Do time-varying risk premiums explain labor market performance?

• 成果类型: Article
• 署名作者: Chen, Long; Zhang, Lu
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.09.002
• 发表日期: 2011
• 页码: 385-399
• 关键词: Time-varying risk premiums; Payroll growth; Hiring rate; Search and matching frictions; labor markets

摘要

Within the standard search and matching model, time-to-build implies that high aggregate risk premiums should forecast low employment growth in the short run but high employment growth in the long run. If there is also time-to-plan, high risk premiums should forecast low net hiring rates in the short run but high net hiring rates in the long run. Our evidence indicates two-quarter time-to-build in the aggregate payroll data, no time-to-plan in the aggregate hiring data, but two-quarter time-to-plan in the job creation data for manufacturing firms. High payroll growth and high net job creation rate in manufacturing also forecast low stock market excess returns at business cycle frequencies. (C) 2010 Elsevier B.V. All rights reserved.