Is the Stock Exchange an advanced indicator of the real economy?

The predictive capacity of the stock market on the main components of GDP is analyzed in this paper, with special reference to possible change such predictive capability could undergo as a result of the implications of the financial crisis. Technically, it takes into account only one possible direction of causality from the estimated four dynamic distributed lag models of finite order for the period between 1996 and 2012. This way, there is also the possibility that the conventional statistical link between the stock market and the economy has been disrupted, thus verifying the existence of a structural change. The results show that the explanatory power of the lags of the annual returns of the IBEX -35 on the relevant macroeconomic indicators of the Spanish economy has increased significantly in the context of the current cyclical recession phase. (C) 2013 AsociaciOn Cuadernos de Economia. Published by Elsevier Espana, S.L. All rights reserved.