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2 posts on "Henry Dyer"
August 12, 2026

Does the Equity Term Structure Respond to Monetary Policy Shocks? 

Henry Dyer and Tomas Jankauskas

Decorative image of stock price board superimposed on the Federal Reserve building in Washington, D.C.

A long-standing body of research, inspired by Bernanke and Kuttner (2005), has documented the effects of Fed interest rate surprises on stock markets. While stock markets provide valuable information about the investor risk premium and dividend growth expectations, researchers have only recently developed more comprehensive tools to estimate the term structure of equity risk premia and dividend growth expectations across a broad range of maturities. In this post, we investigate the impact of monetary policy surprises (or shocks) on short- and long-term estimates of risk premia and growth expectations through the lens of the Giglio, Kelly, and Kozak (2024) model.

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Posted at 7:00 am in Financial Markets | Permalink | Comments (0)
April 2, 2026

Treasury Market Liquidity Since April 2025

Henry Dyer and Michael J. Fleming

government bond yields trading board

In this post, we examine the evolution of U.S. Treasury market liquidity over the past year, which has witnessed myriad economic and political developments. Liquidity worsened markedly one year ago as volatility increased following the announcement of higher-than-expected tariffs. Liquidity quickly improved when the tariff increases were partially rolled back and then remained fairly stable thereafter (through the end of our sample in February 2026), including after the recent Supreme Court decision striking down the emergency tariffs and the subsequent announcement of new tariffs.

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Posted at 7:00 am in Banks, Liquidity, Treasury | Permalink

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