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首页> 外文期刊>International Review of Financial Analysis >Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach
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Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach

机译：测试房价泡沫对宏观经济表现的预测能力：一种荟萃分析方法

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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.
机译：本文使用一个由18个先进国家组成的小组来检验房地产市场泡沫对几种宏观经济表现的预测能力。我们使用鲁棒的推理方法来解决由于房价泡沫措施的未知持续性而导致的偏差。可预测性的证据是通过使用荟萃分析的p值组合方法来分析整体联合重要性的，该方法很少在面板预测回归框架中应用。优点是可以容纳不同种类的面板，并且可以对单个单元进行推断，无法预测其不可预测性的虚假假设。我们的发现揭示了以下内容：首先，即使存在结构性变化，不同的测试范围和样本期，以及将信贷泡沫作为其他预测因素，房价泡沫始终可以预测政府支出的增长。其次，我们发现更多证据表明，在存在可预测性的国家中，房价泡沫可提高宏观经济表现。

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