Does the Equity Term Structure Respond to Monetary Policy Shocks?

Henry Dyer and Tomas Jankauskas
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Tomas Jankauskas: https://www.newyorkfed.org/research/economists/Jankauskas

No 20260812, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: A long-standing body of research, inspired by Bernanke and Kuttner (2005), has documented the effects of Fed interest rate surprises on stock markets. While stock markets provide valuable information about the investor risk premium and dividend growth expectations, researchers have only recently developed more comprehensive tools to estimate the term structure of equity risk premia and dividend growth expectations across a broad range of maturities. In this post, we investigate the impact of monetary policy surprises (or shocks) on short- and long-term estimates of risk premia and growth expectations through the lens of the Giglio, Kelly, and Kozak (2024) model.

Keywords: equity term structure; monetary policy surprises (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2026-08-12
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DOI: 10.59576/lse.20260812

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