货币政策与股票市场估值

ERN: Monetary Policy (Topic) Pub Date : 2020-09-18 DOI:10.2139/ssrn.3694926

Olli-Matti Laine

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引用次数: 5

摘要

本文估计了货币政策对股票市场风险溢价期限结构的影响。隐含的股票市场风险溢价是利用分析师的股息预测和股息未来价格得到的。利用局部预测和VAR模型分析了货币政策对风险溢价的影响。结果表明，货币政策宽松提高了平均风险溢价。这种效应是由长期风险溢价上升所驱动的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Monetary Policy and Stock Market Valuation

This paper estimates the effect of monetary policy on the term structure of stock market risk premia. The implied stock market risk premia are obtained using analysts’ dividend forecasts and dividend future prices. The effect of monetary policy on risk premia is analysed using local projections and VAR models. According to the results, monetary policy easing raises the average risk premium. The effect is driven by a rise in long-horizon risk premia.

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ERN: Monetary Policy (Topic)

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