Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 14, 2020 erstellt
Description:
By mapping households to US employers traded in the stock market and using daily spending data, we provide novel evidence of household spending response to employer-specific forward-looking volatility shocks. A 10 percent change in firm uncertainty leads households to change their average monthly spending over the next 6-months by -0.95 percent. This negative second-moment firm uncertainty effect is larger than the positive first-moment effect of firm stock returns. The employer-specific effect is robust to both industry- and aggregate-level volatility effects. The intensity of the response increases in the forecast horizon window, lasting nine months. The response is pronounced for low-liquidity households, and for households that work at firms that recently had low employee growth, high CAPM Beta, and low Tobin's Q. Lastly, household spending shows an asymmetric response to `good' and `bad' uncertainty