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 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...