Based on an extension of the Gordon (1962) growth model we propose a simple approach to forecasting real growth, inflation and real exchange rate. The extension is rooted in introducing the Fisher (1930) and Euler equations, and in the open economy context, also the purchasing power parity (PPP)...

We analyze the effect of declining macro-economic risk to the country-wide cost of equity capital. Our empirical results indicate that the earnings capitalization rates derived from a standard equity valuation model increased especially in the EMU countries during the EMU convergence period....

Using recently developed modelling methodology of Economic Tracking Portfolios (ETP), we find that it is possible to forecast future values of inflation and changes in industrial production in the United States and at least three core euro countries - Italy, France and Germany - utilising only...

Using a battery of simple unit root test procedures with alternative null hypotheses we find some evidence of speculative bubbles in the Finnish stock market for monthly data on industry portfolio returns from the 1990's. The bubbles seem to be present in the information technology (IT) returns...

In this paper we use an economic tracking portfolio (ETP) approach for forecasting future values of macroeconomic variables in the IT-sensitive Finnish stock market. The results confirm recently obtained conclusions in Lamont (2001), Hayes (2001) and Junttila (2002) that ETPs contain relevant...

In this paper we ask if central bank independence could lead to a bad fiscal position of some countries. Introducing autonomous central bank without changing other policy habits could expose the country to greater temptation to borrow money. We think that introducing high degree of CBI creates...

This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the...

I examine equity flows between the US and the euro area and their impact on the euro-dollar exchange rate. I explain equity flows by examining the behavior of an international investor who maintains a minimum variance portfolio. An excess of euro area equity returns over US equity returns...