A Term Structure of Growth
Speaker
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 show that these asset prices are important leading indicators (predictors) of economic growth as measured by GDP growth, consumption growth and dividend growth. We compare the term structures 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. |
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| The Erasmus Finance Seminar is jointly sponsored by ERIM and the Tinbergen Institute. |
| www.eur.nl/financegroup |
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| Viorel Roscovan |
