Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain

► We investigate the predictive power of domestic stock prices for the domestic economic activity. ► We perform a Granger causality analysis in the frequency domain for the G-7 countries. ► We find the slowly fluctuating components of the stock prices to have predictive power for GDP. ► On the contrary, this predictive power is absent for the quickly fluctuating components. ► We present a multi-country version of the spectral Granger Causality measure.