Long maturity forward rates of major currencies are stationary
AbstractUsing 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.
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Bibliographic InfoPaper provided by Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest in its series Working Papers with number 0603.
Length: 8 pages
Date of creation: 14 Feb 2006
Date of revision:
forward exchange rate; unit root tests;
Other versions of this item:
- 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.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-14 (All new papers)
- NEP-CBA-2007-01-14 (Central Banking)
- NEP-IFN-2007-01-14 (International Finance)
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