We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To … assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the … unemployment rate. We find that an investment strategy which shorts currencies that experienced high growth in the unemployment …

monetary policy. It covers several major macro-economic quantities, including unemployment rate, GDP, and weekly payrolls in … natural rate of unemployment and GDP growth comes out of the model naturally. An optimization framework is proposed to … first-order analytic solution is derived. We find that FED's interest rate policy has leaned heavily on the unemployment …