Market and Consumption: AStochastic Factor Model
Moawia Alghalith & Tracy Polius
Developing country studies
is the augmentation of filtration
Where the value function V(.) is smooth and the utility function u(.) is bounded and strictly concave.
The partial impact of changes in the portfolio on
consumption can therefore be estimated.
- real private aggregate consumption
- the Jamaica Securities Exchange
- the treasury bill rate
- real gross domestic product
We compute volatility of the index the correlation
factor between GDP and the JMSE as follows;