's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …