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 …

polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …

rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term … structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts … nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory …