This paper investigates whether stock market wealth affects real consumption asymmetrically through a threshold adjustment model. The empirical findings for the US show that wealth produces an asymmetric effect on real consumption, with negative 'news' affecting consumption less than positive 'news.' Thus, policy makers may want to focus more attention on preventing asset 'bubbles' than on responding to negative asset shocks.
Apergis, Nicholas and Miller, Stephen M., "Consumption asymmetry and the stock market: New evidence through a threshold adjustment model" (2005). Economics Working Papers. Paper 200508.