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The stock market and aggregate employment

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Author Info
Long Chen
Lu Zhang

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Abstract

We study the interactions between the stock market and the labor market. When aggregate risk premiums are time-varying, predictive variables for market excess returns should forecast long-horizon growth in the marginal benefit of hiring and thereby long-horizon aggregate employment growth. Consistent with this logic, we document that long-horizon payroll growth and change in unemployment rate are predictable with risk premium proxies. Lagged payroll growth and change in unemployment rate also forecast stock market excess returns.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15219.

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Date of creation: Aug 2009
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Handle: RePEc:nbr:nberwo:15219

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting
J01 - Labor and Demographic Economics - - General - - - Labor Economics: General
J23 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Demand
J64 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment: Models, Duration, Incidence, and Job Search

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This page was last updated on 2009-11-25.

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