Economics at your fingertips  

Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach

Danvee Floro

International Review of Financial Analysis, 2019, vol. 62, issue C, 164-181

Abstract: This paper tests for the predictive ability of bubbles in housing markets on several proxies of macroeconomic performance using a panel of eighteen advanced countries. We use robust inference methods to address the bias resulting from the unknown persistence of our house price bubble measure. Evidence of predictability is analyzed by using a meta-analytic p-value combination approach for an overall joint significance, a method that is rarely applied in the panel predictive regression framework. The advantages are that heterogeneous panels are accommodated, and one can make inference on the individual unit for which the null hypothesis of no predictability is rejected. Our findings reveal the following: First, house price bubbles consistently predict an increase in government expenditures, even in the presence of structural change, different testing horizons and sample periods, as well as the inclusion of credit bubbles as as an additional predictor. Second, we find greater evidence that house price bubbles enhance macroeconomic performance in the identified countries for which evidence of predictability exists.

Keywords: House price bubbles; Hetergoneous panels; Panel predictive regression; Combinations of p-values; Meta-analysis (search for similar items in EconPapers)
JEL-codes: E31 E44 E52 E58 C23 C24 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-05-11
Handle: RePEc:eee:finana:v:62:y:2019:i:c:p:164-181