Long maturity forward rates of major currencies are stationary

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.

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Year of publication:	2009
Authors:	Darvas, Zsolt ; Schepp, Zoltan
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 11, p. 1175-1181
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966514