| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14875 |
| DP14875 Coronavirus: Impact on Stock Prices and Growth Expectations | |
| Niels Joachim Gormsen; Ralph Koijen | |
| 发表日期 | 2020-06-11 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We use data from the aggregate stock market and dividend futures to quantify how investors’ expectations about economic growth evolve across horizons in response to the coronavirus outbreak and subsequent policy responses until June 2020. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a forecasting model. We show how the actual forecast and the bound evolve over time. As of June 8, our forecast of annual growth in dividends is down 9% in the US and 14% in the EU compared to January 1, and our forecast of GDP growth is down by 2.0% in the US and 3.1% in the EU. The lower bound on the change in expected dividends is -18% in the US and -25% in the EU at the 2-year horizon. News about fiscal stimulus around March 24 boosts the stock market and long-term growth but did little to increase short-term growth expectations. Expected dividend growth has improved since April 1 in both the US and the EU. We conclude by developing and estimating a simple model of the crisis to understand the joint dynamics of short-term dividend futures, stock markets, and bond markets. |
| 主题 | Financial Economics ; Macroeconomics and Growth |
| URL | https://cepr.org/publications/dp14875 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543813 |
| 推荐引用方式 GB/T 7714 | Niels Joachim Gormsen,Ralph Koijen. DP14875 Coronavirus: Impact on Stock Prices and Growth Expectations. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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