Asset price bubbles and economic welfare

Narayan, Paresh Kumar, Sharma, Susan and Phan, Dinh 2016, Asset price bubbles and economic welfare, International review of financial analysis, vol. 44, pp. 139-148, doi: 10.1016/j.irfa.2016.01.011.

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Title Asset price bubbles and economic welfare
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar
Sharma, SusanORCID iD for Sharma, Susan
Phan, Dinh
Journal name International review of financial analysis
Volume number 44
Start page 139
End page 148
Total pages 10
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-03
ISSN 1057-5219
Keyword(s) asset price bubbles
Summary 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.
Language eng
DOI 10.1016/j.irfa.2016.01.011
Field of Research 140305 Time-Series Analysis
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
1801 Law
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
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Document type: Journal Article
Collection: Faculty of Business and Law
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