The stock market and aggregate employment
AbstractWe 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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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15219.
Date of creation: Aug 2009
Date of revision:
Publication status: published as Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.
Note: AP EFG LS
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Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- 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, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
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