Long maturity forward rates of major currencies are stationary

Zsolt Darvas and Zoltán Schepp ()
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Zoltán Schepp: University of Pécs

No 603, Working Papers from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest

Abstract: Using eight unit root tests and a stationarity test and three decades of monthly data for the currencies between the US, Germany, UK and Switzerland, we find that, while spot exchange rates are non-stationary, long maturity forward rates are stationary.

Keywords: forward exchange rate; unit root tests (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2006-02-14
New Economics Papers: this item is included in nep-cba and nep-ifn
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Long maturity forward rates of major currencies are stationary (2009)
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