Title of article :
Do time-varying risk premiums explain labor market performance?
Author/Authors :
Chen، نويسنده , , Long and Zhang، نويسنده , , Lu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Pages :
15
From page :
385
To page :
399
Abstract :
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.
Keywords :
Payroll growth , Search and matching frictions , labor markets , Time-varying risk premiums , Hiring rate
Journal title :
Journal of Financial Economics
Serial Year :
2011
Journal title :
Journal of Financial Economics
Record number :
2212238
Link To Document :
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