The stock market and aggregate employment

Long Chen () and Lu Zhang ()

No 15219, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G12 G17 J01 J23 J64 (search for similar items in EconPapers)
Date: 2009-08
New Economics Papers: this item is included in nep-lab
Note: AP EFG LS
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Published as Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.

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