#2329. Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data

October 2026publication date
Proposal available till 30-05-2025
5 total number of authors per manuscript5020 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
This paper provides a long-term perspective on the causal linkages between currency dynamics and macroeconomic conditions. We utilise a long-span data set and a time-varying causality testing methodology that accounts for nonlinearity and structural breaks. Using unemployment fluctuations as a proxy for macroeconomic conditions and wavelet decompositions to obtain the fundamental factor that drives excess currency returns, time-varying causality tests based on alternative model specifications yield significant evidence of causal linkages and information spillovers across labour and currency markets over the majority of the sample.
Keywords:
DCC-MGARCH; Exchange rates; GARCH; Unemployment; Time-varying Granger causality

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