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来源类型Working Paper
规范类型报告
DOI10.3386/w27387
来源IDWorking Paper 27387
Coronavirus: Impact on Stock Prices and Growth Expectations
Niels J. Gormsen; Ralph S. J. Koijen
发表日期2020-06-22
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Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Markets ; Behavioral Finance ; COVID-19
URLhttps://www.nber.org/papers/w27387
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/585060
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Niels J. Gormsen,Ralph S. J. Koijen. Coronavirus: Impact on Stock Prices and Growth Expectations. 2020.
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