A Term Structure of Growth

Wouter Hueskes, Ralph Koijen, Evert B. Vrugt and Jules van Binsbergen
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Wouter Hueskes: APG Investments
Evert B. Vrugt: Hedge Fund Singapore

No 672, 2011 Meeting Papers from Society for Economic Dynamics

Abstract: We use a new data set on dividend futures with maturities up to 10 years to uncover the term structure of risk-adjusted expected dividend growth across three major regions around the world: the US, Europe and Japan. We compare the term structur es of growth before and after the financial crisis and analyze the impact of specific events during the financial crisis. We find that the crisis is accompanied by decreases in both short- and long-term growth expectations for all three regions. The current risk-adjusted 10-year nominal growth outlook for the US is substantially higher than that for Europe and Japan.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed011:672

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