当前位置: X-MOL 学术J. Financ. Quant. Anal. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Inferring Stock Duration Around FOMC Surprises: Estimates and Implications
Journal of Financial and Quantitative Analysis ( IF 3.7 ) Pub Date : 2020-12-21 , DOI: 10.1017/s0022109020000940
Zhanhui Chen 1
Affiliation  

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rate. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects from both channels. I estimate it around unexpected policies in the federal funds rates. I find that the equity yield curve is hump-shaped because expected future cash-flow growth increases with the discount rate. The effective equity duration captures information other than monetary policy risk.

中文翻译:

围绕 FOMC 意外推断股票持续时间:估计和影响

贴现率直接通过贴现率渠道或间接通过现金流渠道影响股票价格,因为预期未来现金流增长随贴现率而变化。传统的麦考利久期捕捉了贴现率渠道的影响。我提出了一种新的持续时间度量,即有效股权持续时间,以捕捉两个渠道的影响。我估计它是围绕联邦基金利率的意外政策。我发现股票收益率曲线是驼峰形的,因为预期的未来现金流增长随着贴现率的增加而增加。有效股权久期捕捉货币政策风险以外的信息。
更新日期:2020-12-21
down
wechat
bug