联合王国的失业波动和货币回报:来自一个半世纪数据的证据

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2021-09-01 DOI:10.1016/j.mulfin.2021.100679
Deven Bathia , Riza Demirer , Rangan Gupta , Kevin Kotzé
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引用次数: 0

摘要

本文对货币动态和宏观经济条件之间的因果关系提供了一个长期的视角。我们利用英国的大跨度数据集,可追溯到1856年,以及考虑非线性和结构断裂的时变因果关系测试方法。利用失业率波动作为宏观经济状况的代表,并利用小波分解来获得驱动英镑超额回报的基本因素,基于替代模型规格的时变因果关系检验得出了在大多数样本中劳动力市场和货币市场之间存在因果关系和信息溢出的重要证据。在大萧条期间以及后来布雷顿森林体系崩溃之后,因果关系似乎得到加强,突显了经济危机在两个市场之间预测联系中的作用。虽然货币市场动态对失业率波动的预测作用反映了汇率波动对企业投资决策的影响,而企业投资决策反过来又推动了随后的劳动力市场动态,但我们认为,失业率在汇率方向上的因果关系可能反映了有关货币政策行动的信号,而货币政策行动反过来又溢出到金融市场。总体而言,研究结果表明,劳动力市场和货币市场在两个方向上都存在显著的信息溢出效应,并对政策制定产生重大影响。
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Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data

This paper provides a long-term perspective on the causal linkages between currency dynamics and macroeconomic conditions. We utilise a long-span data set for the United Kingdom that extends back to 1856, 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 returns for the British pound, 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. Causal effects seem to strengthen during the Great Depression and later following the collapse of the Bretton Woods system, highlighting the role of economic crises in the predictive linkages between the two markets. While the predictive role of currency market dynamics over unemployment fluctuations reflects the effect of exchange rate volatility on corporate investment decisions, which in turn drives subsequent labour market dynamics, we argue that causality in the direction of exchange rates from unemployment possibly reflects signals regarding monetary policy actions, which in turn spill over to financial markets. Overall, the findings indicate significant information spillovers across labour and currency markets in both directions with significant policy making implications.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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