Investment Shocks, Unemployment, and Asset Prices

Project: Research

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Description

This project will seek to understand the role of investment-specific technological (IST) (also called capital-embodied technological) shocks in shaping unemployment fluctuations and asset prices. The macro-labor literature has studied how IST shocks affect unemployment fluctuations (e.g., Aghion and Howitt (1994); Mortensen and Pissarides (1998); Hornstein, Krusell, and Violant (2007); Michelacci and Lopez-Salido (2007)), and the asset pricing literature has studied how IST shocks affect the aggregate risk premium and the cross-section of stock returns (e.g., Papanikolaou (2011); Kogan and Papanikolaou (2013); Kogan and Papanikolaou (2014)). However, how IST shocks jointly affect unemployment fluctuations and asset prices remains unexplored. This project will fill this gap, taking into account the relations between unemployment fluctuations and asset prices (e.g., Hall (2017); Petrosky-Nadeau, Zhang, and Kuehn (2018); Kuehn, Simutin, and Wang (2017); Bai and Zhang (2021)).

Detail(s)

Project number9043436
Grant typeGRF
StatusNot started
Effective start/end date1/01/23 → …