The stock market and aggregate employment
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.
|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|
|Contact details of provider:|| Postal: |
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