Asset price bubbles and economic welfare

Paresh Kumar Narayan, Susan Sunila Sharma, Dinh Hoang Bach Phan

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

Abstract

In this paper, we provide the first empirical evidence on whether or not asset price bubbles predict economic welfare. Using a time-series model, we show that asset price bubbles both positively and negatively predict economic welfare, although the evidence that asset price bubbles are welfare-enhancing is much stronger. These results are also robust to out-of-sample forecasting as well as to a predictive regression model augmented by structural break dates.

Original languageEnglish
Pages (from-to)139-148
Number of pages10
JournalInternational Review of Financial Analysis
Volume44
DOIs
Publication statusPublished - Mar 2016
Externally publishedYes

Keywords

  • Asset price bubbles
  • E21
  • E27
  • Predictability
  • Welfare

Cite this