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：

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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。