Abstract
This study investigates how the diffusion of Artificial Intelligence (AI) affects the transmission of macroeconomic shocks to asset prices. A new index of AI intensity for US industries is constructed by combining AI patents, the AI content of corporate disclosures, and the AI exposure of occupational mixes; this is then validated against survey evidence on AI. Panel local projection estimates indicate that AI-intensive industries earn significantly higher excess returns and command higher valuations in response to supply and technology shocks, but do not exhibit different responses to demand shocks. The response to the former type of shocks is economically large, robust across multiple independent supply-side identifications, and survives controlling for exposure to standard risk factors. It is driven by the industries that use AI rather than those that produce it, it is accompanied by a contemporaneous rise in valuations over the same horizon, and it is concentrated in high-volatility states. On the whole the results suggest that technological exposure is an important determinant of how aggregate shocks affect the cross-section of industries examined.