Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

This paper examines the cointegrating relationships between UK quarterly stock prices, stock price fundamentals, GDP and consumption. Evidence reported supports cointegration between these four-variables, with results indicating three cointegrating vectors, or a single common stochastic trend....

Movements in the stock market should reflect expectations regarding future economic conditions and lead the macroeconomy. However, evidence for stock returns providing such predictive power is mixed. We argue this arises as stock returns are noisy and consider the predictive ability of derived...

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

We consider whether key financial variables predict macroeconomic series and if any predictive power for output growth is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading indicator for macroeconomic performance. Full sample...