TY - JOUR
T1 - Asset price bubbles and economic welfare
AU - Narayan, Paresh Kumar
AU - Sharma, Susan Sunila
AU - Phan, Dinh Hoang Bach
N1 - Funding Information:
This project was supported by funding provided by the Deakin University's Strategic Research Centre Scheme.
Publisher Copyright:
© 2016 Elsevier Inc.
Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 2016/3
Y1 - 2016/3
N2 - 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.
AB - 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.
KW - Asset price bubbles
KW - E21
KW - E27
KW - Predictability
KW - Welfare
UR - http://www.scopus.com/inward/record.url?scp=84958213052&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2016.01.011
DO - 10.1016/j.irfa.2016.01.011
M3 - Article
AN - SCOPUS:84958213052
VL - 44
SP - 139
EP - 148
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
ER -