Forecasting the dynamics of financial markets. Empirical evidence in the long term.

This study aims to verify whether there are any macroeconomic variables that have significant power in predicting the dynamics of financial markets. In particular, we want to identify an econometric model that can guide the strategies of operators in building their investment portfolios. The analysis considers the US market during a period of rapid economic change and high volatility of stock prices.The authors evidence that a number of variables have systematically influenced the evolution of the stock market during the period under review. These variables are the macroeconomic indicators that relate to the sentiment of consumers and companies, the term structure, the premium for the risk of default, the rate of growth of the monetary base, the oil price and sea freight rates.