The real-time predictive content of asset price bubbles for macro forecasts

Benjamin Beckers

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: In light of the recent large swings in stock and housing prices accompanied by ample global liquidity, the role of monetary policy in the build-up of asset price bubbles has been questioned. This paper will contribute to the debate whether central banks can and should stronger "lean against the wind" of emerging bubbles. Against this background, the paper will reevaluate if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble emergences and collapses. Here, the paper suggests a combination approach of different bubble indicators to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper will then investigate if these indicators carry predictive content for inflation, output growth and recession events when the real-time availability of all variables is considered. It finds that a combination approach of asset price bubbles is well suited to detect the most common stock and house price bubbles in the U.S. and shows that this indicator can improve output forecasts, however, only when the real-time availability of real variables is respected.

JEL-codes: C53 E44 G12 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/112852/1/VfS_2015_pid_393.pdf (application/pdf)

Related works:
Working Paper: The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts (2015)
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:zbw:vfsc15:112852

Access Statistics for this paper

More papers in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().