We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...

Stock market recessions are often early warning signals for financial or economic crises. Hence, forecasting bear markets is important for investors, policymakers, and economic agents in general. In our two-step procedure, we first identify stock market regimes in the US using three different...