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.

本文就货币动态与宏观经济状况之间的因果关系提供了长期视角。我们利用可追溯到 1856 年的英国大跨度数据集，以及考虑非线性和结构断裂的时变因果关系测试方法。使用失业波动作为宏观经济条件和小波分解的代理来获得驱动英镑超额回报的基本因素，基于替代模型规范的时变因果关系测试产生了劳动力和货币市场之间因果联系和信息溢出的重要证据超过大部分样本。因果效应似乎在大萧条期间和后来布雷顿森林体系崩溃后加强，强调经济危机在两个市场之间的预测联系中的作用。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，进而推动了随后的劳动力市场动态，但我们认为，失业率与汇率方向的因果关系可能反映了有关货币政策的信号行动，进而波及金融市场。总体而言，调查结果表明，劳动力和货币市场在两个方向上都有显着的信息溢出，对政策制定产生重大影响。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，进而推动了随后的劳动力市场动态，但我们认为，失业率与汇率方向的因果关系可能反映了有关货币政策的信号行动，进而波及金融市场。总体而言，调查结果表明，劳动力和货币市场在两个方向上都有显着的信息溢出，对政策制定产生重大影响。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，进而推动了随后的劳动力市场动态，但我们认为，失业率与汇率方向的因果关系可能反映了有关货币政策的信号行动，进而波及金融市场。总体而言，调查结果表明，劳动力和货币市场在两个方向上都有显着的信息溢出，对政策制定产生重大影响。