This study examines whether financial markets, especially excess stock returns, contain information about changes in future values of certain macroeconomic variables. Earlier literature documents that term spreads of interest rates can predict both nominal activity, i.e. inflation, and real...

In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent...

The role of stock and currency market information in a forward-looking Taylor rule is analysed for monthly data from 13 OECD countries and the U.S. during the years 1988-2012. Based on a simple set of partial equilibrium conditions we fi nd that the stock market information in the form of...

We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...

We analyse how the future real economic activity is discounted to the current value of stocks in the US and European markets, and find that the extraordinary threat on future real GDP growth caused by the COVID-19 pandemic was obviously one of the main factors that affected the deep dive in the...

This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.'s (2011, 2017) MAX measure and employ a weekly forecast horizon and...

Contrary to expectations, the continuous decline in money market interest rates between 2009 and 2014, and the following negative era for European interbank markets, has positively affected profitability of Finnish cooperative banks. We obtain these results that contrast sharply with previous...

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)...