Asset price bubbles and economic welfare

Paresh Narayan (), Susan Sharma and Dinh Phan ()

International Review of Financial Analysis, 2016, vol. 44, issue C, 139-148

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.

Keywords: Asset price bubbles; Welfare; Predictability (search for similar items in EconPapers)
JEL-codes: E21 E27 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:44:y:2016:i:c:p:139-148

DOI: 10.1016/j.irfa.2016.01.011

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