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A Term Structure of Growth


  • Wouter Hueskes

    (APG Investments)

  • Ralph S.J. Koijen

    (Chicago Booth and NBER)

  • Evert B. Vrugt

    (Hedge Fund Singapore)

  • Jules H. van Binsbergen

    (Kellogg, Stanford, and NBER)


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 compare the term structur es 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.

Suggested Citation

  • Wouter Hueskes & Ralph S.J. Koijen & Evert B. Vrugt & Jules H. van Binsbergen, 2011. "A Term Structure of Growth," 2011 Meeting Papers 672, Society for Economic Dynamics.
  • Handle: RePEc:red:sed011:672

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