Industry bubbles and the cross‐sectional variation of expected consumption growth

Javier Rojo‐Suárez, Ana Belén Alonso‐Conde and Rubén Lago‐Balsalobre

International Review of Finance, 2021, vol. 21, issue 3, 1047-1055

Abstract: We study the relationship between the domestic consumption growth and industry bubbles, under the assumption that, at a global level, the bubbles created by productive countries totally or partially offset the bubbles created by unproductive countries. Using a methodology based on a time‐varying parameter vector autoregression, we define the expected consumption growth as a function of the exposure to bubbly episodes and the price of bubbles, among other variables. We test the model for nine European countries. Our results show that the variation of construction and technology bubbles has a strong explanatory power for the domestic consumption growth.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/irfi.12301

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:21:y:2021:i:3:p:1047-1055

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1369-412X

Access Statistics for this article

International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman

More articles in International Review of Finance from International Review of Finance Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().