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Long maturity forward rates of major currencies are stationary

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  • Zsolt Darvas
  • Zoltan Schepp

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 nonstationary, long maturity forward rates are stationary.

Suggested Citation

  • Zsolt Darvas & Zoltan Schepp, 2009. "Long maturity forward rates of major currencies are stationary," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1175-1181.
  • Handle: RePEc:taf:apeclt:v:16:y:2009:i:11:p:1175-1181
    DOI: 10.1080/13504850701367163
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    Cited by:

    1. Jean Pisani-Ferry & Zsolt Darvas, 2010. "The threat of 'currency wars'- a European perspective," Policy Contributions 461, Bruegel.
    2. Zsolt Darvas, 2010. "The case for reforming euro area entry criteria," Society and Economy, Akadémiai Kiadó, Hungary, vol. 32(2), pages 195-219, December.
    3. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2006. "Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates," DNB Working Papers 098, Netherlands Central Bank, Research Department.
    4. Zsolt Darvas, 2011. "Beyond the Crisis: Prospects for Emerging Europe," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 53(2), pages 261-290, June.
    5. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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