Abstract
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 analyzed 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.
Authors
- Olli-Matti Laine
JEL codes
- E52
- G12